476 reputation
39
bio website Nope
location Paris, France
age 26
visits member for 3 years, 9 months
seen Dec 4 at 11:44

Graduated from the Msc. El Karoui of probabilities and finance and from the Msc. Laure Elie (promo 2011).

Looking for a full-time job opportunity in NY or London.

My Linkedin


Aug
8
awarded  Revival
Aug
7
awarded  Autobiographer
Aug
7
revised How do I estimate convergence in monte carlo methods?
added 11 characters in body
Aug
7
revised How do I estimate convergence in monte carlo methods?
deleted 6 characters in body
Aug
7
answered How do I estimate convergence in monte carlo methods?
Aug
5
comment Switching from C++ to R - limitations/applications
I have spent some time during the last weeks to infer parameters (calibrate) of a vol-sto model (hence using the classical Baysian inference theory). I used C# interfaced with R, no memory problem, even with a parallelized implementation..
Aug
5
comment Switching from C++ to R - limitations/applications
Anyone to defend C#??
Aug
5
comment Switching from C++ to R - limitations/applications
@Karol Piczac since i have migrated to R-Evolution i have no more problem with big data file, have a look at this (revolutionanalytics.com/products/revolution-enterprise.php)
Jul
25
answered What programming languages are most commonly used in quantitative finance?
Jul
17
comment Obtaining characteristics of stochastic model solution
you wrote $\langle S\rangle_t=\sigma^2t$ instead of $\langle S_t\rangle=\sigma^2S_t^2t$. (RockScience obtained the right sde)
Jul
15
comment Obtaining characteristics of stochastic model solution
For me MC methods are often the fastest way to get rapid & painless solutions, useful to test your results.
Jul
15
comment Obtaining characteristics of stochastic model solution
pdf = probability density function. To get numerically an empiricall estimate of your density function: 1 -- draft sample of $X_t$, 2 -- trace the empirical cdf (cumulative distribution function) of this sample 3 -- then compute (numerically) the differentiated function which is nothing but the empirical density ;)
Jul
15
comment Obtaining characteristics of stochastic model solution
Why not considering the empirical way (MC) to get the pdf?
Jul
15
comment Obtaining characteristics of stochastic model solution
can you put some details on your filtration $F_t$?
Jul
15
awarded  Editor
Jul
15
revised Obtaining characteristics of stochastic model solution
added 412 characters in body
Jul
15
answered Obtaining characteristics of stochastic model solution
Jul
6
answered Formal proof for risk-neutral pricing formula
Jun
28
awarded  Teacher
Jun
28
awarded  Supporter