<t>Hello,The hazard function, r, is defined as:r(t)=\lim \Delta t \rightarrow 0 \frac{P(t\leq T <t+\Delta t|T\geq t)}{\Delta t}and the pdf function, f, f(t)=\lim \Delta t \rightarrow 0 \frac{P(t\leq T <t+\Delta t)}{\Delta t}Another formula expresses the hazard function as r(t)=\frac{f(t)}{S(t)}, whe...

In part a , you got apply the expectation to the equation above to abtain (check the martingale property) you need to calculate and replace to get and then On the other hand , and use the definition of the expectation to get the left side of the equation in part b divided by

<t>Hi,part a is the Ito's rule!!For part b, you need to calculate E(Mt) .... M0= 1/sqrt(a)apply the expectation to the expression of Mt obtained in part aE(Mt)=E(M0)+ E(INT{ ......dt}) + 0 you need to calculate E{(Bt^2)*exp(Bt^2/2(a+t))} and E{exp(Bt^2/2(a+t))}....it's easy...you getE(INT{ ......dt}...

A good place to look is:http://www.ats.ucla.edu/stat/sas/faq/co ... ckages.htm

Hi all,I am looking for C/C++ code for estimation parameters for generalized hyperbolic distributions.Any help greatly appreciated.Kind regards,

Hi,you can use uniroot function. It's included in stats packages for R.> f<-function(x){ 4.512338-log(x/(x+1310.6))/ log(x/(x+185.6))}> uniroot(f,c(0.0001,100000)) > uniroot(f,c(0.001,10000))$root[1] 715.032$f.root[1] 1.365308e-11$iter[1] 9$estim.prec[1] 6.103516e-05

ok

Thanks a lot!Did someone have an idea about the kind of questions asked in this kind of interviews?

I have a preliminary technical telephone interview ( about 90 mn) next week regarding a research Analyst with a major US IB.Does anyone know what sort of questions asked in this kind of interviews?Thanks