Thanks Pier for your contributions.Svetlana

<t>Perhaps 'N' is making some progress, but not much.The physical limitations of the Wiener process are well-known: for example, Cox & Miller state "As a model for the motion of a Brownian particle the Wiener process has some defects ... the velocity becomes infinite as the time interval goes to...

<t>"Folk math" will keep me busy and content for now 'N'.All models are approximations, some are more useful than others.The angst about normal distributions is curious. It is well known, from the empirical evidence, that:1. Returns are not normal (Chapter 4),2. The distribution of daily returns, co...

Hi NHave you read my book?Svetlana

<t>Thanks to 'pcerutti' for sharing his or her files. Sharing seems to have triggered a long discussion that has nothing much to do with Stephen Taylor's book.'N' may obtain an edge by applying his or her education and that can be enhanced by reading suitable books, assuming the possession of an ope...

A typical "good" UK university will require a 70% average for 8 taught courses and also 70% for a dissertation.Perhaps 10% of all MSc students get a distinction.It is extremely rare to attain an average of 80% or more.SV

<t>ARCH models tell you more than historical variance when you consider stock index returns. A good stock, ARCH model will tell you that volatility is more likely to rise after the market falls than after it rises; but historical variance won't pick up this asymmetric effect.The superior forecast ac...

<t>1. The precision of forecasts can only be assessed if you choose a loss function. This could be based on a statistical criterion (e.g. mean square error) or something economic (a hedging error). The former is easier and hence more popular.2. Realised volatility (from, say, 5-minute returns) is be...

No comment. CarolynT can always e-mail me...SV

<t>Some possible explanations:1. "Quantitative finance" is only a small part of Finance, so QF papers will always be relatively sparse in general finance journals. Note that QF papers do exist in JF, RFS & JFE.2. QF research is often done by people who are not employed by universities. Non-acade...

Hi "dinner"I have sent you a private message. Methods and results for several risk-neutral density estimation methods are in Chapter 16 of Taylor's Asset Price Dynamics, Volatility, and Prediction, available from the Wilmott bookshop and elsewhere.SV

<t>As Carolyn T must know, Stephen Taylor = Svetlana.Successful UK academics in the area of financial econometrics include (alphabetically) Carol Alexander (Reading), Chris Brooks (City), Ser-Huang Poon (Manchester), Mark Salmon (Warwick), Steve Satchell (Cambridge), Neil Shephard (Oxford) and Steph...

<t>It can seem a bit random. Some years we need teaching help in some areas more than in other years. Some years there is more money in our budget.Try to decide what you want to study (QF<>statistics), try to identify where you can find good supervision and only then think hard about the funding iss...

Assuming you want your implicit risk-neutral density to be risk-neutral,w*f1 + (1-w)*f2 =f,with f the forward price for when the options expire.SV

<t>Most finance research students in the UK are from countries outside the EU. Many of these students have a living allowance and fees paid by their university, in return for teaching and/or research assistance.Competition at some universities for such studentships is severe, at others it may be eas...