As of May 31, 2023, we have updated our Code of Conduct.
Quantitative Finance
David Addison's user avatar
David Addison's user avatar
David Addison's user avatar
David Addison
  • Member for 6 years, 3 months
  • Last seen more than a month ago
Profile Activity

23 Questions

Score Activity Newest Views
16 votes
2 answers
7k views

Intuitive Explanation for Shannon's Demon?

9 votes
1 answer
241 views

Are the causes of momentum uniform for various asset classes?

8 votes
2 answers
651 views

Why is logarithmic mean equal to the arithmetic expectation less one-half its variance?

7 votes
1 answer
350 views

Question about quadratic form of f* in the Continuous Kelly Criterion

6 votes
0 answers
363 views

What are the essential characteristics of asset prices?

5 votes
1 answer
778 views

Optimal execution of illiquid securities

5 votes
1 answer
144 views

"Dusty Corners of the Market" and Limits-to-Arbitrage

4 votes
2 answers
284 views

Have any other factor "styles" which explain equity returns been uncovered?

4 votes
0 answers
457 views

What is a stochastic processes which reasonably captures commodity price dynamics?

3 votes
1 answer
222 views

Rate of convergence between price and value

3 votes
0 answers
1k views

Properties of Geometric Brownian Motion Integrated w.r.t. Time (i.e., distribution of a Yor Process)

3 votes
1 answer
415 views

Variance of options returns

3 votes
1 answer
1k views

What is an accepted method to calculate percent PnL from a short position?

3 votes
3 answers
241 views

Why aren't option pricing models more frequently used to value risky cash flows?

3 votes
2 answers
299 views

Do underlying assets have a no-arbitrage price?

3 votes
0 answers
117 views

Regarding the post-facto predictability of stock market returns

2 votes
1 answer
250 views

Practical way to estimate price sensitivity to unexpected earnings (i.e., post-earnings drift)?

1 vote
0 answers
67 views

Solving for roots of a stochastic pay-off function

1 vote
0 answers
82 views

Does pricing contingent claims under the EMM require us to define the distribution?

1 vote
0 answers
80 views

Probability distributions as solutions to differential equations

0 votes
1 answer
26 views

Possible correlations to institutional allocations versus market capitalization

0 votes
1 answer
381 views

Net present value when cash flows accrue continuously and are stochastic

0 votes
1 answer
205 views

Possible to use diffusion equation(s) to price derivatives with non-zero boundary conditions?

Your privacy

By clicking “Accept all cookies”, you agree Stack Exchange can store cookies on your device and disclose information in accordance with our Cookie Policy.