around 25 students so far, both full time and part time participants.

a good hard bump.

<r>I have created a yahoo group for admitted students who have decided to enter CMU's MSCF program. Batch 2007-2008.Address is at <URL url="http://groups.yahoo.com/group/CMU_MSCF_07-08Come">http://groups.yahoo.com/group/CMU_MSCF_07-08Come</URL> and join us future CMU classmates!I will add more featu...

Aaron, ppauper,thanks for your help! cheers!

I'll try that out.thanks again for the help Alan

<t>hi thanks for replying.QuoteThe second follows from Ito's formula for f(S1,S2).that's the one I couldn't understand. Are we supposed to expand Z2(t) and get its derivative with respect to S1 and S2 repectively...cause that kind of computation seems too unnecessarily complicated and messy.QuoteThe...

<t>As a follow-up question what if instead we are given:where and are scalar P-Weiner process with correlation rho, and Y1(t) and Y2(t) are independent weiner processes.According the Bjork, if we use the Ito formula again, instead of justas in the above.that is, if we define Z2(t) as in the above, w...

<t>this is from the Bjork book, Arbitrage Theory in Continuous Time, pages 351 to 352I'm trying to understand how Bjork used the Ito Formula to solve the following:Given:and lettingBjork gave the P-dynamics of Z2 as follows (we ignore the terms in dt):I understand that the Ito Formula states dW(t) t...

<t>hey thanks for the help.yep, alpha = 1% means 99% VaRso I guess my friend is right then.What I want to understand is does that mean that the 99% VaR always coincide with the greatest amount of loss or least amount of gain, as long as the probability of that happening is greater than 1%?For exampl...

<t>How do you compute the VaR for this problem:The position is you have 1/3 probability of gaining $1001/3 probability of gaining $201/3 probability of losing $30alpha is 1%my friend's answer is -$30, mine is $33 1/3...which is the correct answer?and if -30$ is correct, is it then always the smalles...

<t>I have a question with regards to an application of change of numeraire to the Margrabe (Exchange) Option:given the price dynamicswhere W1 and W2 are scalar P-Wiener with local correlation p (rho) and thus the sigmas are scalar constants.How do I prove that the 2 scalar Wiener processes W1(t) and...

<t>Given a probability space, how do I find the family of all equivalent probabilities on the space?For example,let the discrete random variable X have uniform probability equal to 1/3, taking values 10, 2, and -3. the r.v. is represented on the finite probability space = {1, 2, 3}. How do I find th...

<t>This is for people who are already in the industry:For career paths that you get after earning a degree in fin math (such as risk management, derivatives structuring, etc...not necessarily limited to quant which are mostly filled by PhDs anyways), how much math (especially the theoritical ones) d...

bump...anyone?

<t>Continuing...for b, I must show that each side of the equation is contained in the other. Here's how I approached the problem: is simply (since T+1 is always greater than t0). This is always a by definition of . And since is just an element of , I have shown that is contained in For the other way...