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.


May
17
asked Desired portfolio volume
May
17
comment How to prove that markets are incomplete under the Stochastic Volatility model?
It might have been discussed in "Foundation of Stochastic Financial Mathematics" by A. Shiryaev
Apr
25
comment Is statistical arbitrage on FX possible?
@maximus_m: google Modern Portfolio theory, and start with a wikipedia page. Also, depending on your technical affinity, you may want to check out that book
Feb
28
awarded  Popular Question
Feb
21
awarded  Yearling
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/…