suppose we have a function f(t,T). Thend f(t, t) / d t = del f(t, t) / del t + del f(t, t) / del Ttherefore assuming that the second term is non-zero they're not the same thing

<t>Is there a consensus on the definition of hedging that can be explained in a simple but faithful manner to retail clients?Our initial ideas revolved around portfolio variance reduction, but that seems to me to be more to do with diversification than hedging.Another idea might be eliminating/reduc...

not exactly great programming style though.

are you also calibrating the mean-reversion parameter?

<t>the resulting portfolio isn't a geometric brownian motion unless the two stocks are perfectly correlated and have the same drift and volatilityin all other cases the concepts of drift and volatility of the portfolio process don't mean muchmaybe you mean the expectation and variance of the portfol...

<t>if the tree is recombining for each node there is more than one path to get to it from the initial node. Therefore the model state must only depend on the coordinates of the node.If the tree is non-recombining, each node has only one path to get to it, so the model state can depend on the entire ...

<t>Depends what you mean by "better".Oksendal is good for just the mathematics of stochastic calculus.Shreve (Continuous time finance) is good for the mathematics of stochastic calculus applied to finance (less emphasis on the theorems and more on their application to financial problems).I'd recomme...

<t>regarding what RDK says about the independence being preserved, all that's really needed is that the L^2([0,T]xOmega) limit preserves measurability with respect to a certain sub-sigma-algebra. Because for deterministic approximating processes, the second integral is F-measurable, where F=sigma(W ...

(deleted: was about to say the same thing... should really read other replies before replying!)

<t>Yes, I have read Landgraf's book, in fact it was the starting point for my thesis work. As far as I can tell he handwaved a few mathematical issues here and there (which is fair enough, I'm not criticising him). Of course I could do that too, but I'd rather not!In its entirety, the PDE iswhere L,...

<t>Hello everyone,I'm writing up my thesis and i'm having a bit of trouble with a few very technical points, relating to valuation/calibration methods of the single-factor Cheyette model with displaced diffusion and stochastic volatilitywhere W1 and W2 are independent brownians and, say, nu = short ...

<t>I moved from the UK and to Italy to study, and although I certainly complicated my life a lot, I think it was worth it in terms of the experience. The barriers to moving are more psychological than objective (at least if you come from another developed country). If you feel it's what you'd like t...

maybe sstream is microsoft-specific? try using #include <strstream>

<r><URL url="http://www.englishpage.com/verbpage/types.htmlI">http://www.englishpage.com/verbpage/types.htmlI</URL> guess continuous tenses usually describe the main action the subject is performing. It's hard to imagine that the main thing somone is doing in any given moment is knowing something.Ma...

We havetherefore choosing A = { (X,Y) : |X-Y| > 0.5 }, the probability is clearly 0.25 (draw yourself a diagram)