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by Canta86
April 4th, 2016, 10:34 pm
Forum: Technical Forum
Topic: Variance Gamma formula of Madan-Carr-Chang
Replies: 4
Views: 1784

Variance Gamma formula of Madan-Carr-Chang

<r>QuoteOriginally posted by: LocalVolatilityI think omega = np.log(1 - theta * nu - nu/2 * theta**2 ) /nu; # martingale correctionshould be omega = np.log(1 - theta * nu - nu/2 * sigma**2 ) /nu; # martingale correctionOMG!! I lost more than 1 week for that... Thank you very very much!!!!!!!! <E>:)<...
by Canta86
April 2nd, 2016, 2:26 pm
Forum: Technical Forum
Topic: Variance Gamma formula of Madan-Carr-Chang
Replies: 4
Views: 1784

Variance Gamma formula of Madan-Carr-Chang

<t>QuoteOriginally posted by: mjhave you tried writing the price as an integral over Black--scholes prices? this gives an alternative way to evaluate the price which you can check against.Thank you for the reply!! This is a good idea.I've just tried. I computed the expectation of the BS price for T ...
by Canta86
April 1st, 2016, 5:22 pm
Forum: Technical Forum
Topic: Variance Gamma formula of Madan-Carr-Chang
Replies: 4
Views: 1784

Variance Gamma formula of Madan-Carr-Chang

<t>Hello,I'm trying to solve the pricing problem for an European call option using the Variance Gamma model for the underlying log-prices. In the paper of Madan-Carr-Chang 1998 "The Variance Gamma process and option pricing" there is a closed formula solution (the lasts two equations of page 99 in t...
by Canta86
December 16th, 2015, 10:26 pm
Forum: Student Forum
Topic: Doubt on efficient-market hypothesis
Replies: 3
Views: 2322

Doubt on efficient-market hypothesis

<t>Thank you for the answer.I was wondering if it is possible to consider the drift as a "kind of" inefficiency of the market.I was thinking just in probabilities terms... Let's consider the RW model with drift. If I have to bet according just to the present informations, for sure I bet that the pri...
by Canta86
December 16th, 2015, 5:05 pm
Forum: Student Forum
Topic: Doubt on efficient-market hypothesis
Replies: 3
Views: 2322

Doubt on efficient-market hypothesis

<t>Hi all,I have a doubt on the efficient market hypothesis, and in particular on the random walk hypothesis which is a quite close statement.I quote the first line of RWH : "stock market prices evolve according to a random walk and thus cannot be predicted."Can anyone explain me better this concept...
by Canta86
July 21st, 2015, 6:46 pm
Forum: Careers Forum
Topic: p-quant vs developers
Replies: 9
Views: 4736

p-quant vs developers

<r>Yeah, actually I've seen the label "p-quant" just in the Meucci's paper. I didn't know it's not a used label.Anyway, thank you for the replies. In particular this one is very useful:QuoteOriginally posted by: HansiOn stats vs development skills, they simply aren't mutually exclusive. ...My view w...
by Canta86
July 18th, 2015, 4:50 pm
Forum: Careers Forum
Topic: p-quant vs developers
Replies: 9
Views: 4736

p-quant vs developers

<r>Thanks for the reply,I knew it was difficult to write in an appropriate way what I wanted to ask <E>:)</E> ... so, sorry for the strange "p-quant" label.Actually I just wanted to know what the actual market want the most:people who use statistics skills for estimation,evaluation,predictions etc? ...
by Canta86
July 17th, 2015, 8:13 pm
Forum: Careers Forum
Topic: p-quant vs developers
Replies: 9
Views: 4736

p-quant vs developers

<t>Hi all,I would like to have some feedback and suggestions about a possible career for a final year phd student in financial maths (stoch calculus, derivatives, etc).I know that possibilities are many, and people should do what they like the most. But I'm asking suggestions in view of the future d...
by Canta86
January 4th, 2014, 12:56 pm
Forum: Technical Forum
Topic: Path integral formulation for derivative pricing
Replies: 1
Views: 5829

Path integral formulation for derivative pricing

<t>Hi all,It is well known that it's possible to describe the brownian motion dynamic (or a general stochastic process as well) in a path integral formulation.People coming from physics love this formalism I read some papers about it, but I never tried to do computations or implement algorithms.I'm ...
by Canta86
November 9th, 2012, 5:14 pm
Forum: Programming and Software Forum
Topic: Windows or something else?
Replies: 19
Views: 11644

Windows or something else?

QuoteOriginally posted by: CuchulainnIn bocca al lupo!grazie
by Canta86
November 9th, 2012, 2:27 pm
Forum: Programming and Software Forum
Topic: Windows or something else?
Replies: 19
Views: 11644

Windows or something else?

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: Canta86C++ is ok (I like unix, so I like C and C-based). C++ != C. C != C++.Sure!!Now the phrase is correct.
by Canta86
November 9th, 2012, 1:30 pm
Forum: Programming and Software Forum
Topic: Windows or something else?
Replies: 19
Views: 11644

Windows or something else?

LOLC++ is ok. I like unix, so I like C. I like C++ too. My "lotta continua" is only against MS! (and against italian politicians too)
by Canta86
November 8th, 2012, 6:43 pm
Forum: Programming and Software Forum
Topic: Windows or something else?
Replies: 19
Views: 11644

Windows or something else?

thanks for replies and tips,I think it will be very difficult to change my habits... Unix is awesome... but ok, I'll get used to working with Windows
by Canta86
November 7th, 2012, 9:03 pm
Forum: Programming and Software Forum
Topic: Windows or something else?
Replies: 19
Views: 11644

Windows or something else?

<t>Hi everybody!!This is my first post on this forum. I'm a physicist from Italy (so I'm sorry if there are some grammar errors) I've been recently hired by an Italian firm, in a little quant team. At the moment I'm absolutely ignorant in financial-quant matters. So, I've some unusual questions:In m...
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