Or were you getting at something else entirely?If0.5σthen^{2}> μ - r > 0Shas the property that_{t}= e^{μt + σW(t)}lim[_{t→∞}ES_{t }- e^{rt}]= ∞butlim_{t→∞}(S_{t}- e^{rt})= 0almost surely.

Statistics: Posted by Marsden — less than a minute ago

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Replace α by -α in the exponent.The standard martingale theory approach to model replication, pricing, etc. always comes with a bounded time horizon, to avoid problems of this sort. The law of large numbers prevents non-trivially different measures from being equivalent in the limit as time goes to infinity. Another version of your problem is to note that if [$]0.5 \sigma^2 > \alpha > 0 [$], then [$] S_t = e^{\alpha t + \sigma W_t} [$] has the properties that [$] \lim_{t \rightarrow \infty} E[S_t] = \infty [$] but [$] \lim_{t \rightarrow \infty} S_t = 0 \: a.s. [$]

Statistics: Posted by bearish — 21 minutes ago

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The standard martingale theory approach to model replication, pricing, etc. always comes with a bounded time horizon, to avoid problems of this sort. The law of large numbers prevents non-trivially different measures from being equivalent in the limit as time goes to infinity. Another version of your problem is to note that if [$]0.5 \sigma^2 > \alpha > 0 [$], then [$] S_t = e^{\alpha t + \sigma W_t} [$] has the properties that [$] \lim_{t \rightarrow \infty} E[S_t] = \infty [$] but [$] \lim_{t \rightarrow \infty} S_t = 0 \: a.s. [$]

Replace α by -α in the exponent.Statistics: Posted by Gamal — Yesterday, 9:31 pm

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I think the easiest way is to generate (or download) the list of tickers that constitute the curve and use a call like bdh on each ticker with the relevant date(s) and a field like px_last. The active contract object doesn’t seem to have a lot of properties exposed via the API.By chance friends do you know how to get "commodity curves" via the BBG API. E.g. to get the futures curves of Brent I would hit <COA Comdty><CCRV><ENTER> in the Terminal and then I can pick up date(s) for which I want that curve. I want to get that curve programmtically either python or C++. Any point much appreciated, Thank you.

Thank you bearish. I read through their documentation as I was expecting some ready-to-use solution, but couldn't find anything relevant, and what you're suggesting actually is quite simple, and ligthwise in terms of calls to the API. Hence I will go for it. I will also download the field FUT_GEN_CUR_TICKER to help me with the labelling of the xaxis. Thanks for your advice.

Statistics: Posted by tagoma — Yesterday, 8:40 pm

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Statistics: Posted by Marsden — Yesterday, 7:44 pm

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Statistics: Posted by bearish — Yesterday, 7:31 pm

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From “Led by Donkeys”!!! If you take them seriously then I worry for you!

But it is very sweet of you to be so concerned for us Brits.

It's no joking matter.But it is very sweet of you to be so concerned for us Brits.

Statistics: Posted by Cuchulainn — Yesterday, 5:42 pm

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By chance friends do you know how to get "commodity curves" via the BBG API. E.g. to get the futures curves of Brent I would hit <COA Comdty><CCRV><ENTER> in the Terminal and then I can pick up date(s) for which I want that curve. I want to get that curve programmtically either python or C++. Any point much appreciated, Thank you.

I think the easiest way is to generate (or download) the list of tickers that constitute the curve and use a call like bdh on each ticker with the relevant date(s) and a field like px_last. The active contract object doesn’t seem to have a lot of properties exposed via the API.Statistics: Posted by bearish — Yesterday, 5:11 pm

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But it is very sweet of you to be so concerned for us Brits.

Statistics: Posted by Paul — Yesterday, 5:07 pm

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Statistics: Posted by Cuchulainn — Yesterday, 1:59 pm

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