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visits | member for | 5 years, 1 month |
seen | Jul 28 at 6:57 | |
stats | profile views | 59 |
Sep
26 |
awarded | Editor |
Sep
26 |
revised |
Linear least squares with unordered response variable
deleted 9 characters in body |
Sep
26 |
answered | Linear least squares with unordered response variable |
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 |