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Mar
24
comment The Relation Between the Ricci flow and the Black-Scholes-Merton Equation
Oh and this Wikipedia article (en.wikipedia.org/wiki/Ricci_flow) has something about the connection to diffusion. But I doubt this is more than a superficial coincidence.
Mar
24
comment The Relation Between the Ricci flow and the Black-Scholes-Merton Equation
hmm, where did he write this, can you provide the citation? I actually doubt there is any real connection (no pun intended) but would certainly want to make sure that I do not contradict Mr. Perelman ;-) Oh and btw bond traders would not be the first who come up to mind when you mentioned the BS formulas.
Feb
6
comment Appropriate measure of risk if return are not normally distributed
I like the caveat "assuming returns have finite variance"!
Feb
6
comment Appropriate measure of risk if return are not normally distributed
There is a huge literature on this topic, freely available to you on the internet. For a start have a look at Wikipedia "Value at Risk" (en.wikipedia.org/wiki/Value_at_risk) and Expected Shortfall (en.wikipedia.org/wiki/Expected_shortfall). Entering "risk measures" or "measures of risk" in Google will bring up double digit millions of hits many of them quite helpful.
Jan
7
revised Proof that no trading system always wins
deleted 5 characters in body
Jan
7
revised Proof that no trading system always wins
added 43 characters in body
Jan
7
answered Proof that no trading system always wins
Dec
21
answered How to calculate confidence interval for option price?
Dec
20
comment How to calculate confidence interval for option price?
What is the difference between "price at maturity" and "payoff"? I.e. between approach A and B?
Sep
28
comment Portfolio insurance strategy with path dependence
Unless you find something better you might want to look at Chapter 8 and 9 of "Stochastic Finance" by Föllmer/Schied. They say: "As a first preliminary step, we consider strategies of quantile hedging which stay on the safe side with high probability. In other words, we maximize the probability for staying on the safe side under a given cost constraint." Which is slightly different from your problem. Furthermore, they give somewhat general proofs, while you seem to be interested in a special case.
Sep
23
comment Longevity risk modelling
Yes, of course. For a start have a look at llma.org/home.html You find things under "publications". You might want to post a question for more specific questions.
Sep
10
comment Swiss Zero-Coupon Bond Yield Curve Data
Why was this downvoted?
Aug
18
awarded  Nice Question
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?
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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.