please read my post carefully.also look at Financial Calculus by Rennie&Baxter, page 107, and Arbitrage theory in continuous time by Bjork, page 234.

it's not. because, as I wrote earlier, if we have S0 today by time t we have not just St but accumulated dividends as well. if it was tradable it's discounted process would be a martingale. it's not in this case. Athleticothanks for confirming! I thought I misunderstood smth..

anyone?

<t>OK. smth doesn't add up Suppose we have dynamics of a stock price paying continuous dividend yield g so that the dynamics of accumulated dividend up to time t called Dt is as follows .we want to price a derivative on S. Now, S itself is not tradable...if we have S0 today by time t we have not jus...

cool! this makes sense.

<r>>i have thougth: levy measure in a jump diffusion process is:a * f(x)where a is >= 0 and f(x) is the probability density function of jumps (size).>this is true if you are talking about finite activity (finite number of jumps on every compact interval) Levy process e.g. compound Poisson process. G...

<t>Marina, >think that levy measure, that is implied, contains all information about the problemyes, this makes some sense. >by levy measure you know that 'distribution of jumps sizes' does not exist: jumps arrive infinitely often.this statement I didn't quite understand Actually, I think that for m...

<t>I am confused...So, we can construct a Levy process by specifying an infinitely divisible r.v. as the density of the increments at time scale 1 i.e. L_1.So, I can construct Gamma process as the one having the exponential distribution for L_1.How do I show that the resulting process consists only ...

<t>Fischer Black (1986):"In the end, a theory is accepted not because it is confirmed by conventionalempirical tests, but because researchers persuade one another that thetheory is correct and relevant."I'd add that, for example, Black-Scholes model, although not empirically accurate it is mathemati...

very typical for Huxley...

<t>QuoteOriginally posted by: farmerQuoteOriginally posted by: FedorEThe guy never called me, I've been sitting next to the phone for more than an hour, thinking that this important person must be busy or smth LOL I haven't heard back from them for about two days, no apologies, nothing, until I got ...

<t>Just my 5 cents on GS. I've talked to 9 people in total and their feedback was positive, and finally they arranged a phone interview with some big shot (partner MD there). The guy never called me, I've been sitting next to the phone for more than an hour, thinking that this important person must ...

For lognormal distr. it is true. in general, why should it be so?

you're right. I rushed to solving the original problem from the first post and then briefly looked at the answer in the later post, which happened to be an answer to a slightly different problem

this made me scratch my head...are you sure you answered the original problem?how can the number of draws to get 100 balls can be less than 100??? (your answer is about 63).The answer for N balls should be N*H_N, where H_N is the Nth harmonic number.