I think the Xfi school at Exeter is also very good! You should consider it.

Hi all,I have obtained from datastream this serie:LIFFE 3-Month Sterling ContinuousCode: LIPCS00that should be a future on 3-Month Sterling.Is that a future on an interest rate or on GBP (a currency)?Many thanks

<t>The idea is the following:(for the first process)ensemble average E[Yt]=E[Gt]+E[F] = 0.5 + 0time average y(super bar) = 1/n *( the Sum of G) + F = so the time average is equal to 0.5 + F. F is equal to 0 with probability 0 so the time average and the ensamble average are not the same and the proc...

<t>Hi all,A question about Stationarity.If Y(t) = G(t) + F where G is distributed as (independent) Uniform [0,1] and F is distributed as (independent) N(0,1) with E[G(t)F] =0 the process is stationary but not ergodic.If Y(t) = G(t) + F(t) where G is distributed as (independent) Uniform [0,1] and F i...

Hi all,I want to generate random number from a geometric distribution, how can I do please? Thanks

<t>QuoteOriginally posted by: ddrdoubleIf you think in terms of a binomial tree you can construct an easy example:You have a tree with 2 steps, starting at 0, you can move at each step +1 or -1 each with probability 50%, random variable is the endvalue X Therefore the unconditional expected value of...

<t>QuoteOriginally posted by: ddrdoubleFirst the law of iterated expections is: The conditional expections operator is defined as the random variable that satisfy:So if you take the integral over .You have it. (just remember is part of every Sigma-Algebra)first of all thank youCould you make me a nu...

Hi,Could someone show me the proof of the famous "law of iterated expectations?Thanks

I want to obtain the yield curve.

Thank you

What is the correct way to estimate the parameters of the diffusion process in Vasicek?

Hi,Is Perraudin moved to Imperial College from Birkbeck? Best whishes

<t>Hi,My experience at Birkbeck was not very good. Not for the difficulty of the courses but for other aspects.In particular, it is very difficult to find some professor at University, some of them are very very busy, and the impression is they do not prepare their lecture. The organization is confu...

I need to find d/dV(superbar).only this I am not looking for the analytic solution of that integralThanks to all

First of all thanksI'm looking for d/dV(superbar)