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by Orbit
May 28th, 2021, 12:20 am
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1551

Re: PWOQF, expected hitting time

The main thing is have you understood where the integral comes from and how that integration by parts was achieved?
Yes. Yes, I do.
by Orbit
May 26th, 2021, 8:16 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1551

Re: PWOQF, expected hitting time

Ok I feel as though I've started some kind of shitstorm.
I just wanted help with an integral.
Sorry.
by Orbit
May 25th, 2021, 7:09 pm
Forum: Off Topic
Topic: Snooker
Replies: 12
Views: 369

Re: Snooker

As an American, I know this seems pretty strange but I think it's one of the cooler games out there.
This is one of the reasons I don't trust your judgement on PDEs!
Ha haa!!!
by Orbit
May 25th, 2021, 7:07 pm
Forum: Off Topic
Topic: Snooker
Replies: 12
Views: 369

Re: Snooker

Ronnie "The Rocket" O'Sullivan is my favorite Snooker player. He is spectacular to watch. Although the Hurricane was a colossus. (Is that a mixed metaphor, ha ha??) @Cuchulainn It's funny though, when you see players that can do spectacular things without knowing anything about classical m...
by Orbit
May 24th, 2021, 4:39 pm
Forum: Off Topic
Topic: Snooker
Replies: 12
Views: 369

Snooker

This is pretty far off-topic for Quant Finance. In recent times I have been getting in to watching Snooker play on YouTube. What a game! I have really been enjoying this. I am not very good at billiard-type games but wow I would love to get a snooker table at home!! As an American, I know this seems...
by Orbit
May 24th, 2021, 4:20 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1551

Re: PWOQF, expected hitting time

Cuch, For me I think of pencil-and-paper solutions of PDEs as being really, really easy to screw up. But that's just me. Think of the original solution to Black-Scholes. There are a thousand ways to goof up on the way toward transforming into the heat equation. BTW I would prefer your Plan C, ha ha!!!
by Orbit
May 23rd, 2021, 9:55 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1551

Re: PWOQF, expected hitting time

Alan/Cuch:
Honestly, with greatest respect to the PDE gurus here, these days I generally do anything in the world to avoid solving PDEs, and usually try martingale approaches. Just my 2 cents, ha ha.
BTW Alan your link is really great.
by Orbit
May 16th, 2021, 9:31 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1551

Re: PWOQF, expected hitting time

Alan, thank you.
by Orbit
May 16th, 2021, 8:24 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1551

Re: PWOQF, expected hitting time

Thank you very much Alan.
1- Can you offer any pointers to finding what underlying parameters cause exit time to go unbounded vs. finite?
2- Can you guide me through (in the proper context) showing that the second integral is true?
by Orbit
May 16th, 2021, 7:24 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1551

Re: PWOQF, expected hitting time

Hi Cuchulainn, my version is 2003 I think?
Edit: in my version, equation 10.5 is the Kolomogorov equation, only instead of treating the probability function,it's treating the expected hitting time?
by Orbit
May 16th, 2021, 6:59 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1551

PWOQF, expected hitting time

Hi all:in PWOQF Volume 1, p.161, 162 Paul says: Let me introduce the function [$]C(y,t;t')[$] as the probability of the variable [$]y[$] leaving the region [$]\Omega[$] before time [$]t'[$]. This function can be thought of as a cumulative distribution function. ...Once we have found [$]C[$] then it ...
by Orbit
January 6th, 2018, 7:51 pm
Forum: General Forum
Topic: Hull-White in MATLAB - which vol surface to use
Replies: 2
Views: 1040

Re: Hull-White in MATLAB - which vol surface to use

I'm not familiar with the MATLAB function you're using, but it seems to me that if the model you are using is normal (i.e. the short rate r(t) is distributed normally), as it is in the Hull-White model, then you would want the normal vols. Black vols are lognormal.
HTH
by Orbit
December 19th, 2017, 7:07 pm
Forum: Economics Forum
Topic: stealed money in Rio
Replies: 15
Views: 4135

Re: stealed money in Rio

It might be interesting to present value of stealing goods and money dynamically in Rio
How would the present value of stealed goods and money be different than the present value of regular goods and money?
by Orbit
December 19th, 2017, 6:59 pm
Forum: General Forum
Topic: Which model for which fixed-income product?
Replies: 4
Views: 1871

Re: Which model for which fixed-income product?

The general rules: A. The calibrated model has to simultaneously price the deal AND it's hedging instruments           --- when you hedge (and re-hedge!) a deal, you are really selling the opposite deal           --- it's largely irrelevant whether the model correctly prices other deals or deal typ...
by Orbit
December 19th, 2017, 6:57 pm
Forum: Student Forum
Topic: Volatility Trading using European Vanilla Options
Replies: 3
Views: 2416

Re: Volatility Trading using European Vanilla Options

What do you think is the best model for trading volatility using only European Vanilla Options and the underlying? And why? I think it depends on what you mean by "model." If you mean a description of volatility and ts representative "vega" on vanilla Europeans then I would say ...
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