Ilya
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 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. May 21 revised Parameter estimation of Ornstein–Uhlenbeck and CIR processes edited title May 21 comment Parameter estimation of Ornstein–Uhlenbeck and CIR processes Well, you can find $\beta$ and $\sigma$ by using the quadratic variation of a process - no filtering is needed in such a case. W.r.t. $\alpha$ and $\theta$ you can use the UKF as Veeken suggested, or perhaps some particle filters. I am not an expert on filtering, but I'm pretty sure that both methods have their own advantages in your case. May 21 comment Replicating strategy in the Black-Scholes model yes, I mean that if you replication portfolio is of the form $$\mathrm dX_t = \beta_t\mathrm dB_t + \gamma_t\mathrm dS_t$$ and it is self-financing, then $\frac{X_t}{B_t}$ has to be a martingale. May 21 comment Distribution of profit/loss for retail traders in FX +1, but unlikely such statistics exist due to the reasons mentioned by @user2183336. What I've seen is mostly purely empirical estimates in introductions of books on technical analysis, together with reasons why so many people fail. In such a case, perhaps Taleb's book is worth reading. May 21 awarded Organizer May 21 comment How to simulate a Geometric Binomial Process with state/tie dependent increments? I can write a sketch of a MATLAB code, would it help you? May 21 comment Exact value of mean reversion rate knowing terminal value of the process @quasi: perhaps, you can put this comment as an answer (I would upvote) May 21 answered What's the first time-integral of price called? May 21 comment What is a martingale? Which definition of a random walk are you using here? May 21 comment Replicating strategy in the Black-Scholes model In this special case, can't you just use the fact that $\xi = \eta +K$ where $\eta = \max(0,S_T - K)$ is a claim for European call? Also, computing the Ito differential of the discounted portfolio can lead you to the strategy (just take a look on the martingale term). May 17 comment Desired portfolio volume thanks, I'll try and get back to you.