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Aug
21
answered What is the difference between market equilibrium and market efficiency? equilibrium implies efficiency?
Aug
16
comment Ideas about Stochastic volatility models
Could you specify in what respect you are comparing the different models (fit to vanilla options, parameter stability, use for pricing exotic options, etc)? If your goal is to get the best fit of a model in terms of pricing errors for vanilla options, models with jumps in the asset price process are definitely advisable for the short end.
Jul
7
revised Why is $C(t,S_t)/B_t$ a martingale?
Updated the reference to the book by Mark Joshi
Jul
7
comment Why is $C(t,S_t)/B_t$ a martingale?
yes, that is correct (although if no other discount is given, you should assume that the risk-free asset is meant).
Jun
3
answered Why is $C(t,S_t)/B_t$ a martingale?
Jun
2
reviewed Approve Regression model when samples are small and not correlated
May
31
awarded  Revival
May
31
answered The use of GARCH
May
19
answered The source of “Cost of hedging” in the Black Scholes model
May
13
reviewed Approve Regressing NYSE returns: Lagged intercept term & efficient market hypothesis
May
6
reviewed Approve References on Statistical Arbitrages
May
6
reviewed Approve Bond in relation to US T-Bill/Risk-Free rate
Apr
30
reviewed Approve New ways of communicating risk
Apr
22
reviewed Approve Technical analysis - Calculating Aroon Indicator Serie
Apr
15
reviewed Approve How to get positions of your portfolio from Interactive Brokers with python ibPy?
Apr
7
comment Please give a step-by-step explanation on how to build a factor model
I added the links to the sources that I mention. When I wrote the answer I was on the road, but I agree that a complete answer should have the links included.
Apr
7
revised Please give a step-by-step explanation on how to build a factor model
Added links to all the papers
Apr
4
reviewed Approve Johansen Cointegration Test
Apr
1
revised Please give a step-by-step explanation on how to build a factor model
edited body
Apr
1
comment How to test the 5 Factor CAPM of Fama & French (2014)?
Maybe this post will help you. If not, write me again quant.stackexchange.com/questions/17125/…