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1d
comment how to extend lognormal model so that $\sigma$ is correlated to $\mu$?
Whatever you do, please keep the initial question intact once there is an accepted answer. If you are not satisfied with the answer do not accept it. If you want to emphasize a different part of the problem it's better to post it as a separate question. The site is not well suited for discussions. This is not a message board.
2d
comment how to extend lognormal model so that $\sigma$ is correlated to $\mu$?
Hi! I suggest you consider editing the initial post rather than posting answers to your own questions (which is what you often do). Thanks.
Apr
14
comment financial market
Is this a homework? What have you tried?
Jan
10
comment Book on market microstructure
+1 for referring to the work of the respected QF user @lehalle :)
Dec
16
comment A Question from “Mathematical Methods for Financial Markets” Chapter 2
What have you tried already?
Dec
13
comment Market weights for Black-Litterman
This should be a comment rather than a separate answer.
Dec
12
comment How to use Merton model to calculate default probability with monthly stock prices?
@user10706: Please refrain from posting links to stuff which is not supposed to be free. We do not want to deal with copyright infringement issues. Your answer was edited accordingly.
Nov
12
comment Dirty price of US T bill
@chrisaycock: my fault. Can it be migrated back and closed as a basic one?
Aug
18
comment How good is managed code for algo trading?
Hi Dominic, welcome to quant.stackexchange!
Jul
2
comment Bracket-Notation in SDEs
This is a standard notation for the quadratic variation of a stochastic process: en.wikipedia.org/wiki/Quadratic_variation
May
9
comment Best way to store hourly/daily options data for research purposes
@kristine, Freddy: The main site is not the place to engage into heated debates on plagiarism issues. Feel free to use meta.quant.stackexchange.com instead. In any case, please try to stay constructive and avoid personal attacks.
May
9
comment Best way to store hourly/daily options data for research purposes
@Freddy, kristine: Please try to keep any discussion in the comments brief and to the point. Irrelevant comments deleted.
Feb
21
comment Reference on SDE driven by jump processes
What kind of a reference are you looking for? There's a lot of stuff on SDEs with jumps out there...
Feb
7
comment Calculating VaR/CVaR on high frequency data and returns
All comments have been deleted. (Comments should be purged when they have degraded into pointless bickering and / or noise, and the entire set is unsalvageable.)
Apr
20
comment application of lie groups in finance
I've even seen some applications of Lie algebras to option pricing (in the academic literature, needless to say). I'll try to compose an answer over the weekend.
Mar
29
comment what are the most common explanations of the January effect?
Have you looked at the related wiki article en.wikipedia.org/wiki/January_effect ? As far as I remember, this and other popular anomalies are discussed in quite a detail in Jeremy Siegel's book.
Jan
10
comment What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger?
@Ray: Thanks for your comments. I cannot give you a precise reference at the moment although this should be rather standard stuff in the theory of portfolio management. You might want to post this as a separate question.
Jan
3
comment How do you mix quantitative asset allocation with qualitative views?
+1. Good question. How about the 'agnostic average' $w=0.5w^*+0.5\bar{w}$? Just joking.
Jan
3
comment What are some of the major quantitative approaches to tactical asset allocation?
@ Tal Fishman: Traditionally, the 'big list' questions have been made CW. See e.g. questions quant.stackexchange.com/questions/431/… quant.stackexchange.com/questions/156/… quant.stackexchange.com/questions/141/…. As far as I know, this is also an accepted practice on some other SE sites such as math.se. But probably this needs to be clarified with SE administrators/discussed on meta.
Jan
3
comment What are some of the major quantitative approaches to tactical asset allocation?
@ Tal Fishman: basically you are asking for a list of models, and there is no such thing as the 'correct' answer to the question. I guess this implies that the question should be made community wiki, no?