- May 24th, 2019, 8:47 pm
- Forum: Off Topic
- Topic: which movie should I see this weekend?
- Replies:
**45** - Views:
**84298**

Any movie with zombies -- zombies are boring. (Unless they're White Walkers )

- May 24th, 2019, 3:23 pm
- Forum: Technical Forum
- Topic: Partial Time Barrier Option
- Replies:
**5** - Views:
**622**

Good. Finally got the eqns to display.

- May 24th, 2019, 3:08 pm
- Forum: Technical Forum
- Topic: Partial Time Barrier Option
- Replies:
**5** - Views:
**622**

Yeah, see my edit.

Attempting the Latex again:

[$]V(t_0,S_0) = e^{-r t_1} E_0[V(t_1,S_1)] = e^{-r t_1} \int V(t_1,S_1) \, q(S_1 | S_0) \, dS_1 [$]

and

[$] V(t_1,S_1) = e^{-r (T-t_1)} \int w(S_T) \, p(S_T | S_1) \, dS_T[$]

Attempting the Latex again:

[$]V(t_0,S_0) = e^{-r t_1} E_0[V(t_1,S_1)] = e^{-r t_1} \int V(t_1,S_1) \, q(S_1 | S_0) \, dS_1 [$]

and

[$] V(t_1,S_1) = e^{-r (T-t_1)} \int w(S_T) \, p(S_T | S_1) \, dS_T[$]

- May 24th, 2019, 2:48 pm
- Forum: Technical Forum
- Topic: Partial Time Barrier Option
- Replies:
**5** - Views:
**622**

If the barrier disappears at some time [$]t_1 < T[$], where [$]T[$] is expiration, the natural way to price the option is to take the time-0 expectation of [$]V(t_1,S_1)[$], so [$]V(t_0,S_0) = e^{-r t_1} E_0[V(t_1,S_1)] = e^{-r t_1} \int V(t_1,S_1) q(S_1|S_0) dS_1[$], where [$]q[$] is the probabil...

- May 23rd, 2019, 4:26 pm
- Forum: Book And Research Paper Forum
- Topic: Introducing XGBM -- a new stochastic volatility model with some nice properties
- Replies:
**9** - Views:
**1559**

Haha -- thanks, guys!

- May 22nd, 2019, 8:50 pm
- Forum: Book And Research Paper Forum
- Topic: Introducing XGBM -- a new stochastic volatility model with some nice properties
- Replies:
**9** - Views:
**1559**

This article is now published (along with a new/separate Introduction article) in the current (May 2019) issue of Wilmott Magazine. My thanks to Paul and the Editor for the honor of a cover! (see the Magazine area).

- May 20th, 2019, 9:33 pm
- Forum: Numerical Methods Forum
- Topic: One-liner questions of a numerical kind
- Replies:
**40** - Views:
**2773**

Well, for a put option, theta does not have the same sign at all points. My bad (something in the cornflakes) Looking at diagram theta = -dP/dt is not always negative? It can be positive? Sure: r > 0 (European option, no divs) and small enough stock price [$]S_0[$]. Then, [$]P \sim K e^{-r (T-t)}...

- May 20th, 2019, 4:36 pm
- Forum: Numerical Methods Forum
- Topic: One-liner questions of a numerical kind
- Replies:
**40** - Views:
**2773**

Well, for a put option, theta does not have the same sign at all points.

- May 17th, 2019, 11:37 pm
- Forum: Trading Forum
- Topic: End of bitcoin?
- Replies:
**787** - Views:
**68915**

… Speculative transactions accounted for roughly 60 to 80 percent of all transactions on the blockchain, according to Chainalysis, a start-up that does analysis of the blockchain for big companies and governments. Most of those transactions are Bitcoins moving between cryptocurrency exchanges aroun...

- May 17th, 2019, 1:42 pm
- Forum: Trading Forum
- Topic: End of bitcoin?
- Replies:
**787** - Views:
**68915**

Interesting read in today's WSJ (paywall): Lack of Banking Options a Big Problem for Crypto Businesses Bitfinex’s loss of access to $850 million in customer funds after using a Panama-based processing firm highlights a persistent issue for crypto companies. An extended excerpt: "... Crypto exchanges...

- May 14th, 2019, 3:19 pm
- Forum: Student Forum
- Topic: Is it possible to "complexify" SDEs?
- Replies:
**20** - Views:
**1527**

My read is that Daniel is experimenting with alternative ways to compute vega. It started with the Complex Step Differentiation Method -- hence the complex-valued SDEs. Then it seemed to morph into seeking a real-valued SDE or SDE pair to solve. Beyond that, I don't know and will leave to him ...

- May 13th, 2019, 6:51 pm
- Forum: Student Forum
- Topic: Is it possible to "complexify" SDEs?
- Replies:
**20** - Views:
**1527**

But vega is the derivative of a value function, so you have to start with the SDE for that.

- May 13th, 2019, 5:43 pm
- Forum: Student Forum
- Topic: Is it possible to "complexify" SDEs?
- Replies:
**20** - Views:
**1527**

Sorry -- you've lost me.

- May 12th, 2019, 5:50 pm
- Forum: Economics Forum
- Topic: Debt to GDP ratio
- Replies:
**2** - Views:
**570**

First part seems well-answered at Quora . Re the negative yield, at least according to Reuters , it is partly a stable situation because apparently foreigners can earn a decent premium over comparable US Tsy's with little perceived risk due to the answer to the first part. As for the usual argume...

- May 12th, 2019, 5:31 pm
- Forum: Off Topic
- Topic: A Music Game II for 2009
- Replies:
**2859** - Views:
**302570**

One Step Beyond (Prince Buster -- 1964)

I didn't realize, or knew and forgot, that 'Madness' got their band name from another Prince Buster hit.

Also, reminds of this:

I didn't realize, or knew and forgot, that 'Madness' got their band name from another Prince Buster hit.

Also, reminds of this:

GZIP: On