<t>While timeds solution is correct, the recursion can also be written a little differently.Let x_i = Expected number of tosses to get n consecutive heads, from a "state" of i consecutive heads. So x_0 is what we are after.Then,x_{i-1} = (x_{i} +1)*p + (1-p)*(x_0 +1)and x_n =0. So, x_{n-1} = p + (1-...

Paolos:You are indeed correct !M

Inspired by the recent Buckeye - Gator game....B and G play a tournament of 48 games. In each game, the probability that B wins is 0.6. At half time, or after 24 games, B is trailing G by 4 games. What is the probability that B still wins the tournament.

<t>Hi,If W(t) is a standard Wiener process, the first passage time T(x) is defined as:T(x) = inf{t: W(t) = x}T(x) has density function |x|Exp[-x^2/(2t)]/Sqrt[2 Pi t^3]I have a problem understanding why E[T(x)] is Infinity for all x > 0.In my opinion this is rather disheartening. Could someone kindly...

<t>Ok, I'l take a stab at (2).Let X = r.v. = number of types of candy in the bag. What we want is E[X]. I will do this the long way and find the distribution of X from which E[X] follows.Now, P[X=1] = (50c1).1/50^5 = 1/50^4.P[X=2] = (50C2).(2^5-2)/50^5 = 49x15/50^4This is derived as follows: Pick tw...

<t>I don't think so. If m=a, means that you want to capture all marked animals. P(X=n) is the probability that you have to catch every one from the forest in order to do so. If you are lucky m catches will be enough, so P(X=n) < 1, unless m=n also.Thanks. I see where my mistake is. I was thinking th...

<t>There are b animals in a forest of which a are marked. Let X be the number of animals to be captured to obtain m marked animals. Find P(X=n). The answer given in the book ((n,m) is the binomial coeff) is (a/b) (a-1,m-1)(b-a,n-m)/(b-1,n-1)However, when n=b, and m=a, this does not give P(X=n) = 1 a...

<t>I was wondering if anyone has any current contact information for Dirk Bouma, an equity derivatives recruiter. He formerly worked at EJLance (1998-2000) and then Cambridge Management Assoc.(2002...). Also, is there a web-site that lists derivative recruiters with current info. A lot of the good r...

<t>Any suggested reading on derivative applications for the institutional client (hedge, pension, mutual funds, insurance) ? especially from the clients perspective...i.e. accounting, tax, legal considerations . Am aware of the Risk books and Harry Kat's book on structured equity derivatives.I was a...

<t>I was wondering if anyone out there has enrolled in the following course offered at Columbia : B9301-031 - Equity derivatives (term offered: spring) by Prof. Zurak. I am especially interested in the following as described in the course outline "Strategies - A large component of this course involv...

<t>Hi Stampeding:Thanks for your reply. I dont get what you get and I dont know who is right.I take your example of estimating the mean of a norml distribution. So let S_n/n denote the computed mean of the samples. From CLT, we know that S_n/n is distributed as N(0,1/sqrt(n)).In RE, we write this as...

<t>Hi Folks:I apologise if this has been asked before, but my question is : has anybody tried Richardson extrapolation to increase the accuracy of Monte Carlo simulations ?By way of background, Romberg integration comes to mind. The idea is to use a fairly low order methodrepeatedly and obtain a hig...

<t>Folks:I am a newbie with very little knowledge of finance, so please bear with me if this has been covered before:While reading thru Wilmott ( Option Pricing (1993)), I couldnt help but wonder why he uses PSOR(Projected Successive Overrelaxation) for solving the tridiagonal system obtained after ...