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awarded  Nice Answer
Nov
24
reviewed Approve Logistic Regression of tick data
Nov
23
answered Negative risk neutral probabilities economic argument
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?
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2
reviewed Approve Regression model when samples are small and not correlated
May
31
awarded  Revival
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answered The use of GARCH
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19
answered The source of “Cost of hedging” in the Black Scholes model
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13
reviewed Approve Regressing NYSE returns: Lagged intercept term & efficient market hypothesis
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reviewed Approve Bond in relation to US T-Bill/Risk-Free rate
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reviewed Approve New ways of communicating risk
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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.