<t>I think the problem is too dependent on personal interests, even if you only consider wealth as the criteria for marginal value.If you don't find the underlying subject interesting, you won't get that much from any additional qualifications anways. Especially so for the PhD I think.What is it wit...

<t>Your basic intuition is basicly correct, filtrations are a very abstract way of discussing information. Different filtrations then correspond to different types of information available. Unfortunately, most books don't discuss the underlying ideas around this very well, so it can be a bit hard to...

<t>QuoteOriginally posted by: epon79Ok...so I have decided to concentrate on regime switching.What i was thinking of was looking at the probability of transition from one regime to the next with a stochastic vol term.Not sure this makes sense but my rational is that surely in times of high vol the c...

<t>QuoteOriginally posted by: DominicConnorI think that's an acceptably "hot" topic, my suggestion is that you've not presented an approach that is mathematical enough.I think this a weird problem in academic research. The solution has to be technical enough to be impressive but tractable enough to ...

<t>QuoteOriginally posted by: LTrainSlightly OTObviously I don't know about this specific position, but I was approached outside of work by one of these life insurance critters. The game: they purchase a life insurance policy in my name, they pay all premiums, and after two years I get a $100k lump ...

<t>QuoteOriginally posted by: loseminduQuoteOriginally posted by: losemindbQuoteOriginally posted by: mjyou are trying to approximate an incomplete market with a complete one. Whilst not necessarily impossible you are really asking for trouble.Why is the trouble? Could you please elaborate?At micros...

I've read one of the chapters. Which was very readable and clear.The style is quite similar in style to the books by Øksendal, if you've read any of those. For instance, the theorems seems to be given in minimum conditions, not the easiest necessary conditions.

<t>I think your ideas is kinda of hard to read - your writing is a bit unprecise. I also don't think you entirely get all the literature surrounding the problem ( or I might just be arrogant, who knows ? ). QuoteOriginally posted by: GroznyThe Black-Scholes model of the market for an equity makes th...

<t>QuoteOriginally posted by: OstepopIs there anything "special" in the way you calculate american\european option prices in a binominal tree that does not recombine? I realise that the up and down steps will be different at each node thus "u" and "d" values will be different at each step, but other...

<t>After doing some random scripting with Python, I want to actually learn how to use it properly. So I am looking for a decent book on Python. I would use it mostly for numerical stuff, but also some file i/o and simple gui's. I do have some but not extensive programming experience in java and matl...

<t>As part of project I did recently, I made matlab function that saves a matrix in latex code. Ie, input a matrix and the headlines you want, and you get a .txt file with the apropiate latex code for a table. i thought I could share, in case this could be useful for other people as well. In the end...

<t>QuoteOriginally posted by: Paulhhhmmm, your answer is the 'classic' one that assumes all sorts of rationality, efficiency, and many other things about mere humans that are not true. See Results and Ideas: Two classical putdowns.PInteresting point, and it's not that I'm a strong believer in ration...

<t>QuoteOriginally posted by: somedevilMy question is: If someone tells you that such a way is possible via trading( stocks, futures, options etc.) and is there even the slightest chance that you would believe them? I would only believe them if I saw the actual account balance before and after a suc...

<t>QuoteOriginally posted by: pcgOption prices very much depend on probability. Consider that if you were dead sure a stock will go up with 99% probability , as an option seller what vol will u quote ?Uwill make the vol skew towards the stock going up direction? So u will quote a very high risk reve...

<r>QuoteOriginally posted by: AnthisQuoteOriginally posted by: iliketopologyQuoteOriginally posted by: hhhmmmTo say something stereotypical, Because people with the mathematical background can easily pick up the economics, but the economists cannot pick up the mathematics at all ?Looking at it from ...