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by Omar
May 13th, 2003, 1:27 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are the forward and backward equations?
Replies: 24
Views: 194816

What are the forward and backward equations?

<t>Quote When deriving the Fokker_planck equation, should one use the Ito- or Stratonovitch-interpretation of the SDE? Why? Alternatively, when deriving the coefficients of the F-P equation, which interpretation of the SDE should be used - Ito or Stratonovitch (or some other interpretation)? Why?FP ...
by Omar
May 13th, 2003, 3:57 am
Forum: The Quantitative Finance FAQs Project
Topic: What is a free boundary problem and what is the optimal stopping time for American option?
Replies: 38
Views: 214143

What is a free boundary problem and what is the optimal stopping time for American option?

<t>If I may add another (related) question, what is the status of the requirement that the delta of an american put be continuous? Is this requirement fully established and agreed upon? I was recently told that that is not the case.I was told that that requirement can be traced back to McKean's appe...
by Omar
May 12th, 2003, 10:57 pm
Forum: Off Topic
Topic: Dreams
Replies: 70
Views: 192647

Dreams

Actually, I thought very, very few people can remember their dreams. Typically all dreams are forgotten within minutes of waking up. Nonius' ability to remember dreams and even to enumerate them is spectacular. He should practice "lucid dreaming".
by Omar
May 12th, 2003, 1:44 pm
Forum: Technical Forum
Topic: :D
Replies: 208
Views: 200468

:D

<t>I don't understand what you are saying. The Schrodinger equation maps to the Fokker Planck equation, and that has a solution that's out of equilibrium and relaxes. What's wrong with that as a classical system (with noise)? The PDF is just the Green's function of the FP equation. It tells you what...
by Omar
May 12th, 2003, 12:19 pm
Forum: Technical Forum
Topic: :D
Replies: 208
Views: 200468

:D

<t>As far as I'm aware, the spreading of the wave function of a free particle in quantum mechanics is the analogue of relaxation to thermal equilibrium in statistical classical mechanics, which in turn is the analogue of the spreading of the PDF in Black Scholes. It's exactly the same solution to th...
by Omar
May 12th, 2003, 11:25 am
Forum: Off Topic
Topic: Profound Quotes
Replies: 642
Views: 227030

Profound Quotes

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by Omar
May 12th, 2003, 5:03 am
Forum: Off Topic
Topic: Profound Quotes
Replies: 642
Views: 227030

Profound Quotes

Rappelle-toi, Barbara,Il pleuvait sans cesse sur Brest, Ce jour-là. Et tu marchais souriante,Épanouie, ravie, ruisselante,Sous la pluie.Rappelle-toi, Barbara,Il pleuvait sans cesse sur Brest.Et je t'ai croisée rue de Siam,Tu souriais,Et moi je souriais de même.Serge Reggiani, Barbara.
by Omar
May 12th, 2003, 3:10 am
Forum: Technical Forum
Topic: :D
Replies: 208
Views: 200468

:D

<t>Quote But so what? Why talk about quantum systems to get intuition? We have no "quantum" here... We have a classical system obeying a classical eqn of motion that's coupled to external noise (the combined effect on the system of everything we can't model). I think we're pushing this quantum mecha...
by Omar
May 10th, 2003, 6:42 am
Forum: Book And Research Paper Forum
Topic: Need a book on exotic options - any suggestions?
Replies: 13
Views: 192044

Need a book on exotic options - any suggestions?

Quote If you are specifically interested in Fixed Income, I heard Rebonato has a new bookYet another book after Modern pricing of interest rate derivatives, Princeton U Press, 2002?
by Omar
May 10th, 2003, 1:55 am
Forum: Book And Research Paper Forum
Topic: Need a book on exotic options - any suggestions?
Replies: 13
Views: 192044

Need a book on exotic options - any suggestions?

<t>Wilmott's books contain very good introductions and overviews of exotics -- I'm personally more familiar with the little red book of Wilmott et al (which is a very carefully written, and concise book), but I'm sure the more recent, expanded (and simplified) versions are also good. Once you get fa...
by Omar
May 9th, 2003, 11:58 am
Forum: Technical Forum
Topic: Lie-algebraic approach
Replies: 148
Views: 197519

Lie-algebraic approach

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by Omar
May 9th, 2003, 11:51 am
Forum: Off Topic
Topic: Profound Quotes
Replies: 642
Views: 227030

Profound Quotes

<t>"That pygmies cast giants shadows is proof of how late in the day it has become."Erwin Chargaff.PS Chargaff was raised in Vienna between the wars, where he received a rigourous classical European education. He worked on the structure of DNA in the 40's, and discovered what came to be known as the...
by Omar
May 9th, 2003, 11:28 am
Forum: Technical Forum
Topic: Lie-algebraic approach
Replies: 148
Views: 197519

Lie-algebraic approach

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by Omar
May 9th, 2003, 8:27 am
Forum: Technical Forum
Topic: Lie-algebraic approach
Replies: 148
Views: 197519

Lie-algebraic approach

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