Thanks

I see.A thing of beauty, stochastic analysis, don't you think?

R(x) = x?

Thank you,I have got it, so I will get on and read it. Did you already read it? What is your opinion about it?Giacomo

<t>Hello everyone,I am looking for books/papers providing a classifcation of stochastic integrals (and representation theorems for processes in terms of such integrals) obtained by matching integrands and integrators, that is something like "If the integrator has continuous quadratic variation, then...

It was me. I was hoping for a reply in that thread, I got it now.thx,Giacomo

Hi Hank,what do you think of the deFinetti notation employed in Pollard's book? Does it not bother you?

Hi,fair enough, not much is left to be proved in Measure Theory...still, I stand by the beautifulThere is something about its symmetry that is quite engaging.Regards,Giacomo

<t>Hi, Do you know what models are used for pricing interest rates derivatives (I include bonds in the definition) when rates are very close to zero (and may be negative in real terms)?All models that assume lognormal forwards might be at pain to deal with such a situation. A Gaussian 2.5/3 factor m...

<t>Hi,have a look at "Measure Theory and Filtering" just about to come out by Robert Elliott and Lakhdar Aggoun (CUP) or Kopp/Capinski "Measure,Integration&Probability", Springer SUMS. They both have lots of exercises, many solved, if this is your taste.Also consider (but this may be more of a "...

<t>Hi,if S is any countable set (aleph_0), that is it can be put into one to one correspondence with the Natural Numbers, then 2^S (the power set of S) has the cardinality of the continuum (c).This can be proven (check, for example, Kolmogorov and Fomin - truly mathematical poetry).The continuum Hyp...

<r>Have you seen <URL url="http://www.amazon.com/exec/obidos/ASIN/0964629208/qid%3D942793464/002-0148404-9054406"><LINK_TEXT text="http://www.amazon.com/exec/obidos/ASIN/ ... 04-9054406">http://www.amazon.com/exec/obidos/ASIN/0964629208/qid%3D942793464/002-0148404-9054406</LINK_TEXT></URL> ?Might be...

Hank,Pollard's book is quite inspired - isoperimetric inequalities? Interesting! But the DeFinetti notation just freaks me out.I did try...Cheers

<r>Hi,has anyone had the chance to have a look at "Measure Theory and Filtering" by Robert J Elliott and Lakhdar Aggoun?It is not yet out, as far as I know, but maybe rough drafts were circulated...Solutions seem (already) to be available on <URL url="http://www.cup.org">www.cup.org</URL> (book reso...

Hi, here are some questions (whether frequently asked, I do no know...)What are predictable and optional sigma fields? what are predictable and optional processes?How are these concepts related to stochastic integration?How are they relevant in modelling replicating portfolios?Thanks