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Jul
7
awarded  Yearling
Apr
12
comment CVaR/VaR Ratio as alpha goes to 1
The expression of CVaR should read $\mu + \sigma \phi\{\Phi^{-1}(\alpha)\} /(1-\alpha)$, and the expression of VaR should read $\mu + \sigma \Phi^{-1}(\alpha)$.
Apr
12
answered CVaR/VaR Ratio as alpha goes to 1
Oct
20
revised Are two stocks with the same beta have a correlation of 1?
Improved formatting
Oct
20
suggested suggested edit on Are two stocks with the same beta have a correlation of 1?
Oct
13
awarded  Enthusiast
Jul
26
revised A question on Ito
Improved formatting and wording
Jul
26
suggested suggested edit on A question on Ito
Jul
24
comment Question on an approximation in pricing formula
Ok, there's probably no point in continuing this discussion; I'll leave it here.
Jul
24
comment Question on an approximation in pricing formula
@lmorin: Sure, and here $t$ is small enough when at least $a^2/b^2>t$. So, once again, one way or the other on has to make this assumption.
Jul
24
comment Question on an approximation in pricing formula
@lmorin: Sure, the constraint $a^2/b^2>t$ will be satisfied as $t \to 0$. But small $t$ does not imply $a^2/b^2>t$, unless the meaning of "small $t$" is that $t<a^2/b^2$. So, one way or the other, one has to assume that $a^2/b^2>t$ (or one of its equivalent formulation) for given values of $a$, $b$, and $t$. Otherwise, the approximation should rather be $\exp (a\sqrt{t} + bt) \approx 1 + bt$.
Jul
23
comment Question on an approximation in pricing formula
@lmorin Why are these conditions true for small $t$?
Jul
20
reviewed Leave Open Question on an approximation in pricing formula
Jul
20
awarded  Custodian
Jul
20
reviewed Leave Open How useful is the genetic algorithm for financial market forecasting?
Jul
20
awarded  Cleanup
Jul
20
comment Question on an approximation in pricing formula
(+1) for the nice and clear explanation. The condition $t<a^2/b^2$ is more intuitive formulation of the condition on $t$ than $|a\sqrt{t}|>|bt|$.
Jul
20
revised Question on an approximation in pricing formula
rolled back to a previous revision
Jul
20
revised Question on an approximation in pricing formula
Corrected condition
Jul
20
revised How does out-of-sample option pricing work in practice?
Improved formatting and wording