- August 12th, 2019, 8:00 pm
- Forum: Politics Forum
- Topic: Trump -- the last 100 days
- Replies:
**2953** - Views:
**85857**

Here's a theory. Like Hannibal Lecter in Silence of the Lamb's, they simply found a dead man with Epstein's face. He, instead, is on his way to parts unknown. When you have zillions, anything is possible, including bribing the coroner.

- August 7th, 2019, 3:50 am
- Forum: Student Forum
- Topic: Vol and T coupling in Derivative Price
- Replies:
**6** - Views:
**266**

I will make a guess. If the payoffs are level invariant as in your examples, and you have 'continuous monitoring', and no cost-of-carry parameters, then what you want might follow simply from dimensional analysis of the value function. After all, you need dimensionless factors. But once you introduc...

- August 6th, 2019, 7:07 pm
- Forum: Student Forum
- Topic: Vol and T coupling in Derivative Price
- Replies:
**6** - Views:
**266**

If the derivative value is just the expectation of an arbitrary terminal payoff, then 'yes'. That follows from writing the value as an integral over a normal density with variance [$]\sigma^2 T[$] (times the payoff, of course). In other words, it's exactly the same normal density you would use to va...

- August 3rd, 2019, 7:15 pm
- Forum: General Forum
- Topic: Circular barrier
- Replies:
**14** - Views:
**434**

With the exception of horizontal lines and maybe parabolas, I believe everything else requires numerics.

- August 2nd, 2019, 7:46 pm
- Forum: General Forum
- Topic: Circular barrier
- Replies:
**14** - Views:
**434**

I think GBM can hit every point on that circle! -- well, possibly excepting one, which doesn't matter. DavidJN's cite may be spot-on, although I haven't looked at that paper in years. Off-hand, the horizontal line through A identifies two key times (t1,t2), and the GBM's location at t1 splits the p...

- August 1st, 2019, 3:11 pm
- Forum: Off Topic
- Topic: Stuff that Physics_(+ &)_mathematicS can explain
- Replies:
**26** - Views:
**5037**

I am enjoying Hossenfelder's book. It's a good read for the beach, but maybe not that interesting to non-physicists (or non-ex-physicists). I'm about half-way through and she's bemoaning her seemingly endless search for the next temporary research position. So, it's a nice mix of general critique, i...

- August 1st, 2019, 2:48 pm
- Forum: General Forum
- Topic: Circular barrier
- Replies:
**14** - Views:
**434**

To me, a circle requires two dimensions. What are the two dimensions?

- July 31st, 2019, 3:14 am
- Forum: Numerical Methods Forum
- Topic: New Approximation to the Normal Distribution Quantile Function
- Replies:
**14** - Views:
**36231**

- July 30th, 2019, 11:31 pm
- Forum: Student Forum
- Topic: Derivation for two independent brownian motions
- Replies:
**4** - Views:
**333**

Thanks.

No, first, I said "n is large but not infinite", so the puzzle is to provide an asymptotic formula that depends upon n. Keep thinking!

Second, if n were infinite, the expected max is [$]+\infty[$].

Hint: start from bearish's comment, generalize it, and start calculating.

No, first, I said "n is large but not infinite", so the puzzle is to provide an asymptotic formula that depends upon n. Keep thinking!

Second, if n were infinite, the expected max is [$]+\infty[$].

Hint: start from bearish's comment, generalize it, and start calculating.

- July 30th, 2019, 11:24 pm
- Forum: Numerical Methods Forum
- Topic: New Approximation to the Normal Distribution Quantile Function
- Replies:
**14** - Views:
**36231**

The late Graeme West, Wilmott mag, Fig. 2 quoting an alogorithm of Hart (accurate to machine double precision everywhere).

- July 30th, 2019, 4:34 am
- Forum: Numerical Methods Forum
- Topic: Explicit Formula for computing IV
- Replies:
**15** - Views:
**543**

Please justify the need for extreme speed. What is the application?

- July 26th, 2019, 5:56 pm
- Forum: Student Forum
- Topic: Black-Scholes from Random Walk Derivation - Issue
- Replies:
**8** - Views:
**329**

Or, the cookbook recipe to working with stochastic differential equations is the following multiplication table: [$]dt \times dt = dt \times dW_t = dW_t \times dt = 0 [$] [$]dW_t \times dW_t = dt[$] (All higher powers are zero). After all, to drive a car, you don't have to be a mechanic. Of course...

- July 26th, 2019, 5:48 pm
- Forum: Numerical Methods Forum
- Topic: High Accuracy Greeks computation under trinomial model
- Replies:
**12** - Views:
**429**

If you set up the option value pde problem using x = log S with solution [$]f(x,t)[$], you can differentiate it to get the pde for [$]g(x,t) = f_x[$]. Then perhaps simply solve that second pde for [$]g[$] on a trinomial lattice, and convert to delta. You probably need two passes, the first to get t...

- July 26th, 2019, 4:01 am
- Forum: Numerical Methods Forum
- Topic: High Accuracy Greeks computation under trinomial model
- Replies:
**12** - Views:
**429**

If you set up the option value pde problem using x = log S with solution [$]f(x,t)[$], you can differentiate it to get the pde for [$]g(x,t) = f_x[$]. Then perhaps simply solve that second pde for [$]g[$] on a trinomial lattice, and convert to delta. You probably need two passes, the first to get th...

- July 24th, 2019, 12:57 am
- Forum: Technical Forum
- Topic: Why is Bellman Equation solved by backwards?
- Replies:
**14** - Views:
**668**

It's usually solved backwards because of the "principle of optimality", which you can google if you don't know it. The standard finance example is determining an optimal exercise strategy for an American-style put. It's day 1 and the put expires on day N. Whatever the "strategy" on day 1, it should ...

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