What is [$]f_Y[$]?I am having difficulty figuring out whether Cov(X,I_{{Y>K}}) = Cov(X,Y|Y=K)f_{Y}(K) holds in general or is only valid under certain circumstance.

- 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**

What is [$]f_Y[$]?I am having difficulty figuring out whether Cov(X,I_{{Y>K}}) = Cov(X,Y|Y=K)f_{Y}(K) holds in general or is only valid under certain circumstance.

- August 24th, 2018, 3:56 pm
- Forum: Technical Forum
- Topic: Positive Heston European call theta
- Replies:
**65** - Views:
**4761**

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.

- August 24th, 2018, 7:05 am
- Forum: Technical Forum
- Topic: Positive Heston European call theta
- Replies:
**65** - Views:
**4761**

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...

- August 23rd, 2018, 6:41 pm
- Forum: Technical Forum
- Topic: Positive Heston European call theta
- Replies:
**65** - Views:
**4761**

@Alan:

Now it works. Probably it was a temporary glitch. Thanks again.

Now it works. Probably it was a temporary glitch. Thanks again.

- August 23rd, 2018, 6:00 pm
- Forum: Technical Forum
- Topic: Positive Heston European call theta
- Replies:
**65** - Views:
**4761**

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 ...

- August 22nd, 2018, 11:19 pm
- Forum: Technical Forum
- Topic: Positive Heston European call theta
- Replies:
**65** - Views:
**4761**

@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...

- June 1st, 2018, 6:40 am
- Forum: Technical Forum
- Topic: Perturbation of a stochastic differential equation
- Replies:
**67** - Views:
**3585**

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...

- June 1st, 2018, 6:28 am
- Forum: Technical Forum
- Topic: Perturbation of a stochastic differential equation
- Replies:
**67** - Views:
**3585**

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 ...

- June 1st, 2018, 6:04 am
- Forum: Brainteaser Forum
- Topic: what did the painter do wrong?
- Replies:
**84** - Views:
**13890**

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...

- May 25th, 2018, 7:51 am
- Forum: Brainteaser Forum
- Topic: what did the painter do wrong?
- Replies:
**84** - Views:
**13890**

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?

As for the "missing" part, do you see the 4 in your calculator? Do you see a 4 in the painting? Yes or no?

- May 25th, 2018, 7:09 am
- Forum: Technical Forum
- Topic: Perturbation of a stochastic differential equation
- Replies:
**67** - Views:
**3585**

Did you see Eq.(7.2) and again the very last line of the proof?

- May 25th, 2018, 6:59 am
- Forum: Brainteaser Forum
- Topic: what did the painter do wrong?
- Replies:
**84** - Views:
**13890**

[$]\sqrt{7}=2+\overline{1,1,1,4}[$] 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...

- May 25th, 2018, 5:39 am
- Forum: Technical Forum
- Topic: Perturbation of a stochastic differential equation
- Replies:
**67** - Views:
**3585**

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...

- May 25th, 2018, 5:20 am
- Forum: Technical Forum
- Topic: Perturbation of a stochastic differential equation
- Replies:
**67** - Views:
**3585**

Is katastrofa even above the psychological drinking age for bar?

- May 24th, 2018, 8:47 am
- Forum: Brainteaser Forum
- Topic: what did the painter do wrong?
- Replies:
**84** - Views:
**13890**

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...

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