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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
May
30
comment Monte Carlo simulating Cox-Ingersoll-Ross process
Thanks, I'll do that! (Btw, did you leave MSE?)
May
30
comment Dynamic hedging strategy example
Did you try using general method where the portfolio has to be a martingale like the one I suggested here?
May
30
asked Monte Carlo simulating Cox-Ingersoll-Ross process
May
30
comment Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
What about Stochastic Dynamic Programming developed by Bertsekas et al? If you know the distribution of the stochastic process exactly, you specify admissible controls for the trader - and then you get the optimal solution. The theory is very rigorous and works for analytic spaces, so it shall be enough for your case. By the way, I would say that one needs to know joint probabilities rather than 1-time-moment distributions.
May
21
comment Replicating strategy in the Black-Scholes model
sorry, I've been away. Nice that you realize it yourself. Anyways, this is a common method of finding a replicating portfolio.