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

Re: which movie should I see this weekend?

Any movie with zombies -- zombies are boring. (Unless they're White Walkers  :D)
by Alan
May 24th, 2019, 3:23 pm
Forum: Technical Forum
Topic: Partial Time Barrier Option
Replies: 5
Views: 622

Re: Partial Time Barrier Option

Good. Finally got the eqns to display.
by Alan
May 24th, 2019, 3:08 pm
Forum: Technical Forum
Topic: Partial Time Barrier Option
Replies: 5
Views: 622

Re: Partial Time Barrier Option

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 

[$] V(t_1,S_1) = e^{-r (T-t_1)} \int w(S_T)  \, p(S_T | S_1) \, dS_T[$]
by Alan
May 24th, 2019, 2:48 pm
Forum: Technical Forum
Topic: Partial Time Barrier Option
Replies: 5
Views: 622

Re: Partial Time Barrier Option

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...
by Alan
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

Re: Introducing XGBM -- a new stochastic volatility model with some nice properties

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

Re: One-liner questions of a numerical kind

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

Re: One-liner questions of a numerical kind

Well, for a put option, theta does not have the same sign at all points.
by Alan
May 17th, 2019, 11:37 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 787
Views: 68915

Re: End of bitcoin?

… 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...
by Alan
May 17th, 2019, 1:42 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 787
Views: 68915

Re: End of bitcoin?

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

Re: Is it possible to "complexify" SDEs?

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

Re: Is it possible to "complexify" SDEs?

But vega is the derivative of a value function, so you have to start with the SDE for that.
by Alan
May 13th, 2019, 5:43 pm
Forum: Student Forum
Topic: Is it possible to "complexify" SDEs?
Replies: 20
Views: 1527

Re: Is it possible to "complexify" SDEs?

Sorry -- you've lost me.
by Alan
May 12th, 2019, 5:50 pm
Forum: Economics Forum
Topic: Debt to GDP ratio
Replies: 2
Views: 570

Re: Debt to GDP ratio

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

Re: A Music Game II for 2009

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:
GZIP: On