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Sep
30
awarded  Explainer
Sep
18
revised What data should be used for regression-based model backtesting?
deleted 5 characters in body; edited tags; edited title
Sep
18
revised Girsanov Theorem and Quadratic Variation
imporved formatting with quotation, fixed typos
Sep
12
comment Is there a good closed-form approximation for Black-Scholes implied volatility?
There is this, less-specific thread that could get you at least started.
Sep
12
revised How to compute Implied Volatility Calculation?
removed courtesies, formatting
Sep
12
revised Is there a good closed-form approximation for Black-Scholes implied volatility?
Improved formatting
Sep
12
comment Counterparty risk tutorials
Your link is dead, and I'm not sure you had the right to share this anyway. However, you can include links to the books and articles you mention.
Sep
12
revised Counterparty risk tutorials
formatted link text
Sep
10
comment Filtration and measure change
@emcor I'm not here to debate this. Cross-posting is not allowed (except in very special case). It's my role to apply the community's rules and they were discussed in SE Meta extensively. It's not even my decision.
Sep
10
comment Filtration and measure change
Well, then leave it there, and I'll delete it here as cross-posting is not tolerated, see this post.
Sep
10
comment Filtration and measure change
I think your question is good for this site, but you should delete it in Mathematics; cross-posting is not tolerated by SE sites.
Sep
8
comment How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
You should include the links to the package you're using. This is really close to be a SO question, but I think it's related to concepts enough to keep it here. Let's see what the community thinks.
Sep
8
revised How do Return.portfolio and Return.rebalancing work in Performance Analytics in R?
edited tags; edited title; removed courtesies; improved formatting
Sep
5
comment Convergence of GBM mean after simulation?
I am not an expert in MC simulation, but I believe that steps have their importance when using approximations of the model, like $S_{t+\Delta t}=S_t + \mu S_t \Delta t + \sigma S_t \sqrt{\Delta t} z_t$. And I simulate the steps because I am obviously interested in having the resulting path, not final price, for some risk analysis on a more complex process depending on GBMs.
Sep
5
revised What is wrong in this GBM simulation?
edited tags
Sep
5
reviewed Reject What is the required Risk/ Reward ratio in Forex?
Sep
5
revised Convergence of GBM mean after simulation?
edited tags
Sep
5
comment Convergence of GBM mean after simulation?
Besides, I'm not using the euler approximation here. So the number of steps I take won't change anything; I have the exact solution anyway...
Sep
5
comment Convergence of GBM mean after simulation?
I would, however, remove you last paragraph, as I think it's missing the point. Of course it works for low-volatility or short periods of times, I'm in particular trying to test what happens in more extreme cases.
Sep
5
comment Convergence of GBM mean after simulation?
Ok, this is a good answer, but it's still incomplete in my opinion. The variance and mean of the process are key. According to the central limit theorem, the mean of all $S_{300}$ is normally distributed with mean $\mathbb{E}[S_{300}]$ and variance $\frac{Var[S_{300}]}{n}$. These values can be computed as you illustrate.