- January 6th, 2002, 4:56 am
- Forum: Student Forum
- Topic: path integrals & Lie group & differential geometry & math. finance
- Replies:
**7** - Views:
**190062**

<t>Can some body tell me the concept about Feyman path integral ? >>The Concept is still under development.A few pages from the Introduction of the following book are available online at the Amazon:The Feynman Integral and Feynman's Operational Calculus (Oxford Mathematical Monographs) by Gerald W. ...

- January 6th, 2002, 1:48 am
- Forum: Book And Research Paper Forum
- Topic: elementary statistical physics & computational physics textbooks for a beginner WITHOUT any physics background
- Replies:
**14** - Views:
**190459**

<t>Here is another introductory 'Computational/Physics' book. Have FUN!The Magic Machine : A Handbook of Computer Sorcery by A. K. Dewdney*Paperback - 357 pages (October 1990) Published by W H Freeman & Co.; ISBN: 0716721449 >>PrologueA "magic machine" can be understood as a machine that produce...

- January 6th, 2002, 12:22 am
- Forum: Student Forum
- Topic: Question on ENERGY DERIVATIVES: Clewlow/Strickland
- Replies:
**5** - Views:
**189785**

<r>Sam, It is not B-S but so-called Vasicek-type one-factor model.Volatility here is not a constant, but depends on time to maturity.Any good textbook on Financial Calculus has a chapter on this model:Financial Calculus : An Introduction to Derivative Pricing by Baxter & Rennie,Introduction to t...

- January 5th, 2002, 9:49 pm
- Forum: Student Forum
- Topic: Malliavin derivatives?
- Replies:
**4** - Views:
**189352**

<t>>>What is Malliavin calculus ?Malliavin calculus involves two adjoint operators: the first is the Malliavin derivative, and the second is the Skorohod integral which collapses to the Ito integral for adapted processes. That produces an integration-by-parts formula with the Ito integral on one sid...

- January 4th, 2002, 6:17 pm
- Forum: Book And Research Paper Forum
- Topic: elementary statistical physics & computational physics textbooks for a beginner WITHOUT any physics background
- Replies:
**14** - Views:
**190459**

<t>J, you would most probably enjoy the book Equations of Mathematical Physics by A. N. Tikhonov, A.A. Samarskiiand A Collection of Problems in Mathematical Physics by B. M. Budak, A.A. Samarskii, A.N. Tikhonov.It would be a good introduction into Computational Physics.More books like this at PhysMa...

- January 4th, 2002, 4:27 pm
- Forum: Technical Forum
- Topic: Vol models: sticky strike etc.
- Replies:
**11** - Views:
**191037**

<t>There is an alternative very interesting research on trader's anthropology made a few years ago by Eric Reiner (UBS/SBC/Warburg...) "Volatility Rules and Implied Processes." >>Chukchi, The address of website you mentioned just displays abstract. Can you upload the paper or tell me how to get the ...

- January 3rd, 2002, 3:38 am
- Forum: Technical Forum
- Topic: Vol models: sticky strike etc.
- Replies:
**11** - Views:
**191037**

<t>It looks like Goldman had an official view on "Regimes of Volatility" before it went public. See also other Quantitative Stategies Group papers. There is an alternative very interesting research on trader's anthropology made a few years ago by Eric Reiner (UBS/SBC/Warburg...) "Volatility Rules an...

- January 1st, 2002, 9:19 pm
- Forum: General Forum
- Topic: derivative trader
- Replies:
**6** - Views:
**189848**

Novice, try to write directly to the place where people actually trade derivatives.For example, Hull Trading.

- December 31st, 2001, 5:25 am
- Forum: Book And Research Paper Forum
- Topic: Maths book recommendation
- Replies:
**37** - Views:
**193754**

<t>QuoteQuote1/3 of Morton/Mayers's book is very much parabolic. Is this above easily readable ?Yes, it IS short and easy to understand.As for measure-theoretical probability books you should probably go for 70 pages of classical book 'Foundations of the Theory of Probability' by Andrei N. Kolmogoro...

- December 31st, 2001, 1:14 am
- Forum: Book And Research Paper Forum
- Topic: Maths book recommendation
- Replies:
**37** - Views:
**193754**

J, any good standard probability textbook would be OK for problems like this:

An Introduction to Probability Theory and Its Applications, Vol II

by William Feller

Probability (Graduate Texts in Mathematics, No 95) by Albert N. Shiriaev

An Introduction to Probability Theory and Its Applications, Vol II

by William Feller

Probability (Graduate Texts in Mathematics, No 95) by Albert N. Shiriaev

- December 31st, 2001, 12:09 am
- Forum: Book And Research Paper Forum
- Topic: Maths book recommendation
- Replies:
**37** - Views:
**193754**

<t>J, 1/3 of Morton/Mayers's book is very much parabolic. We've used it as recommended textbook for Numerical Analysis classes at the U. of Chicago FinMath Program.Numerical Solution of Partial Differential Equations : An IntroductionTable of Contents 1 Introduction 1 2 Parabolic equations in one sp...

- December 27th, 2001, 7:23 pm
- Forum: Student Forum
- Topic: path integrals & Lie group & differential geometry & math. finance
- Replies:
**7** - Views:
**190062**

J, You'll find some important ideas in the following papers:Garman, M. (1985) "Towards a Semigroup Pricing Theory" Journal of Finance 40: 847-861Huang, C.-F. (1985) "Discussion on 'Towards a Semigroup Pricing Theory'" Journal of Finance 40: 861-862Journal of FinanceOther Journals

- December 26th, 2001, 10:05 pm
- Forum: Book And Research Paper Forum
- Topic: elementary statistical physics & computational physics textbooks for a beginner WITHOUT any physics background
- Replies:
**14** - Views:
**190459**

J, Khinchin's book would be most probably the best for mathematician. It is mathematically clear and easy to read.

- December 23rd, 2001, 6:28 pm
- Forum: Book And Research Paper Forum
- Replies:
**14** - Views:
**190459**

<t>want to have an eye to understand the relationship between statistical physics and probability theory. >>J, you can get some flavor of real statistical physics and its relation to probability from the following small books:Investigations on the Theory of the Brownian Movementby Albert EinsteinSta...

- December 21st, 2001, 10:23 am
- Forum: General Forum
- Topic: Any prestigious conference in Quantitative Finance?
- Replies:
**25** - Views:
**191316**

9th Annual Global Derivatives & Risk Management Conference, May 15-16, 2002, Barcelona, Spain Other Upcoming Conferences/Seminars/Workshops

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