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August 31st, 2011, 1:34 pm
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 22416

### option hedging remarks

<t>QuoteOriginally posted by: listQuoteNothing wrong with that definition, all I am saying is that you have no justification to think it applies to a stock and it's option. Their rates of return are not equal, the option is more leveraged, therefore it is only proportional to the stock in rate of re...
August 31st, 2011, 1:25 pm
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 22416

### option hedging remarks

<t>QuoteOriginally posted by: listThe example of the 1,2 types indeed do not relate to the financial market. They are like arithmetic before calculus. You need to comprehend the main underlying idea: a trader that have possibility of the same return with different probabilities always choose the max...
August 31st, 2011, 12:15 pm
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 22416

### option hedging remarks

<t>QuoteOriginally posted by: list QuoteOriginally posted by: ACDQuoteOriginally posted by: listI used the principle that states that two investments are equal fro t to T when rates of return are equal. What justification do you have to apply this to the stock and the option? The option is more leve...
August 31st, 2011, 11:16 am
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 22416

### option hedging remarks

<t>QuoteOriginally posted by: listI used the principle that states that two investments are equal fro t to T when rates of return are equal. What justification do you have to apply this to the stock and the option? The option is more leveraged, therefore rates of return are not equal... they are onl...
August 31st, 2011, 11:13 am
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 22416

### option hedging remarks

<t>QuoteOriginally posted by: listbut what is the price ? is it something between 0 and 50 ?-------------------------------------------------------------------------------example 1if the real probability of 50 = 1 and prob of 200 = 0. Then with prob 1 call option equal to 0example 2if the real proba...
August 31st, 2011, 9:49 am
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 22416

### option hedging remarks

<t>QuoteOriginally posted by: listQuote so you can't price the option ?For the scenario that leads to 50 value of the call option is 0, and for the scenario that brings 200 the premium is the solution of the equation [ S ( T ) - K ] - x / x = [ S ( T ) - S ( t ) ] / S ( t ) which represent equality ...
August 30th, 2011, 8:18 am
Forum: Numerical Methods Forum
Topic: Arithmetic mean of log returns vs geometric mean
Replies: 7
Views: 22069

### Arithmetic mean of log returns vs geometric mean

<t>QuoteOriginally posted by: lampisQuoteOriginally posted by: ACDSorry missed your second post, yes the geometric mean will normally always be greater than the arithmetic mean of the log returns. Using the relationship I gave in the previous post we have:And:With the equality only occurring when x=...
August 30th, 2011, 7:50 am
Forum: Numerical Methods Forum
Topic: Arithmetic mean of log returns vs geometric mean
Replies: 7
Views: 22069

### Arithmetic mean of log returns vs geometric mean

<t>Sorry missed your second post, yes the geometric mean will normally always be greater than the arithmetic mean of the log returns. Using the relationship I gave in the previous post we have:And:With the equality only occurring when x=0 which is the only time the arithmetic mean of the logs won't ...
August 30th, 2011, 6:42 am
Forum: Numerical Methods Forum
Topic: Arithmetic mean of log returns vs geometric mean
Replies: 7
Views: 22069

### Arithmetic mean of log returns vs geometric mean

Something like this?
August 19th, 2011, 8:36 pm
Forum: Book And Research Paper Forum
Topic: Glasserman MC book - print quality
Replies: 8
Views: 27683

### Glasserman MC book - print quality

I think you got a bad copy (print on mine is very good), ask amazon for a replacement, they have a really good returns process, no quibbles.
August 17th, 2011, 10:58 am
Forum: Student Forum
Topic: Fitting a Student's t distribution
Replies: 8
Views: 21658

### Fitting a Student's t distribution

<t>QuoteOriginally posted by: listStudent-t compare Gaussian model distribution with a histogram of a given sample observation. From the common sense more degrees of freedom is better than less. From my memory in old statistics books that studied before software replaced hand calculations it was rec...
July 28th, 2011, 12:42 pm
Forum: Student Forum
Topic: Negative portfolio variance returned, despite having +ve definite correlation matrix
Replies: 5
Views: 20440

### Negative portfolio variance returned, despite having +ve definite correlation matrix

<t>QuoteOriginally posted by: yugmorf2Thanks ACD. so excel 2010 MDETERM(correl matrix) gives a positive determinant. Does it mean that this is simply a wrong result (excel rounding error or something) or is it that a positive determinant is a necessary, but not sufficient, condition for positive def...
July 28th, 2011, 6:24 am
Forum: Student Forum
Topic: Negative portfolio variance returned, despite having +ve definite correlation matrix
Replies: 5
Views: 20440

### Negative portfolio variance returned, despite having +ve definite correlation matrix

<t>Just did an eigenvalue decomposition of that correlation matrix and there are two negative eigenvalues (which is why the determinant is positive). So it's not positive definite.> cormat [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [1,] 1.000 0.290 0.811 0.422 0.849 0.688 0.788 0.810 0.846 [2,] 0....
July 7th, 2011, 7:31 am
Forum: Careers Forum
Topic: Mathematics Via Distance Learning
Replies: 12
Views: 23214

### Mathematics Via Distance Learning

<t>QuoteOriginally posted by: var1979well i do know alot of it, but the problem is that i dont have any undergrad degree to get into MS in quant finance program, all the uni's tell me to get into applied finance but not mathematical finance, thats the problem.Try the Open University They offer a Mat...
May 19th, 2011, 12:15 pm
Forum: Programming and Software Forum
Topic: Best general purpose programming language - not finance specific.
Replies: 22
Views: 23572

### Best general purpose programming language - not finance specific.

I'd go with Python myself, free and has most feature you're likely to need using pylab.

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