<r>Now I am working on geometric Ornstein Uhlenbeck process which means that a variable y=e^x and x is an OU process: dx=alpha (m-x) dt+beta dW(t). I want to use matlab to get the evolution of density of variable y over time. Although I got some materials from this website <URL url="http://www-math....

<t>G.I.Barenblatt(1978),a physicist, introduced a diffusion equation with similar non-linearilty to model flow in porous media.Arron, when we have a European call option with the volatility in a region: (sigma-,sigma+). Because the sign of gamma of European call option is positive, when we want to g...

<t>What is Black-Scholes-Barenblatt equation ? what is the use of the equation and what is the difference between it and Black-Scholes?When I read the article"Pricing and hedging derivative securities in markets with uncertain volatilities" written by M.Avellaneda, A.Levy and A.Paras. They talked ab...

Thank you ,doofusmaximus. You do me a big favor. It is very helpful.

For what I know about Matlab is only how to solve Poisson ,hyperbolic and parabolic equations. But the equation I want to solve could not belong to one of these three types. There is where the difficult lies.

<r>Now I am working on Geometric Ornstein Uhlenbeck: ds=s[a(c-ln s)dt+bdW(t)].And I want to use Kolmogorov forward equation to describe the evolution over time of the probability density function : partial P/ partial t=(1/2) {partial^2[(b*s)^2 P)]/(partial s^2)}-{partial[(a(c-ln s)s P]/partial s}.Bu...

Do you have Nick Webber 's paper? If someone has it , please paste it there or just mail to me:amoy_parsa@hotmail.com

<t>Simplicio,I don't think so. For now the market price of risk = (u(s)-r)/sigma is not a constant, the market price of risk are also random variable. I think in a risk-netual market the market price of risk should be the same , or the market would be incomplete, and martingale wouldn't be no useful...

Monk ,you get it.

I have also done this topic. And I find it is difficult. Maybe I can share my arguments with you.

<t>I am not certainly whether my argument is right or not.At the first time , when I read JohnHull's book ,I also have this problem. At last , I found many books covered thest article in the same way : when they have never talk about the zero coupon , they use free risk rate to model . When the zero...

What are insiders? What can they do?

I want to some about stock volatility, so I need some articles about garch & diffusion process. Could anyone can recommend some ?

what is telegraphy equation? And do you have some articles focusing on this topic to recommend?

Does it mean that I can ignore momentum if I think about a long timescales ,and we couldn't get a explicit solution as BS equation if I think about momentum in the short timescale.