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Feb
23
comment Differential of stochastic term
What is this book? Looks like Filipotic's
Feb
21
awarded  Yearling
Feb
12
awarded  Popular Question
Feb
12
reviewed Reviewed How do I use BIC (Bayesian Information Criterion) to estimated model AR (auto regressive) lag?
Feb
12
comment How do I use BIC (Bayesian Information Criterion) to estimated model AR (auto regressive) lag?
This is typically a question where using abbreviation is annoying for the community. Could you please once in your post state the full name of BIC and maybe even post a like to a wiki article or some nice reference? That would be good to enhance the quality of the site. Also, if you could rephrased you question as a question, it would be greatly appreciated.
Feb
12
reviewed Reviewed Do you have a good application example of Approximate Dynamic Programming?
Feb
12
revised Do you have a good application example of Approximate Dynamic Programming?
reaphrased as question, retagged
Feb
12
reviewed No Action Needed SEC 13F Security List has incorrect CUSIP numbers?
Feb
12
reviewed Reviewed Why annualized return and cumultive return aren't equal over 1-year period with Performance Analytics package in R?
Feb
12
comment Why annualized return and cumultive return aren't equal over 1-year period with Performance Analytics package in R?
You should add links to the documentation of the package. Have you had a look there? What does it say about the difference between these two methods?
Feb
12
revised Why annualized return and cumultive return aren't equal over 1-year period with Performance Analytics package in R?
removed courtesies retagged improved formatting
Feb
12
revised What is the correlation of and Index's dividend yield relative to its constituents?
deleted 1 character in body
Feb
12
revised What is the correlation of and Index's dividend yield relative to its constituents?
deleted 51 characters in body; edited title
Feb
12
comment What Matlab packages to I need as a Risk Analyst?
@John well that's not right either because you could be a brilliant programmer but have little experience in finance or in (non-basic) mathematical optimization ;-). But I get your point.
Feb
12
comment What Matlab packages to I need as a Risk Analyst?
@John my point is that it depends how complex your queries are, what kind of database you want to query and how good your programming skills are.
Feb
12
comment How to value a Binary Option using market data?
But if there is no $T$ your option doesn't really make sense. In what context are you seeing that? If you assume the stock follows a GBM and $\sigma > 0$, then your stock will indeed for sure hit $x$ at some point in the future. If there is no discount, then you know that this option is worth 1 today indeed.
Feb
11
comment How to calculate probability of option expiring in the money?
How did you come up with these formulas? What are your assumptions regarding the probability distribution?
Feb
11
revised How to calculate probability of option expiring in the money?
removed courtesies
Feb
11
comment How to value a Binary Option using market data?
This is not the definition of the binary option. You are critically missing some maturity $T$ which limits the life of this option. If I understand well, you're trying to value the option using a replicating portfolio is that right?
Feb
11
reviewed Reviewed How to value a Binary Option using market data?