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 Yearling
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Jul
21
comment How to discretize a GBM under P- and Q-measures?
Is it clear that the discretised discounted process also has the martingale property?
Jun
17
comment Lipschitz condition in mathematical finance
Questions about assumptions are relevant but if you want "rigorous" answers you should state it more carefully. What means "major" part and what is an "efficient" pricing model? We probably all agree that one does not need Lipschitz to calculate expected values. As Mark Joshi points out you might be able (or even need) to go a long way with somewhat weaker assumptions.
Jun
13
revised Positive VaR when calculation on Total Return Indexes?
added 38 characters in body
Jun
13
comment Distribution of Black Scholes call option price at time 0<t <T
Why is your $Q$ equal to the measure $P^*$ in the question?
Jun
12
answered Positive VaR when calculation on Total Return Indexes?
Jun
12
answered Physical or Real-world Probability Measure
Apr
14
comment Standard Formula for Solvency II
Have you googled "introduction to Solvency II" or similar terms? This should give you plenty of general information.
Apr
2
awarded  Yearling
Apr
2
answered What does “convergence” in Monte Carlo simulation mean?
Mar
6
comment What does tradable asset mean?
Yes, my first thought was cash but I removed it. What is cash? If you think of physical notes made from paper then those would not fulfill the requirements of tradable assets. So a tradable asset should be electronic at least. And in comparison to S&P futures, where would the funds for a trade in those come from? But it is clear that bank deposits imply credit risk and this limits tradability. I am no expert on these more payment and settlement related questions and open to better suggestions. It might even make a good followup question.
Mar
6
awarded  Editor
Mar
6
revised What does tradable asset mean?
deleted 6 characters in body
Mar
6
reviewed Needs Improvement How to get Multivariate Betas from an Estimated EWMA co variance Matrix?
Mar
6
reviewed Needs Improvement Black Scholes formula with continuous dividend paying stock
Mar
6
reviewed Satisfactory CIR model: is the short rate really non-central $\chi^2$ distributed?
Mar
6
reviewed Needs Improvement How to compute the VaR for European Call, using the delta-normal method?
Mar
6
reviewed Satisfactory How to obtain a log of all trades done on the Nasdaq or other major US exchange?
Mar
6
awarded  Custodian
Mar
6
reviewed Satisfactory Why is there onshore and offshore currency?
Mar
6
answered What does tradable asset mean?