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by pgarciajaramillo
May 20th, 2013, 9:42 pm
Forum: Brainteaser Forum
Topic: Conditional Expectation Problem
Replies: 15
Views: 40962

Conditional Expectation Problem

Haha, unfortunately... is the second one.
by pgarciajaramillo
May 20th, 2013, 2:01 pm
Forum: Brainteaser Forum
Topic: Conditional Expectation Problem
Replies: 15
Views: 40962

Conditional Expectation Problem

<t>Yes, now it is clear to me how to approach the forum. I didn't have in mind the policies (being one year since I signed in). Yesterday being really the first time using it, I had a different expectation about the dynamics of the forum that led me to spread my question as much as I could between t...
by pgarciajaramillo
May 19th, 2013, 8:58 pm
Forum: Student Forum
Topic: Conditional expectation
Replies: 1
Views: 7635

Conditional expectation

<t>Now, doing things right thanks to some comments (sorry for upsetting some people) I would like to share my doubt.Attempting to calibrate Heston plus jumps model through markovian projection using gatheral ansatz referring some conditional expectations, I faced some problems. At this point I would...
by pgarciajaramillo
May 19th, 2013, 8:22 pm
Forum: General Forum
Topic: Formula for covariance between two GBMs at arbitrary time
Replies: 18
Views: 14248

Formula for covariance between two GBMs at arbitrary time

I'll sure do, and thank you for the illustrating comment.
by pgarciajaramillo
May 19th, 2013, 6:32 pm
Forum: Brainteaser Forum
Topic: Conditional Expectation Problem
Replies: 15
Views: 40962

Conditional Expectation Problem

<t>Even though I accept the criticism I consider rude to categorize me as a Trol... please, I only behave with one of the 9 possible behaviors of the troll, in this scenario and considering that I am new, perhaps ingenuity or simply ignorance in how to approach this forum may apply. I genuinely beli...
by pgarciajaramillo
May 19th, 2013, 4:48 pm
Forum: Technical Forum
Topic: Solution of Geometric Brownian Motion
Replies: 15
Views: 24335

Solution of Geometric Brownian Motion

<t>Hi all, I have a question that is related to the subject, it comes from wider problem but getting some clarity in this question would help solve the original one. Could anyone tell me what is the value ( a brief demonstration would be really appreciate) of E[dW_t | S_T] where T>t and S_t is a con...
by pgarciajaramillo
May 19th, 2013, 3:53 pm
Forum: Brainteaser Forum
Topic: Conditional Expectation Problem
Replies: 15
Views: 40962

Conditional Expectation Problem

<t>Hi all, I have a question that is related to the subject, it comes from wider problem but getting some clarity in this question would help solve the original one. Could anyone tell me what is the value ( a brief demonstration would be really appreciate) of E[dW_t | S_T] where T>t and S_t is a con...
by pgarciajaramillo
May 19th, 2013, 3:50 pm
Forum: Student Forum
Topic: Gatheral's ansatz
Replies: 8
Views: 19400

Gatheral's ansatz

by pgarciajaramillo
May 19th, 2013, 3:48 pm
Forum: Student Forum
Topic: GBM and Derivatives
Replies: 3
Views: 17277

GBM and Derivatives

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