<t>Here is basic concept behind day trading.There exists a bid-ask spread for every instrument. The goal is to capture the largest amount of the bid-ask spread. What most impacts your profit line is execution costs (ticket costs, commissions) and slippage. For a professional day trader, commission c...

The asian option pricing isn't such as good one. Check out Asian pricing through PDEs and Crank-Nicholson MethodVecer's Paper at Columbia U.

system("PAUSE")

<t>Karatzas/Shreve's "Mathematical Methods in Finance" has an entire chapter on the implications of American exercise. However, it's close to being impossible to read unless you1) are comfortable with real analysis2) are comfortable with functional analysis3) are comfortable with brownian motion/sto...

<t>I think all this C/C++/C# thing is really all BS. It's really all about a state of mind. None of my code is C++ "compliant" Some things are good to put into classes because it makes sense. However, IMHO strict adherence to C++ methodology is a waste of time:My viewpoint:Numerical libraries should...

<t>I would actually say that Princeton's lack of a Business school is a plus for a MSc Financial Maths. The recruiters generally come for the MBA's and the HR people are generally looking for MBA to fit into their Associates program. I'm in Columbia MAFM (in the math department), and I've been gener...

The Martingale line of attack is MUCH weaker than I had thoughtand they lead to weak solutions.On the other hand, I'm currently working with Girsarnov Theorem. I know that I need to show L^2, as well as Nivarkov condition. Are there any other condition's that I should worry about?

<t>Black Scholes original paper submitted for publication derived the Black-Scholes PDE from the CAPM model. Apparently, the PDE had been sitting on Black's board for a while, until Scholes took the PDE to a former physics professor or something (which told him about the connection to the heat equat...

QuoteI'm sorry Jim, but your absolutely nuts if you think that C/C++ is faster or can even compare with the speed and efficiency of Fortran! Not in this lifetime buddy!From now on, I'm writing all my code in assembler.

I hope you're not too old. I just gave up a lucrative computer consulting career to switch careers.

I don't think calculators are proven technology ready for mission critical applications, I prefer to use the abacus

there is no "x" delta camp in cuba

<t>QuoteOriginally posted by: Hiboumalin"People talk as if there are smug academics telling everyone the market is completely efficient and no one ever challenges them. In fact, the EMH gained acceptance only after many years of painstaking work and constant ridicule by people who (a) didn't underst...

well i'm currently working on some problems using geometric brownian motion with poisson jump diffusions. I'll post some general results when I finish them. I'm pretty interested to see how it comes out.

sure but i have no way of contacting you. send me a private message