meta user
network profile
| bio | website | dcsc.tudelft.nl/~itkachev |
|---|---|---|
| location | Leiden, Netherlands | |
| age | 25 | |
| visits | member for | 2 years, 3 months |
| seen | 2 days ago | |
| stats | profile views | 135 |
|
Jul 15 |
revised |
Obtaining characteristics of stochastic model solution added 158 characters in body |
|
Jul 15 |
comment |
Obtaining characteristics of stochastic model solution I think you missed the more important term $\frac{1}{S^2}$, see my answer. Could you refer me to Ito formula you are using? |
|
Jul 15 |
answered | Obtaining characteristics of stochastic model solution |
|
Jul 15 |
accepted | FX option history |
|
Jul 15 |
comment |
Obtaining characteristics of stochastic model solution It seems to me that you found the incorrect SDE for $X_t$, could you please provide your calculations? |
|
Jul 4 |
asked | FX option history |
|
Jun 23 |
comment |
Change of measure discrete time what should I do if $A$ say $\mathcal N(1,1)$? |
|
Jun 23 |
accepted | George Soros models |
|
Jun 23 |
accepted | An equation for European options |
|
Jun 23 |
accepted | Modern problems in financial mathematics |
|
Jun 23 |
asked | Change of measure discrete time |
|
Jun 20 |
asked | Do people use unbounded interest rate models, and what alternatives exist? |
|
Apr 13 |
answered | How do I calculate weighted mean with negative weights? |
|
Apr 13 |
comment |
How do equivalent martingale measures arise in pricing? Using all provided information maybe it's possible to go utility function$\to$non-arbitrage$\to$martingale measure. What can you conclude from the form of the utility function? |
|
Apr 8 |
comment |
penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ plz put an information abour uncertain sets inside the question (press edit) and explain please what is the problem. It's really very difficult to understand what you have written (( |
|
Apr 8 |
comment |
Modern problems in financial mathematics Thanks a lot. Maybe others will also reply... |
|
Apr 6 |
comment |
penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ @Amber - please elaborate more on what is $U$ and how can be interpreted $\inf\limits_{\mu\in U(\mu)} $ - wih respect to which set is taken an infimum? |
|
Apr 6 |
comment |
penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ @Shane, you're welcome :) if there is a possibility to use \DeclareMathOperator? |
|
Apr 6 |
revised |
penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ numbers of equations |
|
Apr 6 |
suggested | suggested edit on penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ |
