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location Paris, France
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visits member for 3 years, 10 months
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1d
reviewed Close What packages are out there to extract trading signals from time series data
2d
awarded  Custodian
2d
reviewed Close Applying the Bayesian Information Criterion for Stepwise Selection Algorithms on Time Series
2d
awarded  Custodian
2d
reviewed Leave Closed examples of c++ code with application to quant finance
Nov
3
awarded  Nice Question
Jul
2
awarded  Curious
Mar
9
comment Distribution of Geometric Brownian Motion
@ bcf : Hi in what context are you testing normality ? Is it on time series of quoted index or stock, or is it in a Monte Carlo simulation that you have done yourself ? Best regards
Mar
4
comment How to show that this weak scheme is a cubature scheme?
@ pbr : Thank's I'll take a look. Best regards
Feb
22
reviewed Approve where can i get data for foreign exchange order flow
Jan
31
awarded  Yearling
Jan
2
awarded  Nice Answer
Dec
22
comment How did we get $W_g=W_b$ from $\dfrac{U'(W_g)}{U'(W_b)}=1$?
@ honso : maybe from the injectivity of $U'$ ?
Dec
20
reviewed Approve What is Quantization?
Nov
22
comment Accrued Interest in CVA DVA
@ Carlos : whatever method you will finally choose you will have to use a calculation that "approximates" the fixings date simulation of your IRS portfolio. Best regards
Nov
22
revised Accrued Interest in CVA DVA
edited title
Oct
2
comment Are there any new Option pricing models?
@ all: There is a paper by Fontana"Weak and strong no-arbitrage conditions for continuous financial markets" :arxiv.org/pdf/1302.7192.pdf that explains very well the link between different notions of arbitrage among which the Benchmark approach can be wrapped. Regards
Aug
1
comment Monte carlo methods for vanilla european options and Ito's lemma.
@Hebe : The advantage is the validation of the results, having two (or more) methods that match is giving support to the use of the most efficient.
Jun
6
awarded  Notable Question
Jun
5
awarded  Organizer