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by list1
September 18th, 2017, 4:00 pm
Forum: Off Topic
Topic: RIP
Replies: 601
Views: 44476

Re: RIP

Belated R.I.P. Stanislaw Petrow (May 19, 2017). The international news media only found out today that Petrow has died. RIP. His contribution will be judged by history. Petrov, Stanislav Evgrafovich [ltr] September 26, 1983  [  edit  ]  edit wiki-text  ] On the night of September 26, 1983, Lieutena...
by list1
September 17th, 2017, 11:06 am
Forum: Student Forum
Topic: about Heston93
Replies: 5
Views: 1065

Re: about Heston93

There is only one way to present Heston's equation (BSE U   ). This is to present BS portfolio in which an option is hedged by underlying security. Heston reference on " standard arbitrage arguments B&S&M for any asset U ( S , v , t ) must satisfy (BSE U   ) " is a way to hide derivation of the (BSE...
by list1
September 16th, 2017, 2:41 pm
Forum: Student Forum
Topic: about Heston93
Replies: 5
Views: 1065

Re: about Heston93

In his paper it was assumed that [$] d S ( t ) = \mu  S ( t ) \,dt + \sqrt { v ( t )} S ( t ) \,dw_1 ( t ) [$] (1) [$]d v ( t ) = k [ \theta - v ( t ) ] \,dt + \sigma\sqrt { v ( t ) } \,dw_2 ( t ) [$] (2) It was stated that "standard arbitrage arguments (B&S&M) demonstrate that value of any asset U...
by list1
September 16th, 2017, 12:15 pm
Forum: Student Forum
Topic: about Heston93
Replies: 5
Views: 1065

Re: about Heston93

The Heston start point is the eq (6) [$]\frac{1}{2} v S^2 \frac {\partial^2{U}}{\partial { S^2}} + \rho \sigma v S \frac{ \partial^2 {U}}{\partial U \partial v} + ... + [ k ( \theta - \lambda ( S , v , t ) ] \frac{ \partial U}{\partial v } - r U + \frac { \partial U}{\partial t} \,=\,0              ...
by list1
September 15th, 2017, 9:11 pm
Forum: Student Forum
Topic: about Heston93
Replies: 5
Views: 1065

Re: about Heston93

In his paper it was assumed that [$] d S ( t ) = \mu  S ( t ) \,dt + \sqrt { v ( t )} S ( t ) \,dw_1 ( t ) [$] (1) [$]d v ( t ) = k [ \theta - v ( t ) ] \,dt + \sigma\sqrt { v ( t ) } \,dw_2 ( t ) [$] (2) It was stated that "standard arbitrage arguments (B&S&M) demonstrate that value of any asset U...
by list1
September 15th, 2017, 5:47 pm
Forum: Student Forum
Topic: about Heston93
Replies: 5
Views: 1065

about Heston93

In his paper it was assumed that [$] d S ( t ) = \mu  S ( t ) \,dt + \sqrt { v ( t )} S ( t ) \,dw_1 ( t ) [$] (1) [$]d v ( t ) = k [ \theta - v ( t ) ] \,dt + \sigma\sqrt { v ( t ) } \,dw_2 ( t ) [$] (2) It was stated that "standard arbitrage arguments (B&S&M) demonstrate that value of any asset U ...
by list1
September 13th, 2017, 4:11 pm
Forum: Student Forum
Topic: Learn GMM
Replies: 3
Views: 701

Re: Learn GMM

Having math - statistics edu it might be reasonable first to look at  https://en.wikipedia.org/wiki/Generalized_method_of_moments. Actually the basis of estimation parameters is its closeness to observed data.To refresh your knowledge you can look at some simple statistics handbook how one estimate ...
by list1
September 12th, 2017, 10:08 pm
Forum: Student Forum
Topic: Learn GMM
Replies: 3
Views: 701

Re: Learn GMM

I have a good math/stats background, but whenever I try to pick up something on GMM I get lost. Mostly, I struggle with the leaps in mathematical logic between steps in the original paper and others. Are there other subjects I can read up on to prepare for another stab at GMM? Or is there some lite...
by list1
September 10th, 2017, 12:12 pm
Forum: Student Forum
Topic: Close form formula vs Simuations
Replies: 57
Views: 4153

Re: Close form formula vs Simuations

There is no low which specifies application of the notion closed form. It is not common to say closed form of a number [$]\pi , \sqrt 3[$] or others. In finance we use closed form formula though ib math in a similar situation we say analytic, exact, explicit formula or solution. When I first read ex...
by list1
September 9th, 2017, 8:33 pm
Forum: Student Forum
Topic: Close form formula vs Simuations
Replies: 57
Views: 4153

Re: Close form formula vs Simuations

Yes, eg if we have the equation A = pi r^2 then we can't compute it exactly for most r. If the answer of a problem is represented in the form [$]\pi r^2[$] then it is the closed form solution. You need an algorithm or series expansion to compute pi. Iifinite time to fill it. And that's just the sta...
by list1
September 9th, 2017, 7:02 pm
Forum: Student Forum
Topic: Close form formula vs Simuations
Replies: 57
Views: 4153

Re: Close form formula vs Simuations

Yes, eg if we have the equation A = pi r^2 then we can't compute it exactly for most r.
If the answer of a problem is represented in the form [$]\pi r^2[$] then it is the closed form solution.
by list1
September 9th, 2017, 1:05 pm
Forum: Student Forum
Topic: Close form formula vs Simuations
Replies: 57
Views: 4153

Re: Close form formula vs Simuations

So, from these examples can we conclude that closed-form solution break down for certain values of the input parameters, e.g. Schroder's CEV option formula converges slowly for [$]\beta = 1[$]. Compare the  CEV PDE equivalent that evolves gracefully to the BS PDE when [$]\beta \rightarrow 1[$]. Whe...
by list1
September 7th, 2017, 4:03 pm
Forum: Student Forum
Topic: Close form formula vs Simuations
Replies: 57
Views: 4153

Re: Close form formula vs Simuations

I think we can simply imagine that at the time when Bessel functions was introduced it was difficult to accept that representation of a solution of a particular problem by using Bessel functions could be called a closed form representation. Today when Bessel functions are well known in theoretical ...
by list1
September 6th, 2017, 4:45 pm
Forum: Student Forum
Topic: Close form formula vs Simuations
Replies: 57
Views: 4153

Re: Close form formula vs Simuations

I think we can simply imagine that at the time when Bessel functions was introduced it was difficult to accept that representation of a solution of a particular problem by using Bessel functions could be called a closed form representation. Today when Bessel functions are well known in theoretical a...
by list1
September 5th, 2017, 4:16 pm
Forum: Student Forum
Topic: crypto currency correlation
Replies: 5
Views: 768

Re: crypto currency correlation

if we look at the returns on buying - selling trades where the profit comes from. Whether the profit is based of the attraction in trading BTC?
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