Ilya
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 Oct 27 comment Seeming arbitrage in excess reserves Hey, did you have a chance to take a look at my question?] Sep 23 comment Seeming arbitrage in excess reserves Thanks a lot! Why foreign banks don't take as much as possible, since it seems to be arbitrage? Sep 3 comment George Soros models Thanks, it's an opinion worth reading about, I'll take a look at the references. Just one thing, in the highly automated environment things are much simpler on a short time range, yet ideas of reflexivity may well be present there as people who programmed those algorithms might have had it in mind on intuitive level at least. So understanding behavior of such algorithms should also come empowered with reflexivity. Nevertheless, after the time passed from me posting this question, I was able to find some answers in game theory. Jul 30 comment Monte Carlo simulating Cox-Ingersoll-Ross process That's comprehensive, thanks so much! Jul 14 comment Which distribution do I get? @Gordon: why do I need to do that? My point is that I have some market prices, hence I can imply distribution from the market prices. I don't know what the distribution would be in advance Jul 14 comment Which distribution do I get? @Gordon: was a typo Jul 13 comment How free are we in risk-neutral distributions? I assumed that we have not chosen a particular model. Of course Brownian motion would impose some additional constraints just by its special structure. To say the least, the resulting distribution is going to be lognormal. I think I found that the answer is yes. Will post it soon, thanks for the interest though. Dec 30 comment FTAP a-la Harrison, Kreps and Pliska @user8: I meant this one Nov 9 comment Stochastic Differential Like any other differential, this differential is defined in terms of its integral - that's a bit of an overstatement. It certainly is the case for most of stochastic differentials, but in real analysis the basic differential on a real line is often defined formally way before integrals. Nov 9 comment What is a canonical book or article to learn pair trading? The book "Pairs trading" by Vidyamurthy is a standard reference Apr 14 comment How can the Wiener process be nowhere differentiable but still continuous? I would be careful with such explanation, though. For example, a straight line is extremely self-similar on various scales, however it is perfectly smooth. Also, one can say that smoothness is exactly local similarity to straight lines, isn't it? Apr 14 comment How can the Wiener process be nowhere differentiable but still continuous? @Probilitator The gif actually looks like some old-school flight simulator in the mountain area :) Apr 11 comment Convolution copula? There is no need or requirement for the two copulas above to be the same. Do you mean here that $$\mathbb{P}(X\leq x,y_{1}\leq Y\leq y_{2})=C_1(F_{X}(x),F_{Y}(y_{2}))-C_2(F_{X}(x),F_{Y}(y_{1}))$$ with $C_1\neq C_2$ in general? Apr 10 comment How can the Wiener process be nowhere differentiable but still continuous? @Probilitator: thanks. 3d - is some quant joke I fail to understand? Apr 9 comment unique equivalent martingale measure in incomplete markets Sure :) also, what does these square mean? That you take an expectation/integral of squared R-N derivative? Apr 8 comment unique equivalent martingale measure in incomplete markets Are you missing come expectations in the right-hand side? Apr 8 comment How to choose a risk-neutral measure when the market is incomplete? What is the reason to pick up $\Bbb Q$ to be closest to $\Bbb P$ w.r.t. some metric? Apr 7 comment Simple pricing example confusion I think I see your point: when we are making an equivalent change of measure, we have to restrict ourselves to finite intervals of time, otherwise changing the drift changes the null events. Thanks Apr 4 comment PDE pricing of barrier options in BS Regarding PDE approach, I'd say Wilmott follows it everywhere in his books. Actually that's the same as martingale approach + Markovian structure, but without mentioning the latter two things too often (as Shreve does, in contrast) and using instead $\Delta$-hedging-like arguments, which of course leads to the same PDE as the martingale approach does. So I'd be interested in a book with a similar approach, but slightly more formal on the PDE side (not necessarily on a stochastic side). Maybe there are some known textbooks of that kind, if not - nevermind. Apr 4 comment PDE pricing of barrier options in BS Thanks for your answer. I actually didn't mean solution of PDEs, especially an analytic one, just a PDE formulation. At least one advantage it gives is useful formulas for Greeks. My point is that the PDE for barriers in BS is "derived" using arguments like "value of option satisfies BS before hitting the barrier", so obviously we need to solve BS equation with an additional boundary condition on the barrier. As usual, it is this obvious step that can make the whole result being incorrect - so I just wondered whether there is a detailed explanation of this.