math-finance masters student at NYU, prospective PhD student. Also enjoy programming, music, and physics.
1 How the Ornstein–Uhlenbeck process can be considered as the continuous-time analogue of the discrete-time AR(1) process? nov 18
1 Leibniz Rule applied to Brownian integral aug 5 '13
0 non-integer powers of transition matrices with complex eigenvalues and resulting negative probabilities jan 23