1,049 reputation
423
bio website dcsc.tudelft.nl/~itkachev
location Leiden, Netherlands
age 26
visits member for 3 years, 9 months
seen Nov 19 at 8:00

I am a PhD student at TU Delft, working in applied probability and stochastic optimal control. My current focus is on approximate model-checking of stochastic systems via bisimulations (a part of computer science). I am interested in a wide field of applications, in particular in some areas of finance, such as risk theory.


Sep
28
comment Basic question about bonds pricing
Very nice, I think that's the answer I was looking for.
Sep
28
accepted Basic question about bonds pricing
Sep
27
answered Monte Carlo Options Probability Calculation
Sep
27
comment Basic question about bonds pricing
I see your point: I just wondered what was the chicken and what was the egg in Hull's case.
Sep
27
comment Basic question about bonds pricing
Thanks Brian, just want to be sure I got you correctly. The price of more liquid bonds is mostly determined by supply/demand arguments, whereas for less liquid bonds one can do pricing based on more liquid issues: the latter can allow for the arbitrage in case the price of the former is inconsistent?
Sep
25
awarded  Citizen Patrol
Sep
25
comment How to test that a distribution has infinite mean?
+1 but I would suggest moving that to one of mathematical websites: MSE or MO. Perhaps, cross-validated also could be useful
Sep
25
asked Basic question about bonds pricing
Jul
4
comment Risk theory is a part of financial mathematics
That I understand - I meant only the mathematical part. Anyways, say the problem of ruin probabilities will not classically fall into financial mathematics?
Jul
4
answered Risk theory is a part of financial mathematics
Jul
4
comment Risk theory is a part of financial mathematics
Even in the wikipedia article, they seem to consider both pricing and risk management as subsets of financial mathematics. The discussion on P and Q is indeed interesting, thanks for pointing it out.
Jul
4
asked Risk theory is a part of financial mathematics
Jun
12
awarded  Popular Question
Jun
4
comment George Soros models
NP, I just updated my description recently so it might have not been there before
Jun
3
comment George Soros models
Well, I am familiar with principles of the stochastic optimal control and dynamic programming. Surely, you can incorporate the reflexivity there - my question was rather on how to incorporate it in a practically meaningful way, that's why I've whether there are some financial models known that involve reflexivity as per Soros.
Jun
3
comment Why does Black-Scholes equation hold on continuation region of American Option?
For the American option, the solution is given by a Optimal Stopping/Free-boundary Problem. Here you seem to have European vanilla one
Jun
1
comment George Soros models
That's indeed interesting, a very recent paper - thanks!
Jun
1
answered Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
May
31
comment Monte Carlo simulating Cox-Ingersoll-Ross process
Cool! nice to know you didn't leave it at all :)
May
31
comment Standard Assumption Terminology
Just to clarify: do you mean market models, and so assumptions about the markets?