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David Addison's user avatar
David Addison's user avatar
David Addison's user avatar
David Addison
  • Member for 7 years, 3 months
  • Last seen more than a month ago
16 votes
2 answers
8k views

Intuitive Explanation for Shannon's Demon?

9 votes
1 answer
259 views

Are the causes of momentum uniform for various asset classes?

8 votes
2 answers
812 views

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

7 votes
1 answer
380 views

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

6 votes
0 answers
372 views

What are the essential characteristics of asset prices?

5 votes
1 answer
894 views

Optimal execution of illiquid securities

5 votes
1 answer
151 views

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

4 votes
2 answers
311 views

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

4 votes
1 answer
737 views

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

3 votes
1 answer
247 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
462 views

Variance of options returns

3 votes
1 answer
2k views

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

3 votes
3 answers
266 views

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

3 votes
2 answers
331 views

Do underlying assets have a no-arbitrage price?

3 votes
0 answers
123 views

Regarding the post-facto predictability of stock market returns

2 votes
1 answer
278 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
86 views

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

1 vote
0 answers
84 views

Probability distributions as solutions to differential equations

0 votes
1 answer
27 views

Possible correlations to institutional allocations versus market capitalization

0 votes
1 answer
405 views

Net present value when cash flows accrue continuously and are stochastic

0 votes
1 answer
224 views

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