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| bio | website | Nope |
|---|---|---|
| location | Paris, France | |
| age | 24 | |
| visits | member for | 2 years, 2 months |
| seen | Dec 20 '11 at 17:13 | |
| stats | profile views | 26 |
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.
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Aug 8 |
awarded | Revival |
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Aug 7 |
awarded | Autobiographer |
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Aug 7 |
revised |
How do I estimate convergence in monte carlo methods? added 11 characters in body |
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Aug 7 |
revised |
How do I estimate convergence in monte carlo methods? deleted 6 characters in body |
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Aug 7 |
answered | How do I estimate convergence in monte carlo methods? |
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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.. |
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Aug 5 |
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Switching from C++ to R - limitations/applications Anyone to defend C#?? |
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Aug 5 |
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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) |
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Jul 25 |
answered | What programming languages are most commonly used in quantitative finance? |
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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) |
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Jul 15 |
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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. |
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Jul 15 |
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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 ;) |
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Jul 15 |
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Obtaining characteristics of stochastic model solution Why not considering the empirical way (MC) to get the pdf? |
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Jul 15 |
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Obtaining characteristics of stochastic model solution can you put some details on your filtration $F_t$? |
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Jul 15 |
awarded | Editor |
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Jul 15 |
revised |
Obtaining characteristics of stochastic model solution added 412 characters in body |
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Jul 15 |
answered | Obtaining characteristics of stochastic model solution |
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Jul 6 |
answered | Formal proof for risk-neutral pricing formula |
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Jun 28 |
awarded | Teacher |
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Jun 28 |
awarded | Supporter |
