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by Omar
August 28th, 2001, 12:12 am
Forum: Technical Forum
Topic: Bessel procesas and Brownian motion
Replies: 2
Views: 189922

Bessel procesas and Brownian motion

<t>A Bessel process is a stochastic process describing the radial component of a Brownian motion in two or more dimensions. As a particle diffuses in two or more dimensions, you forget about the angular component(s) of that Brownian motion, and you just consider how the radial component (distance fr...
by Omar
August 27th, 2001, 11:36 pm
Forum: Technical Forum
Topic: trying to learn stochastic processes - any suggestions?
Replies: 9
Views: 190221

trying to learn stochastic processes - any suggestions?

<t>Paul,You're right. I should have used 'detailed'. Mikosch's book simply devotes many many more pages to the technical details of the derivations, to motivating the new concepts, etc. Things that absolute beginers (like me) wish to see in order to figure out the mysteries of Ito. The problem with ...
by Omar
August 27th, 2001, 1:03 pm
Forum: Technical Forum
Topic: Do you think that stochastics approach is more powerful?
Replies: 8
Views: 190126

Do you think that stochastics approach is more powerful?

Can someone give us a specific example of a result that is derived using the martingale approach that cannot be derived using the PDE approach? My understanding is that, at least in principle, the two approached are precisely equivalent.
by Omar
August 27th, 2001, 12:58 pm
Forum: Technical Forum
Topic: trying to learn stochastic processes - any suggestions?
Replies: 9
Views: 190221

trying to learn stochastic processes - any suggestions?

T Mikosch, "Elementary stochastic calculus, with finance in view", World Scientific, 1999,is extremely readable + quite rigorous (as compared to Neftci's).
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