SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 432 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 29
by newton
May 8th, 2003, 10:14 am
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

mj,So how can a stochastic process with correlated noise, be mapped to one with BM? The thesis didnot handle the correlation. This is the problem with the math of Hilbert space.
by newton
May 8th, 2003, 9:55 am
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

mj,Don't worry. there's one other property a Hilbert Space has that a Banach space doesn't. That is, RV's inHilbert Space (Gaussian) can be independent. RVs in Banach Space are never independent.Does the math you checked still work??
by newton
May 8th, 2003, 1:58 am
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

Look the top of page 6. This a map from all non-Gaussian distributions to Gaussian ones.
by newton
May 8th, 2003, 1:48 am
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

Of course, he's talking about Levy processes. Look at the norms, Banach space definitions, and exponential Polynomials.
by newton
May 7th, 2003, 10:20 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

<t>A thought for tomorrow:Under what conditions is there a linear map between a Hilbert space and a Banach space possible?A manifold in Banach space might be a surface such as the powder on a donut (torus). Banach space, bydefinition, does not have an inner product, but does have a norm. All RVs are...
by newton
May 7th, 2003, 8:04 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

On P.82:Bra, Ket inner product notation is used. This obviously applies to only Hilbert spaces; and incorrect forPoisson or Levy dists.
by newton
May 7th, 2003, 7:57 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

A Poisson norm is z= x + y and not z^2 = x^2 + y^2, therefore the Poission dist cannot be in Hilbert spaceand does not have an inner product (or at least not one that means anything).Got it?
by newton
May 7th, 2003, 7:53 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

<t>If you assume there is an inner product with obvious norm of z^2 = x^2 + y^2, then your RVs are assumedto be in Hilbert space, by definition. But if the RVs don't have Hilbert Space properties, then all you getare junk results. Only perfect Gaussian RVs are in Hilbert Space; almost all real world...
by newton
May 7th, 2003, 7:39 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

If there is an inner product, Levy (a<2) and Poission distributions are multivalued, ie two amplitudes.Do you see a little calibration problem??
by newton
May 7th, 2003, 7:32 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

Look...Anywhere there is an inner product or where the norm is z^2 = x^2 + y^2, the math is bogus.
by newton
May 7th, 2003, 7:21 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

Can't you read. Pick any page.
by newton
May 7th, 2003, 7:10 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

<t>thank you. So I was correct!Depends on what 'is' meansNow, perhaps you could give us precise line and page number references to the putative incorrectnesses in the aforementioned thesis.Doesn't the error run front to back.Also I am stilll waiting to find out where to download your thesis.If it we...
by newton
May 7th, 2003, 6:57 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

To explain further, C3:Voo Doo Math is mathematics that is so useless that even the spelling is incorrect.
by newton
May 7th, 2003, 6:10 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

In fact RVs don't even commute in most operations.
by newton
May 7th, 2003, 6:04 pm
Forum: Book And Research Paper Forum
Topic: D. Filipovic's dissertation
Replies: 51
Views: 193185

D. Filipovic's dissertation

He uses all Hilbert space math even in maps to banach space. This give only correct answers forpure Gaussian Distributions.Levy (a<2) are not in Hilbert Space, neither are Poisson distributions. There is no inner product, nocovariance, etc.
  • 1
  • 2
  • 3
  • 4
  • 5
  • 29
GZIP: On