Hi all,I am struggling with that one :Find for a random walk, which starts at 0 and ends at 0 after 2n steps, the probability P2t,2n that in the interval from 0 to 2n along the abscissa, the path has 2t vertices on the positive side (including 0) and 2n-2t vertices on the negative side.Thanks

CommodityQuant getting nervous again and raising philosophical questions about what "classical" means ... anyway, didn't expect this reaction/debate. Sounds like the problem has been clearly expressed, as you managed to find the right answer

<t>Hi,Probably classical for some people, I ll post it thoughThree prisoners, A, B, and C have applied for parole. The parole board has decided to release two of the three, andthe prisoners know this but not which two. A warder friend of prisoner Aknows who are to be released. Prisoner A realizes th...

thanks for the explanations, much clearer now

<t>CommodityQuant >> thanks for your response. Im still a bit confused about the first equation, P(A|T) = P(B). If you start from the whole beginning of the game (ie before the player A tosses), P(A) is the proba of A winning and P(B) proba of B winning, but this is conditional on the fact that A st...

<t>Quick question :I still don't see why P(A|T) = P(B), because this assumes that the probability of B winning when A tosses first = probability of B winning when B tosses first, which is clearly wrong. In theory, we should say P(A|T) = P(B|B starts first), which makes sense to me. Can someone pleas...

Hi all,You have n coins. You toss each of them and get $1 if you get head, 0 for tail.First basic question, what's the expected value ?Assume you're allowed to toss a coin again in case you don't get all of them as heads. What's the expected value now ?Thanks

<t>Hi all,After searchin in the internet, we can use the function triplequad to compute a triple integral.However it's not working for the following example :>> S = [1 1/sqrt(2) 1/sqrt(3); 1/sqrt(2) 1 sqrt(2)/sqrt(3); 1/sqrt(3) sqrt(2/3) 1]>> F = @(x,y,z)exp([x y z]*inv(S)*transpose([x y z]));>> Q =...

<t>Hi;Please help me with the problem below.For a random variable X and a in [0,1], denote V_a the percentile a of X and TV_a = E(X| X > Va)1/ Give the formula for V_a and TV_a for a normal variable X. Show that : TV_a/V_a -> 1 when a -> 12/ For X a Student's t distribution degree n. Show that : TV_...

<t>Dear all,I have a knock-in knock-out put on FTSE where the knock-in is observed daily and the knock-out barrier is observed yearly.Why do I need to price this option with the stochastic local vol or stochastic local implied vol models ? Why not with Local vol model ? How can I do going forward to...

Hi All,Is there a closed form solution for mono asset autocalls ? Typically a product with a discrete set of autocall dates where we pay a digital if the underlying is below 100% barrier and at maturity capital is at risk with a down and in put.Thanks

<t>Hi All,If I sell an uncollateralized option to a counterparty, say a call option, and I receive the total upfront on day 1. Do I still have to adjust for cva ? This will include my own risk (credit spread risk ?) since if I am about to go bust the value of my call option, which is my liability, w...

Thanks Polter for your great help !

Unfortunately in his book he just enunciates theorem 12 but does not prove anything. Do you have any proof related to this or not ?

Hi PolterThanks for your response, from what I can see in your links, it looks like the doob martingale is basically a random martingale M that we take and then its projection on the filtration adapted to Mn is a martingale. But how can we build this M using the Mn ?Thanks