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visits member for 3 years, 2 months
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May
23
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.
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.
May
21
awarded  Nice Question
May
10
awarded  Notable Question
May
10
comment Non-arbitrage theory and existence of a risk premium
@Paul : Better late than never;-)
Apr
9
answered Non-arbitrage theory and existence of a risk premium
Mar
25
revised Are BSDE's used in practice?
added 3 characters in body
Mar
25
revised Are BSDE's used in practice?
edited body
Mar
25
answered Are BSDE's used in practice?
Mar
21
revised Central Limit Theorem and Lévy processes
added 1 characters in body
Mar
20
revised Central Limit Theorem and Lévy processes
edited title
Mar
20
revised Central Limit Theorem and Lévy processes
edited body
Mar
20
revised Central Limit Theorem and Lévy processes
deleted 2 characters in body; edited title
Mar
10
awarded  Popular Question
Mar
9
awarded  Nice Answer
Jan
31
awarded  Yearling
Jan
5
awarded  Nice Question
Jan
5
awarded  Self-Learner
Dec
3
comment Backtesting VaR model violation independence
@ Konsta and User915 : I have edited the question according to your comment. Best regards
Dec
3
revised Backtesting VaR model violation independence
I switched VAR for VaR according to the comment