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by ACD
August 31st, 2011, 1:34 pm
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 21839

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...
by ACD
August 31st, 2011, 1:25 pm
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 21839

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...
by ACD
August 31st, 2011, 12:15 pm
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 21839

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...
by ACD
August 31st, 2011, 11:16 am
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 21839

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...
by ACD
August 31st, 2011, 11:13 am
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 21839

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...
by ACD
August 31st, 2011, 9:49 am
Forum: Student Forum
Topic: option hedging remarks
Replies: 81
Views: 21839

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 ...
by ACD
August 30th, 2011, 8:18 am
Forum: Numerical Methods Forum
Topic: Arithmetic mean of log returns vs geometric mean
Replies: 7
Views: 21962

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=...
by ACD
August 30th, 2011, 7:50 am
Forum: Numerical Methods Forum
Topic: Arithmetic mean of log returns vs geometric mean
Replies: 7
Views: 21962

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 ...
by ACD
August 30th, 2011, 6:42 am
Forum: Numerical Methods Forum
Topic: Arithmetic mean of log returns vs geometric mean
Replies: 7
Views: 21962

Arithmetic mean of log returns vs geometric mean

Something like this?
by ACD
August 19th, 2011, 8:36 pm
Forum: Book And Research Paper Forum
Topic: Glasserman MC book - print quality
Replies: 8
Views: 27570

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.
by ACD
August 17th, 2011, 10:58 am
Forum: Student Forum
Topic: Fitting a Student's t distribution
Replies: 8
Views: 21556

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...
by ACD
July 28th, 2011, 12:42 pm
Forum: Student Forum
Topic: Negative portfolio variance returned, despite having +ve definite correlation matrix
Replies: 5
Views: 20362

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...
by ACD
July 28th, 2011, 6:24 am
Forum: Student Forum
Topic: Negative portfolio variance returned, despite having +ve definite correlation matrix
Replies: 5
Views: 20362

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....
by ACD
July 7th, 2011, 7:31 am
Forum: Careers Forum
Topic: Mathematics Via Distance Learning
Replies: 12
Views: 23072

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...
by ACD
May 19th, 2011, 12:15 pm
Forum: Programming and Software Forum
Topic: Best general purpose programming language - not finance specific.
Replies: 22
Views: 23360

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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