<r>QuoteOriginally posted by: LocalVolatilityI think omega = np.log(1 - theta * nu - nu/2 * theta**2 ) /nu; # martingale correctionshould be omega = np.log(1 - theta * nu - nu/2 * sigma**2 ) /nu; # martingale correctionOMG!! I lost more than 1 week for that... Thank you very very much!!!!!!!! <E>:)<...

<t>QuoteOriginally posted by: mjhave you tried writing the price as an integral over Black--scholes prices? this gives an alternative way to evaluate the price which you can check against.Thank you for the reply!! This is a good idea.I've just tried. I computed the expectation of the BS price for T ...

<t>Hello,I'm trying to solve the pricing problem for an European call option using the Variance Gamma model for the underlying log-prices. In the paper of Madan-Carr-Chang 1998 "The Variance Gamma process and option pricing" there is a closed formula solution (the lasts two equations of page 99 in t...

<t>Thank you for the answer.I was wondering if it is possible to consider the drift as a "kind of" inefficiency of the market.I was thinking just in probabilities terms... Let's consider the RW model with drift. If I have to bet according just to the present informations, for sure I bet that the pri...

<t>Hi all,I have a doubt on the efficient market hypothesis, and in particular on the random walk hypothesis which is a quite close statement.I quote the first line of RWH : "stock market prices evolve according to a random walk and thus cannot be predicted."Can anyone explain me better this concept...

<r>Yeah, actually I've seen the label "p-quant" just in the Meucci's paper. I didn't know it's not a used label.Anyway, thank you for the replies. In particular this one is very useful:QuoteOriginally posted by: HansiOn stats vs development skills, they simply aren't mutually exclusive. ...My view w...

<r>Thanks for the reply,I knew it was difficult to write in an appropriate way what I wanted to ask <E>:)</E> ... so, sorry for the strange "p-quant" label.Actually I just wanted to know what the actual market want the most:people who use statistics skills for estimation,evaluation,predictions etc? ...

<t>Hi all,I would like to have some feedback and suggestions about a possible career for a final year phd student in financial maths (stoch calculus, derivatives, etc).I know that possibilities are many, and people should do what they like the most. But I'm asking suggestions in view of the future d...

<t>Hi all,It is well known that it's possible to describe the brownian motion dynamic (or a general stochastic process as well) in a path integral formulation.People coming from physics love this formalism I read some papers about it, but I never tried to do computations or implement algorithms.I'm ...

QuoteOriginally posted by: CuchulainnIn bocca al lupo!grazie

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: Canta86C++ is ok (I like unix, so I like C and C-based). C++ != C. C != C++.Sure!!Now the phrase is correct.

LOLC++ is ok. I like unix, so I like C. I like C++ too. My "lotta continua" is only against MS! (and against italian politicians too)

thanks for replies and tips,I think it will be very difficult to change my habits... Unix is awesome... but ok, I'll get used to working with Windows

<t>Hi everybody!!This is my first post on this forum. I'm a physicist from Italy (so I'm sorry if there are some grammar errors) I've been recently hired by an Italian firm, in a little quant team. At the moment I'm absolutely ignorant in financial-quant matters. So, I've some unusual questions:In m...