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by Soap
July 8th, 2016, 1:48 pm
Forum: Book And Research Paper Forum
Topic: Volatility books 2016
Replies: 62
Views: 10029

Volatility books 2016

<t>QuoteOriginally posted by: AlanUpdate:Working a little more on Soap's question, I'm pretty sure the joint transition density for the SVJ model is a simple modification of my (7.40) in my Vol. II. In fact, the modification is exactly the same as the modification discussed in Gatheral's 'Volatility...
by Soap
June 24th, 2016, 2:15 pm
Forum: Book And Research Paper Forum
Topic: Volatility books 2016
Replies: 62
Views: 10029

Volatility books 2016

<t>QuoteOriginally posted by: AlanQuoteOriginally posted by: SoapHi @Alan, thanks for your reply. Let me see if I can do it.I bought it from amazon.co.uk and I have just left a comment.That's beautiful -- thank you so much!Thank you, Alan! :)I am a bit confused about the Markov Additive Process (MAP...
by Soap
June 24th, 2016, 12:42 pm
Forum: Book And Research Paper Forum
Topic: Volatility books 2016
Replies: 62
Views: 10029

Volatility books 2016

Hi @Alan, thanks for your reply. Let me see if I can do it.I bought it from amazon.co.uk and I have just left a comment.
by Soap
June 23rd, 2016, 2:00 pm
Forum: Book And Research Paper Forum
Topic: Volatility books 2016
Replies: 62
Views: 10029

Volatility books 2016

<t>Hi @Alan, I just received your new book. Very well written and thanks for the great book!Immediately I went to Chapter 3 and 7, as I would like to find the probability transition density for SVJ model or Bates (1996). I wonder is it possible to derive the transition density function for SVJ? Whic...
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