Serving the Quantitative Finance Community

Search found 18 matches

  • 1
  • 2
by Huanghanming
January 2nd, 2011, 2:00 am
Forum: Student Forum
Topic: Some questions on basic financial mathematics
Replies: 10
Views: 26239

Some questions on basic financial mathematics

<t>the two Ito integrals of the product inside the expectation are independent (property of the Ito integral). So the expectation of the multiplication is zero. QuoteOriginally posted by: DoubleTroubleThank you for your replies!Regarding my first question, this is how I reason now. I continue from m...
by Huanghanming
January 2nd, 2011, 1:53 am
Forum: Brainteaser Forum
Topic: A conditional expectation question
Replies: 41
Views: 49159

A conditional expectation question

can it be done like this way:E[X|X+Y=1]=E[X|X=1-Y]=1-YQuoteOriginally posted by: huayenGiven X, Y ~ N(0,1), E[X|X+Y=1]=?
by Huanghanming
January 1st, 2011, 11:15 am
Forum: Student Forum
Topic: interview questions of Model Validation
Replies: 1
Views: 27023

interview questions of Model Validation

<t>Hi all,I currently get an interview for the position of Model Validation.Could any one kindly tell me what kind of preparation that I need to do? I mean, what kind of technical details (mathematical and programing) they may ask?Please give me some advices, I am so eager to succeed in this first q...
by Huanghanming
January 1st, 2011, 9:47 am
Forum: Careers Forum
Topic: Position of Model validation
Replies: 16
Views: 24360

Position of Model validation

<t>ThinkDifferent, could you please give me some paper about MV? Then I may have a clear concept from some concrete examples.QuoteOriginally posted by: ThinkDifferentwhat does model val role have to do with "knowing everything about all sorts of stat tests"?For the interview you need to know somethi...
by Huanghanming
January 1st, 2011, 8:47 am
Forum: Careers Forum
Topic: Position of Model validation
Replies: 16
Views: 24360

Position of Model validation

oop, sorry for all the grammar mistakes. I am not a native English speaker, and kind of excited when I created this thread...QuoteOriginally posted by: AvovAGet some English lessons, too.
by Huanghanming
January 1st, 2011, 8:42 am
Forum: Careers Forum
Topic: Position of Model validation
Replies: 16
Views: 24360

Position of Model validation

<t>thank you very much. kind of relieved...another question: does this role involve a lot of econometric methods such as time series? I am not very good at those things.QuoteOriginally posted by: ThinkDifferentQuoteOriginally posted by: quantmehif it's modval quant, then you have to know everything ...
by Huanghanming
January 1st, 2011, 8:35 am
Forum: Careers Forum
Topic: Position of Model validation
Replies: 16
Views: 24360

Position of Model validation

<t>your reply is intimidating..... ~>_<~It means I should prepare nothing, since that is totally beyond my ability...QuoteOriginally posted by: quantmehif it's modval quant, then you have to know everything about all sorts of stat tests, stuff like KS and DW; things like predictive power assessment ...
by Huanghanming
December 31st, 2010, 1:15 pm
Forum: Careers Forum
Topic: Position of Model validation
Replies: 16
Views: 24360

Position of Model validation

<t>Hi,I get an interview for the position of Model Validation.Could any one kindly tell me what kind of preparation that I need? I mean,is there any particular question they may ask? Please give me some advices, I am so eager to succeed in this first quant job. ~>_<~Thanks in advance!! </t>
by Huanghanming
September 23rd, 2010, 6:44 am
Forum: Student Forum
Topic: need help for calculating an expectation
Replies: 8
Views: 24331

need help for calculating an expectation

the calculation for the conditional expectation is the same tedious as directly applying the bivariate normal density....QuoteOriginally posted by: rg209How about conditioning wrt to x_1.E(x_1 * exp(x_1+x_2)) = E( x_1* exp x_1 E( exp x_2 / x_1))
by Huanghanming
September 23rd, 2010, 6:37 am
Forum: Student Forum
Topic: need help for calculating an expectation
Replies: 8
Views: 24331

need help for calculating an expectation

you are right. just some tedious calculation... ~>_<~QuoteOriginally posted by: DevonFangsJust write down the integral as the very definition of expected value
by Huanghanming
September 22nd, 2010, 6:29 am
Forum: Student Forum
Topic: need help for calculating an expectation
Replies: 8
Views: 24331

need help for calculating an expectation

QuoteOriginally posted by: DevonFangsIt's not so hard.You know the pdf of two correlated r.v., what can you do then?but how to calculate the covariance of the lognormal and the normal r.v. ?
by Huanghanming
September 22nd, 2010, 6:26 am
Forum: Student Forum
Topic: need help for calculating an expectation
Replies: 8
Views: 24331

need help for calculating an expectation

I have got it. thanks.
by Huanghanming
September 22nd, 2010, 4:48 am
Forum: Student Forum
Topic: need help for calculating an expectation
Replies: 8
Views: 24331

need help for calculating an expectation

can anyone help me for calculating this expectation? Thanks a lot!where are correlated normal random variables with coefficient c.
by Huanghanming
April 28th, 2010, 7:42 am
Forum: Student Forum
Topic: Did anyone read schonbucher's book (credit derivatives pricing modes)?, pls help
Replies: 5
Views: 30086

Did anyone read schonbucher's book (credit derivatives pricing modes)?, pls help

<t>Hi, my question is, if the pre-default (or conditional) bond prices are adapted to the filtration generated by Brownian motions, how to introduce a jump term into the dynamics of the unconditional bond prices (or how to derive the dynamics of the unconditional bond prices from the conditional pri...
by Huanghanming
April 23rd, 2010, 12:59 pm
Forum: Student Forum
Topic: Did anyone read schonbucher's book (credit derivatives pricing modes)?, pls help
Replies: 5
Views: 30086

Did anyone read schonbucher's book (credit derivatives pricing modes)?, pls help

thanks for your reply. Do you mean the bond price is a conditional price or pre-default price? But in that case I think the jump term should be included in assumption 7.2. And should be the same as QuoteOriginally posted by: Alanread the first line top 182
  • 1
  • 2