Sure. As time passes by the optionality loses its value. I wasn't thinking that theta was negative. Thx.

<t>Hi,In Paul Wilmott's intro to quant finance, I read that if you delta hedge an option but maintain a positive Gamma, then you will make money on large moves in the underlying but you will lose money on small moves.I understand that once your portfolio Pi is delta hedged, then it grows at the risk...

QuoteOriginally posted by: silenozShreve explains the ideas quite nice in his book "Stochastic calculus for finance II".I'm a student in financial math as well and this book is brillant. It's good mix of intuition and technical details.

Indeed, it works now!Thanks for your help, asking imaginary dollars for my option would have probably not been in my best interest!Your website is very nice by the way.

<t>Hi,I was trying to model a two assets portfolio as well but I get complex numbers for the white noise of my second, correlated asset.Any idea where this could come from?I generate my white noise epsilon_1 from a normal dist.Then, I use Cholesky decomposition to come up with my second white noise ...

<t>Hi all,I was wondering if practitioners could give me their opinion on Financial Risk Managers certification Vs Professional Risk Management certification.Which one is the most reputable designation?Is there any difference in the material covered?Could anybody who took one of the certifications s...

It will be very useful to test my results but I would need the script to be able to code the pseudoinverse in another language.If ever you know the other language, it was made for the software called trading blox...Clovis

Hi all,I've been looking for days now for a pseudoinverse script using VBA.Anybody knows where I could find that?

<t>Hi all,Has anyone already used the software called R to calculate the variance ratio?I am comparing my results with the Lo.Mac function in R but they differ significantly.Would anyone be aware of the formula the software uses to calculate the M2 statistic (variance ratio under heteroskedasticity)...

<t>Hi all,Has anyone already used the software called R to calculate the variance ratio?I am comparing my results with the Lo.Mac function in R but they differ significantly.Would anyone be aware of the formula the software uses to calculate the M2 statistic (variance ratio under heteroskedasticity)...

<t>Has anyone already used the software called R to calculate the variance ratio?I am comparing my results with the Lo.Mac function in R but they differ significantly.Would anyone be aware of the formula the software uses to calculate the M2 statistic (variance ratio under heteroskedasticity)?Is it ...

<t>Yes this was my question. What were you assuming for your time series: homoskedastic and no autocorrelation.heteroskedastic and no autocorrelation.I have read that this was changing the variance ratio calculation to be used and I am wondering which assumption would be more realistic for commoditi...

<r>Hi,I am trying to test the price process of commodities for a trending behaviour. Using a variance ratio test, can I interpret that a significantly higher than one variance ratio indicates a trend?<B>[b/]</B>I have read in A non random walk down Wall Street (1999) by Lo that under heteroskedascti...

<t>QuoteOriginally posted by: adannenbergThe variance ratio that was talked about by Lo et al and is used to detect serial autocorrelation is computed differently. It is only meaningful, really, in a finite difference context. It says, for example, let me construct the distributions of the non-overl...

<t>I have already got the job but I have a trial week before they keep me.I was told that their development platform is Trading Blox but they use WealthLab for their production system.Firstly, I am not sure about the difference between a development platform and a production system.Secondly, their i...