<t>Hi xgmdzrt2k8,the answer to your question depends on how much you are willing to take on faith. A clean derivation of this result (especially if you want a clean and correct statement with the correct hypothesis on F) would take lots of time and efforts.But let's do simple without too much worryi...

<t>I must say I am very surprised at Derman's latest post: "The Continuum Hypothesis".Let me recall Derman's statement: "It feels like for any given memory, you can always go "one decimal place further" or one level more granular in the details of the memory, and therefore there is no way to order t...

<t>Here is the principle to solve this (I am telling you how to solve the first example and hopefully once you have understood the principle you can do the rest yourself :-)The zero coupon bonds (ZCBs) that mature in 1 year and 2 years give you the values of the discount factors from now to 1 year i...

Sorry that was Oxford ...... forgot that the entry requirements of those two places have nothing to do with each other.

<t>QuoteOriginally posted by: mjI was a fellow of a graduate college at cambridge for five years and saw what quality the students were, how much work the students did and what grades they got. It was also rather depressing hearing "i only came to cambridge because i couldn't get into a good univers...

<t>Hi Afoglia,this kind of agreement is not only typical in quant finance but in any job (any consultancy firm in any field will make you sign these types of agreements). However, they have almost no value (and especially in the case you get fired). The reason why I say so is that a company cannot p...

<t>hi khoni06,no that s not at all what you said....... reread what you wrote:you said: "...the price of an American option is the Snell envelope of the payoff ..." which is wrongyou also said"...It's not a martingale ... " which is also wrong the correct diagram is: payoff process -> snell envelope...

<r>Hi Y0da,I would bet that you have never read "Stochastic Calculus and Brownian Motion" by Shreve and Karatzas <E>;-)</E> ..... if you had you wouldn t want to study more advanced books on stochastic calculus believe me!Regarding your question:In the UK: you have PhDs in Financial Maths in Cambrid...

<t> Just a remark that stochastic volatility models need not be incomplete. Stochastic volatility just means that the volatility is non deterministic. For instance, local volatility models are stochastic vol models. In more complex cases (i.e. non local vol models), it is still perfectly possible to...

<r>Khoni06, this is rather the opposite: in mathematical terms, the snell envelope of the payoff process of an american option is a supermartingale (this is by definition the smallest supermartingale dominating the payoff process of the american option). By the optional sampling theorem, the stopped...

<t>Hi Dongta,regarding your point nb 2), not all models are supposed markovian...at least this is not necessary to assume a markovian structure under the real world measure.To give a simple example, imagine a model in discrete time. Take interest rate = 0 for simplicity, and one stock which can eith...

<t> Hi,I am facing the following problem and I was wondering if anybody would have done something similar or knew a paper which could be of help.I would like to estimate and calibrate the parameters of IR models (Hull and White and BGM) in order to get both the parameters under the real world measur...