SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 287 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 20
by lovenatalya
August 24th, 2018, 4:12 pm
Forum: Technical Forum
Topic: Does Cov(X,I{Y>K}) = Cov(X,Y|Y=K)f_Y(K) hold in general?
Replies: 4
Views: 651

Re: Does Cov(X,I{Y>K}) = Cov(X,Y|Y=K)f_Y(K) hold in general?

I am having difficulty figuring out whether Cov(X,I{Y>K}) = Cov(X,Y|Y=K)fY(K) holds in general or is only valid under certain circumstance.
What is [$]f_Y[$]?
by lovenatalya
August 24th, 2018, 3:56 pm
Forum: Technical Forum
Topic: Positive Heston European call theta
Replies: 65
Views: 4761

Re: Positive Heston European call theta

These are good suggestions. I will address these issues in my write-up. I most likely will not be able to get to it until some time next week though. I will inform you after I have revised my paper. Thank you again, Alan.
by lovenatalya
August 24th, 2018, 7:05 am
Forum: Technical Forum
Topic: Positive Heston European call theta
Replies: 65
Views: 4761

Re: Positive Heston European call theta

Alan: Broadie, M., and Kaya, O., (2006), Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes", Operations Research, 54(2), 2006, 217-231  [simulation paper thereafter] defers to   Broadie, M., and Kaya, O., (2004), Exact Simulation of Option Greeks under Stochastic Vo...
by lovenatalya
August 23rd, 2018, 6:41 pm
Forum: Technical Forum
Topic: Positive Heston European call theta
Replies: 65
Views: 4761

Re: Positive Heston European call theta

@Alan:

Now it works. Probably it was a temporary glitch. Thanks again.
by lovenatalya
August 23rd, 2018, 6:00 pm
Forum: Technical Forum
Topic: Positive Heston European call theta
Replies: 65
Views: 4761

Re: Positive Heston European call theta

Sorry for the confusing notations in my paper. Thank you, Alan, for your suggestion. The link for the Broadie and Kaya paper is broke though. Is the following paper what you are referring to?   Broadie, M., and Kaya, O., (2004), Exact Simulation of Option Greeks under Stochastic Volatility and Jump ...
by lovenatalya
August 22nd, 2018, 11:19 pm
Forum: Technical Forum
Topic: Positive Heston European call theta
Replies: 65
Views: 4761

Re: Positive Heston European call theta

@Alan: I am coming back to this problem after having been tied up elsewhere for a long while. I am now posting  the full formula/algorithm  which I derived a while ago for computing the theta of the European option under a stochastic volatility process prescribed by Equation (1). It is to avoid taki...
by lovenatalya
June 1st, 2018, 6:40 am
Forum: Technical Forum
Topic: Perturbation of a stochastic differential equation
Replies: 67
Views: 3585

Re: Perturbation of a stochastic differential equation

It doesn't make sense to reason with him, ISayMoo. He cannot even calculate a continuous fraction - vide Brainteaser forum. Hahahaa, the desperation! Again, instead of saying anything of substance, you choose to throw yet another tantrum because you do not understand the question and the answer whe...
by lovenatalya
June 1st, 2018, 6:28 am
Forum: Technical Forum
Topic: Perturbation of a stochastic differential equation
Replies: 67
Views: 3585

Re: Perturbation of a stochastic differential equation

I know, but nevertheless I am happy that I prodded him to be a bit more rigorous this time. Keep it up like that, young friend, and we'll make something out of you. I do not know whether to laugh or sneer. "Prodded" me to be more rigorous? The irony is written all over the place. And you called me ...
by lovenatalya
June 1st, 2018, 6:04 am
Forum: Brainteaser Forum
Topic: what did the painter do wrong?
Replies: 84
Views: 13890

Re: what did the painter do wrong?

The [$]\sqrt 7[$] identity is wrong. The continued fraction should be the golden ratio with the only radical being [$]\sqrt 5[$]. So the two side cannot be equal. Could you explain what you mean by that? I posted a derivation of the continuous fraction (something they teach children at primary scho...
by lovenatalya
May 25th, 2018, 7:51 am
Forum: Brainteaser Forum
Topic: what did the painter do wrong?
Replies: 84
Views: 13890

Re: what did the painter do wrong?

You are funny. How did I attack everyone, by pointing out something is wrong? Just point out the specific part of my last post that you think is wrong if you say I have made a mistake.

As for the "missing" part, do you see the 4 in your calculator? Do you see a 4 in the painting? Yes or no?
by lovenatalya
May 25th, 2018, 7:09 am
Forum: Technical Forum
Topic: Perturbation of a stochastic differential equation
Replies: 67
Views: 3585

Re: Perturbation of a stochastic differential equation

Did you see Eq.(7.2) and again the very last line of the proof?
by lovenatalya
May 25th, 2018, 6:59 am
Forum: Brainteaser Forum
Topic: what did the painter do wrong?
Replies: 84
Views: 13890

Re: what did the painter do wrong?

[$]\sqrt{7}=2+\overline{1,1,1,4}[$] where the number under the bar is the periodic integer sequence in the continued fraction. ppauper's calculator confirms this. ppauper missed the 4. So if the continued fraction is indeed for [$]\sqrt{7}[$], there should have been a [$]4[$] below and to the right...
by lovenatalya
May 25th, 2018, 5:39 am
Forum: Technical Forum
Topic: Perturbation of a stochastic differential equation
Replies: 67
Views: 3585

Re: Perturbation of a stochastic differential equation

Remark: We can use the linearity to obtain an explicit Ito integral solution for Eq. (2) and convergence is clear and is pathwise. Nevertheless I would like to use this problem as a model for techniques that can be generalized to the case where the factors in front of $dt$ and $dB$ are Lipschitz con...
by lovenatalya
May 25th, 2018, 5:20 am
Forum: Technical Forum
Topic: Perturbation of a stochastic differential equation
Replies: 67
Views: 3585

Re: Perturbation of a stochastic differential equation

Is katastrofa even above the psychological drinking age for bar?
by lovenatalya
May 24th, 2018, 8:47 am
Forum: Brainteaser Forum
Topic: what did the painter do wrong?
Replies: 84
Views: 13890

Re: what did the painter do wrong?

continued fraction calculator seems to give the same answer as the painter A bit care reading the instruction of the calculator and its generated numbers will lead to a different answer... I wasn't talking to you. You can find the derivation in the photo of my notebook and the same result in the ca...
  • 1
  • 2
  • 3
  • 4
  • 5
  • 20
GZIP: On