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| bio | website | |
|---|---|---|
| location | Paris, France | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | 9 hours ago | |
| stats | profile views | 218 |
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2d |
comment |
So many volatility models. Any comparisons of them? @Jase: adding to Matt Wolf excellent answer I would say that any model has at least one purpose, so comparing models should primarily take this into account. Best regards. |
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May 22 |
comment |
VaR for portfolio of funds @quat_dev : Hi I would add the following remark to what has been said. Using only NAV for VaR then entails that you incorporate the history of reallocations of the funds, this is methodologically a poor proxy to the VaR you obtain using the "transparency" approach by true assets. Of course if those reallocations are limited the method works fine, and sometimes you simply don't have the choice... Best regards. |
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May 21 |
awarded | Nice Question |
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May 10 |
awarded | Notable Question |
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May 10 |
comment |
Non-arbitrage theory and existence of a risk premium @Paul : Better late than never;-) |
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Apr 9 |
answered | Non-arbitrage theory and existence of a risk premium |
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Mar 25 |
revised |
Are BSDE's used in practice? added 3 characters in body |
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Mar 25 |
revised |
Are BSDE's used in practice? edited body |
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Mar 25 |
answered | Are BSDE's used in practice? |
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Mar 25 |
comment |
Different definition of NFLVR For the "amateurs" of pure abstract arbitrage theory let me share with you this reference by Fontana "Fontana - Weak and Strong No-arbitrage Conditions for Continuous Financial Markets" that can be found here arxiv.org/abs/1302.7192 Best regarrds |
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Mar 25 |
comment |
Different definition of NFLVR @quasi : A really nice answer ! 1 up. |
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Mar 21 |
revised |
Central Limit Theorem and Lévy processes added 1 characters in body |
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Mar 20 |
revised |
Central Limit Theorem and Lévy processes edited title |
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Mar 20 |
revised |
Central Limit Theorem and Lévy processes edited body |
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Mar 20 |
revised |
Central Limit Theorem and Lévy processes deleted 2 characters in body; edited title |
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Mar 10 |
awarded | Popular Question |
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Mar 9 |
awarded | Nice Answer |
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Jan 31 |
awarded | Yearling |
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Jan 5 |
awarded | Nice Question |
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Jan 5 |
awarded | Self-Learner |
