1,039 reputation
423
bio website dcsc.tudelft.nl/~itkachev
location Leiden, Netherlands
age 26
visits member for 3 years, 8 months
seen Jul 15 at 5:03

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.


Apr
8
revised market-making wiki excerpt
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Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
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Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
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Mar
26
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
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May
21
revised Parameter estimation of Ornstein–Uhlenbeck and CIR processes
edited title
Aug
15
revised Is there a quantitative finance ranking system for universities?
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Jul
18
revised Obtaining characteristics of stochastic model solution
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Jul
15
revised Obtaining characteristics of stochastic model solution
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Apr
6
revised penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
numbers of equations
Apr
6
revised penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
put in one line
Apr
5
revised penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
using \cdot rather then .
Apr
5
revised An equation for European options
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Apr
1
revised Risk neutral probability in binomial lattice option coming greater than 1…what's wrong?
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Mar
31
revised Risk neutral probability in binomial lattice option coming greater than 1…what's wrong?
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Mar
31
revised Risk neutral probability in binomial lattice option coming greater than 1…what's wrong?
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Mar
31
revised Software for decomposing structured products into plain vanilla products
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Mar
31
revised Software for decomposing structured products into plain vanilla products
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