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by iuliny
February 26th, 2010, 4:44 pm
Forum: Brainteaser Forum
Topic: eigenvalue question
Replies: 6
Views: 35880

eigenvalue question

(1 - alpha) ?
by iuliny
February 24th, 2010, 12:37 pm
Forum: Numerical Methods Forum
Topic: principle component analysis
Replies: 3
Views: 32350

principle component analysis

Compute the covariance matrix, do an SVD to determine r. With the rank determined just take the square-root of the rank reduced covariance matrix. Hth
by iuliny
February 23rd, 2010, 4:28 pm
Forum: Student Forum
Topic: Dynamic of instantaneous Forward Rate curve
Replies: 3
Views: 33836

Dynamic of instantaneous Forward Rate curve

For example d B_T = B_T' dt and so on. Replace A and B by their known analytical forms and do the math.
by iuliny
February 5th, 2010, 7:25 pm
Forum: Numerical Methods Forum
Topic: Combining PDE and SDE models
Replies: 30
Views: 40704

Combining PDE and SDE models

I've stumbled upon this some time ago that has a mixed approach...http://www.springerlink.com/content/6p3 ... /HthIulian
by iuliny
February 5th, 2010, 12:21 pm
Forum: Book And Research Paper Forum
Topic: smart papers to predict market crash
Replies: 1
Views: 32602

smart papers to predict market crash

I liked this: http://arxiv.org/abs/0907.4290Not 100% sure this is what you're looking for...
by iuliny
February 4th, 2010, 2:02 pm
Forum: Student Forum
Topic: (cosBt)*exp{t/2} is a martingale?
Replies: 1
Views: 31407

(cosBt)*exp{t/2} is a martingale?

Use the martingale PDE condition Take f(t,x) = e^{t/2} cos(x) and see if f_{t} + 1/2 f_{xx} =0. If yes it's a local martingale. Then check if f_{x} is in H^2.Hth
by iuliny
January 26th, 2010, 12:27 pm
Forum: Book And Research Paper Forum
Topic: Best C++ course/book for beginner
Replies: 9
Views: 39213

Best C++ course/book for beginner

Programming: Principles and Practice Using C++ by Strostroup
by iuliny
January 26th, 2010, 12:26 pm
Forum: Book And Research Paper Forum
Topic: Book on value at risk
Replies: 10
Views: 36161

Book on value at risk

Jorion, Value-at-risk 3rd edition
by iuliny
January 23rd, 2010, 6:57 pm
Forum: Book And Research Paper Forum
Topic: Duffy's Book
Replies: 6
Views: 36509

Duffy's Book

If you've never programmed in C++ before I would say beginner.
by iuliny
January 15th, 2010, 12:30 pm
Forum: General Forum
Topic: Assumptions of Efficient Frontier (Mean variance Analysis in general)
Replies: 7
Views: 34973

Assumptions of Efficient Frontier (Mean variance Analysis in general)

<t>It's not only CAPM it's in general and you can find the link when you look at the problem as the optimization of the index of satisfaction(I'm following Meucci's, "Risk and Asset Allocation", 6.5.1). The only markets, for which the approximation of the investor's satisfaction in terms of the firs...
by iuliny
January 13th, 2010, 2:59 pm
Forum: Student Forum
Topic: Calculating Instantaneous Forward Rates (NS specification)
Replies: 1
Views: 31569

Calculating Instantaneous Forward Rates (NS specification)

<r>Check out this paper: <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=992748"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... _id=992748">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=992748</LINK_TEXT></URL> and the references therein. It'll give you an idea how to...
by iuliny
January 10th, 2010, 4:08 pm
Forum: Student Forum
Topic: basic stochastic calculus question on Ito
Replies: 5
Views: 32573

basic stochastic calculus question on Ito

Hi Mona, Find the SDE for log(S) using Ito ( d log(S) = (a- 0.5 b^2) dt + b dW ) and then you'll get the solution by integrating. Applying Ito to f(S) = log(S) you'll understand where the extra term is coming from. hth
by iuliny
January 8th, 2010, 12:35 pm
Forum: Technical Forum
Topic: Estimating theta for short rate IR models
Replies: 5
Views: 32674

Estimating theta for short rate IR models

<r>Check out eq (4.1) here <URL url="http://avikram.freeshell.org/uploads/73.pdf">http://avikram.freeshell.org/uploads/73.pdf</URL>, that's what you theta is(it depends on your parameters sigma and alpha). You will need to interpolate your yield curve to obtain a smooth forward curve.You can calibra...
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