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by savr
March 25th, 2015, 5:15 pm
Forum: Technical Forum
Topic: Distribution of max BM - BM
Replies: 16
Views: 3946

Distribution of max BM - BM

<t>Terminology is the same whether r.v. s or processes. To sum up, in continuous time:for processes: Mt - Wt ~ |Wt| , and for fixed t ~ Mtin discrete time (binomial tree)for fixed t: Mt - Wt ~ Mt !~ |Wt|In a trinomial tree at least |Wt| and Mt have the same support, so there is some hope of redefini...
by savr
March 25th, 2015, 9:51 am
Forum: Off Topic
Topic: wilmott undercover
Replies: 44
Views: 4279

wilmott undercover

<t>Quotethe politicians won't talk to you, even if you are a recognized expert in the matter important I would have thought such conversations are carried out by "small hands" (advisors, members of the administration etc) and the conclusions transmitted to politicians in summaries as terse as the po...
by savr
March 24th, 2015, 4:23 pm
Forum: Technical Forum
Topic: Distribution of max BM - BM
Replies: 16
Views: 3946

Distribution of max BM - BM

The equality in law P(Mt) = P(Mt-Wt) (is this what you mean?) is what is true.The equality almost surely Mt - Wt = |Wt| could not be true, for instance with >0 prob Wt can be <0 and Mt >0.
by savr
March 24th, 2015, 12:52 pm
Forum: Off Topic
Topic: wilmott undercover
Replies: 44
Views: 4279

wilmott undercover

<t>I'm always in two minds about "corruption" in the U.K. , becausea) on one hand, the amounts in play are always laughably small. Compared to Europe, Africa, or I guess China & Russia, it seems like a storm in a teacup and I just can't get excited about it.b) on the other hand, these matters ar...
by savr
March 17th, 2015, 7:32 pm
Forum: Student Forum
Topic: What is a self-financing strategy?
Replies: 15
Views: 75946

What is a self-financing strategy?

Why already here google finds two such men.About my example, does it convince you, or should I speak to my investment advisors some more?
by savr
March 17th, 2015, 4:52 pm
Forum: Student Forum
Topic: What is a self-financing strategy?
Replies: 15
Views: 75946

What is a self-financing strategy?

<t>shand,it has oft been said by a wise man that when you think everybody in a field you are unfamiliar with must be a complete fool, you are probably missing something.I have queried my investment advisors about the first market you mentioned [$](S_{t}, B_{t}) = (W_{t}^{2},t)[$], and they replied t...
by savr
March 17th, 2015, 2:35 pm
Forum: Numerical Methods Forum
Topic: G2++ Risk measure Pricing <> Forward measure pricing
Replies: 3
Views: 4677

G2++ Risk measure Pricing <> Forward measure pricing

@OrbitHe has the right means and variances but not the right correlation
by savr
March 10th, 2015, 9:01 am
Forum: Book And Research Paper Forum
Topic: Poll: for how much would you buy a book on "Getting Started with QuantLib"?
Replies: 71
Views: 12946

Poll: for how much would you buy a book on "Getting Started with QuantLib"?

Luigi Ballabio's book on implementing quantlib .The drafts were free until not long ago.After reading this thread, I must apologize for posting in the wrong place, as it seems you're talking about a wholly different endeavour.
by savr
March 9th, 2015, 8:48 am
Forum: Book And Research Paper Forum
Topic: Poll: for how much would you buy a book on "Getting Started with QuantLib"?
Replies: 71
Views: 12946

Poll: for how much would you buy a book on "Getting Started with QuantLib"?

So the website now says the book is ready to "buy now" - at the time it says the book is 80% complete.What does one get from 'buy now' : the present state of the book AND all its future updates?
by savr
March 5th, 2015, 5:00 pm
Forum: Trading Forum
Topic: Trading with pricing models
Replies: 9
Views: 5434

Trading with pricing models

<t>Quote?What good are computers? They can only give you answers.? Tell me what your model describes, and perhaps someone can tell you how to use it.On the most absurdly abstract level, I suppose you'd be able to back out what model each participant is using (assuming they could reply to your rapid ...
by savr
February 27th, 2015, 9:02 am
Forum: Student Forum
Topic: Radon?Nikodym theorem
Replies: 39
Views: 7477

Radon?Nikodym theorem

At this point it seems important to express a stern disagreement with the below (italicized):QuoteLetD(t, s) == discount factor at s as seen from t (present value of one unit of currency)when visibly there is everything future and not much present about the quantity D(t,s) so defined.
by savr
February 23rd, 2015, 5:34 pm
Forum: Student Forum
Topic: HJM and uniqueness of interest-rate models
Replies: 2
Views: 2981

HJM and uniqueness of interest-rate models

<t>QuoteIf you now repeat the procedure above (as was done for the Ho-Lee model) you won't get Vasicek and not even Hull-WhiteYou will if you make no mistakes.Quotehaving defined σ(t,T), what else is needed to obtain a valid interest-rate model? Nothing, I suggest you check your calculations again, ...
by savr
February 19th, 2015, 2:28 pm
Forum: Book And Research Paper Forum
Topic: An analysis of american options - Jamshidian
Replies: 0
Views: 3575

An analysis of american options - Jamshidian

Hello,Can anyone show me the way to this paper?Either the internal paper or that published in Review of futures markets 11 72-80 1992Thanks
by savr
February 19th, 2015, 11:14 am
Forum: Student Forum
Topic: Jamshidian working paper
Replies: 2
Views: 6502

Jamshidian working paper

Hi ppauper, were you able to get this paper? I'm now looking for it.
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