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Kevin's user avatar
Kevin's user avatar
Kevin
  • Member for 4 years, 11 months
  • Last seen this week
5 votes
Accepted

Differentiating Wiener process

5 votes

Options related factors forecasting cross section of returns

5 votes
Accepted

To estimate the parameters when only the characteristic function is known to us

4 votes
Accepted

Black Scholes derivation and Ito's Product

2 votes

On measurements of ambiguity and their shortcomings

2 votes

R resources for GMM estimation and testing of multifactor asset pricing models

1 vote
Accepted

Testing one asset pricing model against another a la Cochrane: a counterexample

7 votes

Probability of success given expected return and volatility

1 vote

The relationship between no-arbitrage and the law of one price

3 votes
Accepted

Replication of the payoff of a chooser option

1 vote
Accepted

Pricing various classes of derivatives and replicating them

9 votes

Definitions of Beta

4 votes

What is the equation $\mathbb{E}[mR]=0$?

3 votes

Existence of an upper bound for risk-factor betas/coefficients

2 votes
Accepted

A concrete example of a stochastic discount factor

2 votes
Accepted

Closed-form solution for the PV of these cash flows

6 votes
Accepted

Since $S = e^{(\mu-\frac{\sigma^2}{2})t+\sigma W_t}$, why treat it as a constant when calculating the greek Theta (dC/dt) for a European call option?

2 votes
Accepted

Does the risk neutral pdf that is derived using Litzenberger-Breeden Method correspond to gamma and it's integral correspond to delta?

7 votes
Accepted

Given $\mathbb{E}[X]$, $\mathbb{E}[\max(0,X)]$, and $\mathbb{E}[\min(0,X)]$, what is $\mathbb{E}[f(X)]$

4 votes
Accepted

Cross Sectional vs. Time-Series Risk Premia Estimate

3 votes
Accepted

Derivations of the pricing PDE for the Heston-Hull-White or Heston-CIR models

16 votes
Accepted

Most complete list of investment mistakes in stock markets

4 votes

What is Phi in Cox-Ross-Rubinstein Binomial Model?

6 votes
Accepted

Why we introduce correlations between Wiener processes?

3 votes
Accepted

How to correctly use Fama-French factors (from investment portfolio perspective)?

13 votes

Do markets really follow a random walk or is this idea outdated?

5 votes
Accepted

Preprint investigating Black–Scholes formula correctness

2 votes
Accepted

How to find state prices?

4 votes

Stocks' returns distribution

2 votes

Testing a new factor for alpha

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