SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 765 matches

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

path integrals & Lie group & differential geometry & math. finance

<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. ...
by Chukchi
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

elementary statistical physics & computational physics textbooks for a beginner WITHOUT any physics background

<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...
by Chukchi
January 6th, 2002, 12:22 am
Forum: Student Forum
Topic: Question on ENERGY DERIVATIVES: Clewlow/Strickland
Replies: 5
Views: 189785

Question on ENERGY DERIVATIVES: Clewlow/Strickland

<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...
by Chukchi
January 5th, 2002, 9:49 pm
Forum: Student Forum
Topic: Malliavin derivatives?
Replies: 4
Views: 189352

Malliavin derivatives?

<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...
by Chukchi
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

elementary statistical physics & computational physics textbooks for a beginner WITHOUT any physics background

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

Vol models: sticky strike etc.

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

Vol models: sticky strike etc.

<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...
by Chukchi
January 1st, 2002, 9:19 pm
Forum: General Forum
Topic: derivative trader
Replies: 6
Views: 189848

derivative trader

Novice, try to write directly to the place where people actually trade derivatives.For example, Hull Trading.
by Chukchi
December 31st, 2001, 5:25 am
Forum: Book And Research Paper Forum
Topic: Maths book recommendation
Replies: 37
Views: 193754

Maths book recommendation

<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...
by Chukchi
December 31st, 2001, 1:14 am
Forum: Book And Research Paper Forum
Topic: Maths book recommendation
Replies: 37
Views: 193754

Maths book recommendation

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

Maths book recommendation

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

path integrals & Lie group & differential geometry & math. finance

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
by Chukchi
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

elementary statistical physics & computational physics textbooks for a beginner WITHOUT any physics background

J, Khinchin's book would be most probably the best for mathematician. It is mathematically clear and easy to read.
by Chukchi
December 23rd, 2001, 6:28 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

elementary statistical physics & computational physics textbooks for a beginner WITHOUT any physics background

<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...
by Chukchi
December 21st, 2001, 10:23 am
Forum: General Forum
Topic: Any prestigious conference in Quantitative Finance?
Replies: 25
Views: 191316

Any prestigious conference in Quantitative Finance?

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