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by Alan
December 18th, 2002, 3:33 pm
Forum: Student Forum
Topic: Calculus of Variations
Replies: 16
Views: 190502

Calculus of Variations

<t>Classic application from my high school science project.You dip a wire frame into soap -- (a cube produces oneof the nicest results) -- the soap film forms thesurface with the least possible area that can be attachedto that frame. How do you discover this area mathematically:calculus of variation...
by Alan
December 14th, 2002, 6:42 pm
Forum: Technical Forum
Topic: Paul vs Tammy: You Decide
Replies: 5
Views: 190060

Paul vs Tammy: You Decide

<t><blockquote>Quote<hr><i>Originally posted by: <b>Marsden</b></i>Gee, Tammy -- I didn't think you'd read it that quickly!Samuelson's conclusion is consistent with standard utility, with its requirements that u'(W)>0 and u"(W)<0. The way to think about it is to assume that an n-toss proposition cre...
by Alan
December 5th, 2002, 12:07 am
Forum: Technical Forum
Topic: L-stable distributions
Replies: 21
Views: 191072

L-stable distributions

<t>newton,The remark you are referring to is a more subtle obs. byP. Carr. It relates to the decay of the skewness andexcess kurtosis with time for the transition density ofany Levy processes with a finite jump intensity (jump-diffusionmodels). In other words, even though, at a finite time,the trans...
by Alan
December 4th, 2002, 6:46 pm
Forum: Technical Forum
Topic: L-stable distributions
Replies: 21
Views: 191072

L-stable distributions

See P. Carr: "Finite Moment Logstable Process and Option Pricing"http://www.math.columbia.edu/~pcarr/papers/index.html
by Alan
December 2nd, 2002, 3:59 pm
Forum: General Forum
Topic: Market making, put/call parity, and American options
Replies: 15
Views: 191559

Market making, put/call parity, and American options

Thanks to all for their replies. Filthy, I echoyour last comment.regards, alan
by Alan
November 25th, 2002, 8:23 pm
Forum: General Forum
Topic: Market making, put/call parity, and American options
Replies: 15
Views: 191559

Market making, put/call parity, and American options

<t>This question is mainly addressed to any current or former market makers.My impression is that a lot of market making inthe listed options market revolves around enforcing put/call parity. Of course,American-style options don't satisfy this relation, so how do you (did you) handle that? In partic...
by Alan
November 11th, 2002, 1:54 pm
Forum: Programming and Software Forum
Topic: Multivariate Garch Models
Replies: 38
Views: 195291

Multivariate Garch Models

Sorry, I knew the link but haven't triedthe code which is posted there. Perhaps youcan track down the authors and email them.regards,alan
by Alan
November 9th, 2002, 5:09 pm
Forum: Student Forum
Topic: volatility frown
Replies: 20
Views: 192591

volatility frown

<t>Hi Gill, The volatility "smile" often just refers to a negative slope for the graph ofthe implied volatility vs. strike, at least near-the-money. So, if we interpret a volatility "frown" to mean a positively sloped curve (again, near-the-money)then the answer to your question is "yes, it's easy"....
by Alan
November 4th, 2002, 6:42 pm
Forum: Technical Forum
Topic: Arbitrage freeness in a market with jumps
Replies: 13
Views: 190200

Arbitrage freeness in a market with jumps

<t>Anita,I think your problem may not so much the jumps but the mean reversionterm in your commodity model. Not every stochastic process can be a sensibleone from the point of view of a risk-reward equilibrium. There were somepapers by Avi Bick (JFQA, 87) and Hayne Leland on this (don't have ref.)re...
by Alan
November 3rd, 2002, 3:26 pm
Forum: Book And Research Paper Forum
Topic: Option Valuation under Stochastic Volatility
Replies: 9
Views: 190037

Option Valuation under Stochastic Volatility

J, got it and answered. Also, just recalled that thenewsgroup sci.math.symbolic often deals with thistype of question.regards,alan
by Alan
November 2nd, 2002, 3:50 pm
Forum: Book And Research Paper Forum
Topic: Option Valuation under Stochastic Volatility
Replies: 9
Views: 190037

Option Valuation under Stochastic Volatility

Thanks, Reza. Did I ever tell you how muchI enjoyed your review?
by Alan
November 2nd, 2002, 3:15 pm
Forum: Book And Research Paper Forum
Topic: Option Valuation under Stochastic Volatility
Replies: 9
Views: 190037

Option Valuation under Stochastic Volatility

<t>I am still trying to gauge demand for a secondprinting, but suspect that, if there is one, it won'thappen before six months. What I have been tellinginquirers about this is that, if you buy one ofthese "returns", and then see a second printingwithin a year, I'll give you full credit toward a seco...
by Alan
November 1st, 2002, 8:45 pm
Forum: Book And Research Paper Forum
Topic: Option Valuation under Stochastic Volatility
Replies: 9
Views: 190037

Option Valuation under Stochastic Volatility

<r>This commercial announcement has been pre-approved :-)I am getting a number of inquiries about this book of mine,which is out of print. However, I've got a few "vendor-return"copies (less than 20). These are new books with some minorcover damage. I'll make these available for $35 plus first class...
by Alan
October 23rd, 2002, 4:03 am
Forum: General Forum
Topic: slope continuity in American options on pure jump processes
Replies: 7
Views: 189588

slope continuity in American options on pure jump processes

<t>Hi Peter,I think the standard reference for this question nowdays isthe Boyarchenko-Levendorskii book, "Non-Gaussian MertonBlack-Scholes Theory" (World Scientific 2002). In particular, see page 132-134, section 5.2.4 "Failure of the smooth pasting principlefor some RLPE's and its substitute". RLP...
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