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by cgukhal
December 2nd, 2008, 1:00 am
Forum: Technical Forum
Topic: how to combine three sdes
Replies: 1
Views: 45905

how to combine three sdes

<t>I am stuck on this---any ideas?Consider the standard GBM for the stock price with the interest rate and dividend rate following mean-reverting CIR processes. The 3 BMs (dZ's in the sdes) are correlated. The equations are shown below.Question: How do I get one sde for the stock price in the follow...
by cgukhal
November 2nd, 2008, 4:32 am
Forum: Careers Forum
Topic: Working 9-5 while finishing PhD
Replies: 47
Views: 52073

Working 9-5 while finishing PhD

Here are some suggestions.1. Do your thesis work early in the morning, start at say 3 or 4 am.2. Work for a few months and save as much as possible and then return to dissertation full-time.3. Switch to a part-time position4. Borrow
by cgukhal
April 26th, 2008, 3:17 am
Forum: Programming and Software Forum
Topic: Will C and C++ Survive?
Replies: 10
Views: 58074

Will C and C++ Survive?

From the article Will C and C++ Survive?"...it appears that C++ is nearly extinct in IT organizations producing enterprise or stand-alone applications..."To what extent does this hold for financial applications?Reddy
by cgukhal
March 27th, 2008, 4:48 am
Forum: Careers Forum
Topic: Wharton Ph.D. in finance
Replies: 7
Views: 58788

Wharton Ph.D. in finance

Check your messages.
by cgukhal
November 29th, 2007, 11:54 am
Forum: Book And Research Paper Forum
Topic: New Book: PDE Valuation of Interest Rate Derivatives
Replies: 30
Views: 92325

New Book: PDE Valuation of Interest Rate Derivatives

<r>The presentation slides for Peter's thesis are athttp://<URL url="http://www.math.uni-bayreuth.de/~lgruene/diplom/peter_kohl-landgraf_folien.pdfAny"><LINK_TEXT text="www.math.uni-bayreuth.de/~lgruene/diplo ... ien.pdfAny">www.math.uni-bayreuth.de/~lgruene/diplom/peter_kohl-landgraf_folien.pdfAny<...
by cgukhal
November 28th, 2007, 2:53 pm
Forum: Technical Forum
Topic: Does anyone know the close form solution of Merton's Jump Diffusion model?
Replies: 16
Views: 67541

Does anyone know the close form solution of Merton's Jump Diffusion model?

QuoteOriginally posted by: Yossarian22G. Labahn. Closed form PDF for Merton’s jump diffusion model. Technical report, School of Computer Science, Unviersity of Waterloo, Waterloo, Ont., Canada N2L 3G1,2003.Yossarian:Do you have the above paper? If so, appreciate a copy.BestReddy
by cgukhal
January 25th, 2007, 2:26 pm
Forum: Careers Forum
Topic: Pursuing a PhD from Well Know Supervisor but not a well know university
Replies: 77
Views: 86638

Pursuing a PhD from Well Know Supervisor but not a well know university

<t>QuoteOriginally posted by: ppauperIf you have a specific supervisor in mind, find out what all of his recent students ended up doingThis is great advice - I cannot emphasize enough the importance of checking how a potential supervisor treats his students and how well they are doing after Ph.D.Abo...
by cgukhal
January 24th, 2007, 2:08 pm
Forum: Careers Forum
Topic: Should Wilmott ban unprofessional head hunters?
Replies: 3
Views: 81150

Should Wilmott ban unprofessional head hunters?

<t>Hi Dominic:Wanted to get a discussion started. My responses are below.BestReddyQuoteOriginally posted by: DCFCObviously I'm an interested party, so weight my words accordingly Part of the reason is the relative damage to either side. The bad HHs will simply take their advertising money elsewhere,...
by cgukhal
January 24th, 2007, 11:25 am
Forum: Careers Forum
Topic: Should Wilmott ban unprofessional head hunters?
Replies: 3
Views: 81150

Should Wilmott ban unprofessional head hunters?

<t>I came across several threads discussing negative experiences with headhunters.Some of you may be interested in this post in nuclearphynance.QuoteThis is a notice to alert members of NP that we are revoking the certification for the recruitment firm "xxxx yyyy". We have received first hand accoun...
by cgukhal
August 9th, 2006, 2:39 pm
Forum: Careers Forum
Topic: Question on H1-B status
Replies: 31
Views: 105933

Question on H1-B status

<t>QuoteOriginally posted by: DCFCcgukhal is right, by a combination of happy accidents, corruption, and incompetence, it's a lot easier to come to Britain.Hi Dominic:Here I was thinking that the point system was an outcome of rational thought :-)The story behind HSMP seems interesting .... can you ...
by cgukhal
August 6th, 2006, 2:12 am
Forum: Careers Forum
Topic: Question on H1-B status
Replies: 31
Views: 105933

Question on H1-B status

<r>Hi Guys:I am not a lawyer ... so check with your immigration lawyer. There is an active forum at <URL url="http://www.immigration.com">www.immigration.com</URL> - you may want to check this out. No, I am not connected with this firm.here is some info.1. The H-1 quota for 2006-07 is exhausted. The...
by cgukhal
May 8th, 2003, 5:24 am
Forum: Technical Forum
Topic: Jump diffusion models
Replies: 23
Views: 193566

Jump diffusion models

I am the author of the paper (compound options on jump-diffusions) mentioned by Alan. If you need a copy, email your address to cgukhalDELETE_ME@yahoo.com.BestReddy