"if you find yourself riding in the fields with the sun in your face, do not be afraid, for you are in elysium, you are already dead"- " what we do in life, echoes in eternity"

Here's few of my fav quotes:- there is no spoon- there is a difference between knowing the path and walking the path- tell mikey it was business, not personal

<t>I read this paper a few months ago, it said something about the fact that american asian options do not make sense coz they are susceptible to price manipulation near the time of exercise, I don't remember much abt the details of it..suggest that u check it up ) (meaning : I am too lazy to go thr...

<t>had some doubts on this one... 1. what if the geometric average is only for a period of time t2 < T (such that the price is the geo average of the stock price for the final t2 days), and the option can be exercised only on T.2. What if we select stock prices on different dates and take a geometri...

<t>I feel that the second arbitrage argument proposed by Sam is incorrect. Even if we invest the money recieved from selling the underlying at the risk free rate, the price of underlying at time T should be equal to S(t)exp(r-u+c)*(T-t), coz any merchant who bought the underlying at time t has incur...

<t>might sound a lil out of context, but if the interest is in knowing the risk exposure of the portfolio, a very good method is in Extreme Value theory. A little more complex than VaR, it tries to take existence of fat tails in financial data into account and then gives the proabilities of a loss g...

<t>Hi MaTT,I think option 2 is correct since the reason you are doing backtesting is to check the risk in the portfolio. So it makes sense to see how a similar portfolio (same duration, coupons etc) was priced in the past and the variations in its price thereafter. This will give you an idea of the ...

<t>same as gjlipman, only a few steps shorter:we konw:ln[S/S(0)] = N[ (mhu - sig^2/2)(T-t) , sig (T-t)^0.5] ...from Ito's lemma on G= ln S thus ln [S(2)/50] = N[ 0.15 , 0.424 ]S(2) > 80 :Implies---> ln [S(2)/50] > 0.47i.e. P[S(2)>80] implies P(Z > 0.754) in normal tablesanswer = 47% </t>

I found a pdf file while searching for something similar..might be of help..pm me ur mailaddress

<r>Hi,I am working on a research project on Quasi Monte Carlo methods, mainly Sobol, Halton and Faure. HTye are pretty efficient and fast, but tend to break down in higher dimensions. I need some help regarding my project and have posted it in this threadhttp://<URL url="http://www.wilmott.com/310/m...

<t>Hi all, I am looking for 2 things for my research project, would be a great help if anyone can give me direction.1. A matrix of at least 50 irreducible polynomials which has been verified as irreducible. I need this for generation of a SOBOL sequency (one of the main types of low diversity sequen...