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| bio | website | dcsc.tudelft.nl/~itkachev |
|---|---|---|
| location | Leiden, Netherlands | |
| age | 25 | |
| visits | member for | 2 years, 3 months |
| seen | 2 days ago | |
| stats | profile views | 135 |
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2d |
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Desired portfolio volume thanks, I'll try and get back to you. |
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2d |
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Desired portfolio volume thanks a lot for the answer, however I am more interested in case when the capital $X$ matters. Shall I look into power utility functions? |
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2d |
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Desired portfolio volume @quasi: I am not very familiar with utility theory, so can you elaborate on how to apply your advice? |
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2d |
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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 |
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Apr 25 |
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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 |
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Apr 4 |
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Stochastic modeling of stock price process I flagged that such question shall be moved to quant.SE |
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Mar 22 |
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Financial Mathematics - Martingales example @Kolmo: so it is fully correct or not? :) |
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Mar 22 |
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Financial Mathematics - Martingales example please put the definition of the martingale measure, that should help you |
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Nov 8 |
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What distribution to assume for interest rates? @TheBridge: thanks, but I wonder if there any benchmark distributions for iid interest rates |
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Sep 19 |
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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. |
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Sep 19 |
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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. |
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Sep 19 |
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Do people use unbounded interest rate models, and what alternatives exist? Cool, I will take a look of them |
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Sep 19 |
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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. |
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Sep 14 |
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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/… |
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Aug 15 |
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Is there a quantitative finance ranking system for universities? that's interesting and quite expecting. I'll try to find the worldwide/Europe ranking . |
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Aug 15 |
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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? |
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Aug 15 |
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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. |
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Aug 15 |
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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. |
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Jul 18 |
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Obtaining characteristics of stochastic model solution @Beer4All: you're right, I will fix it. |
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Jul 16 |
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Obtaining characteristics of stochastic model solution would you like to check out if OP found the right equation for $Z_t$? |
