Timeline for Is there any straightforward way to substitute for Gaussian/Brownian assumptions in financial mathematics?
Current License: CC BY-SA 2.5
2 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Feb 2, 2011 at 16:52 | comment | added | Igor Rivin | Part of what I was trying (inarticulately) to say to @Jeff was this: everybody in the business knows that (log)prices are (a) not gaussian (b) not independent (c) not stationary. The utility to Renaissance or Citadel of coming up with a better academic (so unrealistic) model is not zero, but not huge, and as Deane notes the standard gaussian model has the great virtue of simplicity. | |
| Feb 2, 2011 at 13:37 | history | answered | Deane Yang | CC BY-SA 2.5 |