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by Marsden
June 22nd, 2011, 3:08 pm
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

All right, I can see that. But it assumes continuity.
by Marsden
June 22nd, 2011, 2:39 pm
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

<t>Then I guess I don't follow. It seems to me that a different volatility will neither eliminate the possibility of any outcomes under an original process nor create any new possible outcomes that did not exist under the original. Doesn't that fit the definition of "equivalence" as you have been us...
by Marsden
June 22nd, 2011, 1:07 pm
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

<t>Alan, I think what you're saying is basically this: if our model says that a process follows (r,σ ) when it really follows (μ,σ ) our instantaneous "errors" will be of magnitude dt; but if our model says that a process follows (μ,s ) when it really follows (μ,σ ) then our instantaneous "errors" w...
by Marsden
June 21st, 2011, 9:14 pm
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

<t>I'm trying to track down the implications of Girsanov's Theorem. What I have found most interesting is the following, from this very forum:QuoteOriginally posted by: HATherefore, if one is to construct a Wiener measure that is absolutely continuous with respect to another Wiener measure, the only...
by Marsden
June 21st, 2011, 7:53 pm
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

Are you able to get, though, the singular risk-neutral probability measure of BSM -- where the volatility of the "real" underlying stochastic process is preserved -- without the dynamic hedging argument? That's what I'm not seeing.
by Marsden
June 21st, 2011, 2:57 pm
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

<t>QuoteOriginally posted by: numbersixBlack-Scholes-MertonIn case the objective underlying stochastic process you have assumed is Brownian motion, it so happens that the replication is perfect, i.e. the standard deviation of the P&L of the portfolio formed by the contingent claim and its dynami...
by Marsden
June 20th, 2011, 11:36 am
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

<t>QuoteOriginally posted by: AlanQuoteOriginally posted by: MarsdenI expect that you merely miss-wrote, but I believe the statementQuoteThe objective probability measure (whatever that means) and the risk-neutral measure have to be equivalentis false.I will bet a nickel that Marsden is reading "equ...
by Marsden
June 19th, 2011, 10:53 pm
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

"Doesn't exist" isn't really correct: aren't there potentially thousands of "objective probabilities" for every contingent claim?
by Marsden
June 18th, 2011, 2:51 am
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

<t>I expect that you merely miss-wrote, but I believe the statementQuoteThe objective probability measure (whatever that means) and the risk-neutral measure have to be equivalentis false.Also, regardingQuoteNote that nothing forces you to relate the market price of anything to an underlying 'objecti...
by Marsden
June 16th, 2011, 3:23 am
Forum: Off Topic
Topic: Eulogy to Hugh Hefner
Replies: 23
Views: 19518

Eulogy to Hugh Hefner

And trying to rig a reality show payday out of it!Manipulating sexual attraction for profit -- how could anyone do that to Hugh Hefner?
by Marsden
June 15th, 2011, 11:34 am
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

<t>To paraphrase Oscar Wilde, financial mathematicians know the price of everything but the value of nothing. In FinMath, to a large degree, the market price is accepted as correct, and underlying probabilities are irrelevant. I don't think FinMath can really be used to set a price for an insurance ...
by Marsden
June 13th, 2011, 12:44 am
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

<t>QuoteOriginally posted by: SamsaveelAre CAT bonds priced By Actuary's ? do Actuaries utilize intensive Numerical methods such as PDE,and FDM in modelling their pricing routines ?Somewhat guessing, but I'm sure casualty insurance companies use actuarial pricing to decide if they should buy or sell...
by Marsden
June 9th, 2011, 5:31 pm
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26497

Actuarial Pricing vs Financial Mathematics Pricing

<t>Different way of going about things, but should lead to same answers when asking the same questions. Actuarial is generally p(x,0)=E(x,t)*v(x,t) as opposed to (essentially) having building block prices based on derivatives with respect to time and an underlying. Actuarial methods are usually slop...
by Marsden
June 8th, 2011, 7:12 pm
Forum: Off Topic
Topic: Bloodbath in Syria
Replies: 85
Views: 23072

Bloodbath in Syria

Yeah, I figured I was right to be creeped out by how you were likely using that. So, no surprise.Troll on, tErrrd.
by Marsden
June 8th, 2011, 5:00 pm
Forum: Off Topic
Topic: Bloodbath in Syria
Replies: 85
Views: 23072

Bloodbath in Syria

What an extensive and varied porn collection you have, tErrrd!
GZIP: On