1,029 reputation
321
bio website dcsc.tudelft.nl/~itkachev
location Leiden, Netherlands
age 26
visits member for 3 years, 1 month
seen 10 hours ago

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.


Dec
9
awarded  Nice Question
Sep
6
awarded  Popular Question
Mar
22
comment Financial Mathematics - Martingales example
@Kolmo: so it is fully correct or not? :)
Mar
22
comment Financial Mathematics - Martingales example
please put the definition of the martingale measure, that should help you
Feb
21
awarded  Yearling
Nov
30
accepted What distribution to assume for interest rates?
Nov
8
comment What distribution to assume for interest rates?
@TheBridge: thanks, but I wonder if there any benchmark distributions for iid interest rates
Nov
8
asked What distribution to assume for interest rates?
Sep
19
comment Do people use unbounded interest rate models, and what alternatives exist?
@TalFishman: I would say that interest rate is something which allows you to receive small but positive profit - otherwise you just do not invest there, but maybe I am missing smth.
Sep
19
comment Do people use unbounded interest rate models, and what alternatives exist?
It seems that all these models still allow the interest rate to be unbounded.
Sep
19
answered How should you manage lot sizes in this situation?
Sep
19
comment Do people use unbounded interest rate models, and what alternatives exist?
Cool, I will take a look of them
Sep
19
accepted Do people use unbounded interest rate models, and what alternatives exist?
Sep
19
comment Do people use unbounded interest rate models, and what alternatives exist?
@Tal Fishman: Nice observation, though most of the models seem to be developed for a kind of "equilibrium" state of economy (like in a mode of growth), so the example with extremely high interest rates won't be enlightened in that models anyway. Btw, thanks for bounty, it worked as appeared.
Sep
14
comment What are some examples of Compound Poisson processes in insurance?
I think it's worth to give a link to the same question on MSE: math.stackexchange.com/questions/62847/…
Aug
15
accepted Is there a quantitative finance ranking system for universities?
Aug
15
comment Is there a quantitative finance ranking system for universities?
that's interesting and quite expecting. I'll try to find the worldwide/Europe ranking .
Aug
15
comment Is there a quantitative finance ranking system for universities?
@sheegaon: +1. Btw, don't you think that the comment post-Docs in finance are extremely rare in the US is a part of answer, not the absence of answer?
Aug
15
comment Is there a quantitative finance ranking system for universities?
Btw, to those who downvote. Don't you want to clarify why are you downvoting. If the reason in off-topic, then maybe you can be also more precise, where is the off-topic? It will be useful not only for me to understand the opinion of community, but hopefully also for other people in the case they would like to ask a question on topic/offtopic boundary.
Aug
15
comment Is there a quantitative finance ranking system for universities?
@richardh: sure, that was the first my idea - but my adviser is not working in the area of finance. I can say, that MIT, ETH Zurich, Cambridge, Oxford, Princeton, Berkeley and Stanford are famous math schools and it's worth to make a PhD/PostDoc there in math. You can also see them in the top of any ranking list for mathematical universities. I just surprised that there is now such a confidence about the mathematical finance.