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Jun
27
comment Probability of touching
Your comment is puzzling (if not actually absurd itself). The point of this site is to provide correct answers. I happened to know the answer to this question and tried to supply the poster with the answer. My "approach" as you put it is to integrate a function, nothing more. I agree the derivation is probably not too difficult, though it seems it was a bit of a challenge for you.
Jun
27
comment Probability of touching
No I think the density function of the first passage time of brownian motion to fixed barrier is well known to be the Inverse Gaussian. There are certainly more authoritative references in existence than Wikipedia (including the Springer link I linked to), but here is Wikipedia on the question: en.wikipedia.org/wiki/…
Jun
25
revised Probability of touching
added 309 characters in body
Jun
25
revised Probability of touching
added 309 characters in body
Jun
25
revised Probability of touching
More detail.
Jun
25
answered Probability of touching
Sep
30
awarded  Editor
Sep
30
revised Brownian motion - first passage time
added 159 characters in body
Sep
30
answered Brownian motion - first passage time
Oct
15
comment Trading a synthetic replication of the VIX index
@Strange So any thoughts on alternative approaches?
Aug
30
awarded  Student
Aug
29
asked Backtesting VaR model violation independence
Aug
2
answered What is the relative performance of hard-to-borrow securities?
Oct
6
awarded  Supporter
Oct
3
comment Why do some anomalies persist while others fade away?
For the Magic Formula "anomaly", there is some debate about whether it is as string as Greenblatt claims. User vonjd mentioned one example of that and here is another: blog.empiricalfinancellc.com/2011/05/…. If you accept Greenblatt's research, there is definitely a very powerful anomaly and his argument for why it would persist relies on how the returns from the anomaly are distributed through time.
Sep
30
awarded  Teacher
Sep
30
answered Why do some anomalies persist while others fade away?