1,039 reputation
423
bio website dcsc.tudelft.nl/~itkachev
location Leiden, Netherlands
age 26
visits member for 3 years, 8 months
seen Jul 15 at 5:03

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
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?
May
31
comment George Soros models
+1 Stochastic control is one area where some reflexivity is indeed present by definition. - can you be more specific here?
May
31
comment Monte Carlo simulating Cox-Ingersoll-Ross process
I understand your point, thx