<t>QuoteOriginally posted by: wileyswassume "a" is an integer - denote A=|a| (the absolute value of a).i got P[N(a)=i]=[1-1/(2A)]^(i-1)/(2A)^2 for any arbitrary positive integer i. hence E[N(a)]=1, irrelevant of a, which is pretty surprising to me.my approach is just induction and to consider the fi...

Hi,I couldn't find answer to this easy question. If W(t) is a standard Brownian motion, then apparently W(t) is a Martingale. Is W(t)^3 also a Martingale?Thanks.

<t>QuoteOriginally posted by: freddiemacHi! If you have VaR for a certain portfolio calculated at 99 % confidence interval, using 10 days holding period and a constant volatility (i.e. decay factor=1) then you can annulize this by multiplying the VaR value with 5 (the square root of 25, I assume 250...

Hi,Does anyone have the paper "Omega functions and omega metrics" or "From Omega to Alpha" by Cascon and Shadwick?Thanks.

I am also looking for this article as well as "FROM OMEGA TO ALPHA".Thanks.

Hi,If I know that the beta for stock 1 is b1, and the beta for stock 2 is b2. And I also know their variances as well as the variance of the market portfolio, is there a way to get the correlation of the two stocks?Thanks.

<t>QuoteOriginally posted by: sjconQuoteOriginally posted by: BlackSheepWith replacement: (64+27+27+6*36)/1000=0.334. Without replacement: (4+1+1+36)/120=0.35.Could you explain how you got the numbers in parentheses? Thanks.To choose 3 from 10, C(10, 3) = 10X9X8/(3X2)=120From 1 to 10, there are 4 nu...

<t>QuoteOriginally posted by: gopalaThese are the different possibilities:Outcome --- PayoffRWB -- 0 RBW -- 0WRB -- 4WBR -- 5BWR -- 5BRW -- 1each outcome has probability 1/6so the expected value should be 15/6I am not sure what I am doing wrong here.You assume the game will stop after 3 tries. It co...

I don't think your logic is correct. The fact that you see N consecutive heads is not the same as you see N consecutive heads AND N consecutive tails before. Therefore, P(A) is not equal to P(you see N consecutive heads).

1/2 is the correct answer. What I can't figure out is how to extend this to a more generic question. What if A gets 52, or 53 shots? What is the probability of A winning? According to gentinex's analysis, the answer will be 3/4 if A gets 52 shots? I am not sure if it is correct.Thanks.

<t>A and B are having a shooting contest. Each of them have 50bullets. For each bullet, both A and B have 50% probability of hitting thetarget. After they finish shooting, the total numbers of bulletsthat hit the target are counted. If A hit the target more than B,A wins. If they hit the target the ...

<t>Hi,This is a really basic question, I guess. Based the non-dividend Black Scholes formula:V = S*N(d1) + K*exp(-rT)*N(d2)can someone please show me or point me to a source where the step by step derivation of delta is shown? I understand that delta = dV/dS = N(d1) for a call option. But I can't fi...