I am about to start my PhD dissertation, I am wondering if anybody would help out with a current research area within liquidity risk. I am interested in looking into a current problem . I will greatly appreciate your assistance.Thanks a lot

<t>I try obtain a closed form for a geometric average option with fixed strike following the methodology of PDE. I get bogged down in the equation with non-constant coefficients (after two changes of variable), depending on t, and I don't which is the change of variables suitable to obtain a equatio...

Thanks for the answer, but I don't need so much the solution as the mathematical development to obtain the closed form.best regards,

Anybody knows a paper in the web in which explains the algorithm for valuation Asian options with a binomial tree. I get the Hull's book, but isn´t explicitly this algorithm.Thanks and best regards

<t>I try obtain a closed form for a geometric average option with fixed strike following the methodology of PDE. I get bogged down in the equation with non-constant coefficients (after two changes of variable), depending on t, and I don't which is the change of variables suitable to obtain a equatio...

I have 2 random variables, E and F. E is distributed like Weibull and F like gamma. Which is the most suitable correlation coefficient between them?Can i use the Pearson coefficient? How can i simulate both of them? Thanks a lot

How Can i do it?

I have a sample of banks which have data aggregated, for instance: 170 Banks and one only gross income, how can I separate this data? I suppose that the individual gross income don't available for me, i have to be estimated them. Do you know any statistical process?

Has anyone a paper about this topic ?Thanks a lot

Have you proved with Gram-Schmidt?

First of all, very thanks. What I meant with my equation is your second posibility: p*1(x)+(1-p)*1(x>0)*f(x). I know what you mean and I didn't think about this possibility although I wonder if is there any analitycal expression for likehood function of this function.

<t> I have a easy problem but I can´t solve it, maybe i don´t think about it too. Well, I have a mix distribution, it means, this one has a discrete part and a continuous part, for example:f(x)= p*I(x=0)+(1-p)I(x>0)f(x)where p is a parameter of the distribution. It is between zero and one, it's a pr...

First of all, a lot of thanks!! Google was my first attempt, but all the links that it shows me were unuseful, i need anything about methodology: concepts and algorithms from a math perspective. Thanks.

I need information about this topic: " Montecarlo Markov Chain". Any idea about where i should look for? Thanks

How i make that a positive semidefinite matrix will be a positive definite? Thanks