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Slade
  • Member for 6 years, 8 months
  • Last seen more than 1 year ago
8 votes
0 answers
174 views

Random variable minus Integral of Ito Generator is a Martingale under what conditions?

3 votes
2 answers
163 views

Conditional Expectation with Indicator Functions for Poisson Process First Jump Time (Option Pricing PDE)

2 votes
1 answer
119 views

European put price when stock price is 0 before maturity

2 votes
0 answers
362 views

RiskMetrics VAR calculations and conditional distribution of sum of log returns

2 votes
0 answers
97 views

When does funding cost of a portfolio enter into the portfolio's present value?

2 votes
0 answers
419 views

Proving Flow Property of Stochastic Differential Equation

2 votes
0 answers
759 views

For an Ito Process, $d\ln{X} \neq \frac{dX}{X}$ and $(d\ln{X})^2 = (\frac{dX}{X})^2$, but $d\ln{X} \neq \pm \frac{dX}{X}$

2 votes
1 answer
339 views

Unconditional Expectation vs. Conditional Expectation at time $0$

2 votes
0 answers
169 views

Interchange Expectation and Supremum in Snell Envelope/American Options

1 vote
1 answer
375 views

How do weights of a Mean-Variance optimized portfolio change as the Covariance matrix of the risky assets change?

1 vote
0 answers
59 views

Realized Variance as an approximation of the Integrated Variance

1 vote
0 answers
94 views

Different definitions of volatility (simple question)