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Jul
19
answered Matching Dynamic Trading Strategies with Derivatives
Jul
19
comment Matching Dynamic Trading Strategies with Derivatives
Yes, nice link and a good idea to put something like this on the net.
Jul
19
comment Extension of copulas
Well, you are right of course and nothing is perfect. I noted that I was a bit sloppy with (3) as well (F is a distribution not the mass). Dealing with this numerically? Well on the one hand this is simply linear optimization. I would get something like Matlab and just solve the equations. On the other hand, the best approach might depend on your specific requirements. If you have a concrete F in mind, say from measurements, this is would be more a problem of statistics than numerics.
Jul
19
answered Extension of copulas
Jul
18
comment Matching Dynamic Trading Strategies with Derivatives
@vonjd: you see correctly (replication of a given P&L) but I do not see the difference between a P&L and a dynamic trading strategy. Please, explain thank you gg
Jul
18
answered Matching Dynamic Trading Strategies with Derivatives
Jul
18
awarded  Supporter
Jul
17
answered devise a joint distribution of $\alpha$ and $\beta$
Jul
17
awarded  Teacher
Jul
17
answered Extension of copulas