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by ACD
April 15th, 2010, 8:40 am
Forum: Student Forum
Topic: Barrier Options : problem with boundary condition
Replies: 5
Views: 29374

Barrier Options : problem with boundary condition

Think of it as a piecewise solution, the BS pde and boundary conditions give the value prior to the barrier being hit. After it's hit the formula for the price is V=0. That way one it's hit the value will always be zero.
by ACD
April 14th, 2010, 11:42 am
Forum: Student Forum
Topic: 2D payoff diagram
Replies: 7
Views: 28354

2D payoff diagram

Since there are only 2 variables you should be able to knock up an Excel surface plot in a few seconds for it.
by ACD
April 13th, 2010, 7:05 am
Forum: Careers Forum
Topic: New grad job offer
Replies: 3
Views: 29022

New grad job offer

<t>My 2 cents...Is the position client facing in any way? In my experience if you face clients a lot and are good they will try to poach you from the company once you build up a relationship with them (these type of companies normally lose a lot of their staff to clients, which is a useful way of ke...
by ACD
April 9th, 2010, 8:24 am
Forum: Student Forum
Topic: Urgent ARMA-GARCH Question
Replies: 5
Views: 30649

Urgent ARMA-GARCH Question

<t>QuoteOriginally posted by: msperlinQuoteOriginally posted by: 89578251I have a financial time series, and I want to fit the financial time series to ARMA(1,1) with GARCH(1,1) volatility. How could I estimate the values of the coefficients in the specified model, preferrably in Matlab? Thanks very...
by ACD
February 25th, 2010, 2:57 pm
Forum: Economics Forum
Topic: Anticipating Correlations: A New Paradigm for Risk Management
Replies: 1
Views: 37882

Anticipating Correlations: A New Paradigm for Risk Management

It's not very technical and IMO at the right level for the subject matter. You won't see much in the way of theorem/lemma/proof statements in it and it can be read as a normal book.
by ACD
February 16th, 2010, 10:22 am
Forum: Numerical Methods Forum
Topic: Learning Kalman filtering, maximum likelihood
Replies: 5
Views: 32889

Learning Kalman filtering, maximum likelihood

I second Durbin and Koopman, it's very clear and well written.
by ACD
February 12th, 2010, 11:46 am
Forum: Book And Research Paper Forum
Topic: Neftci 3rd edition
Replies: 3
Views: 33530

Neftci 3rd edition

I would assume it's not going to come out as Prof. Neftci unfortunately died last year.
by ACD
November 5th, 2009, 7:20 am
Forum: Book And Research Paper Forum
Topic: Need a Book on Unix Fundamentals
Replies: 28
Views: 36513

Need a Book on Unix Fundamentals

<t>You could order Beginning Unix published by Wrox. It has a copy of Knoppix on it to try everything out on and isn't a mamoth volume so can be read in 15 days. It should give you enough knowledge in 15 days so that you know your arse from your elbow when using a Unix system (although you won't be ...
by ACD
October 2nd, 2009, 2:07 pm
Forum: Student Forum
Topic: Var-Covar matrix simple
Replies: 2
Views: 35086

Var-Covar matrix simple

This paper may be useful tooThe most general methodology to create a valid correlation matrix for risk management and option pricing purposes
by ACD
September 25th, 2009, 6:25 am
Forum: Book And Research Paper Forum
Topic: Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)
Replies: 56
Views: 114060

Forthcoming Book: Monte Carlo and C++ (Kienitz/Duffy)

QuoteOriginally posted by: CuchulainnThe final TOC is here, including the 2 bespoke chapters. edit: just been informed, pub date is 25 September 2009.Daniel,Amazon just sent me a mail today saying the book is delayed. Is this a dispatch problem or has the publish date been pushed back?Thanks
by ACD
August 18th, 2009, 11:42 am
Forum: Careers Forum
Topic: MSc Computer Science
Replies: 25
Views: 40159

MSc Computer Science

<r>QuoteOriginally posted by: CuchulainnWhat about Open University? It has been around for a while and has a good reputation it would seem.<URL url="http://www3.open.ac.uk/study/postgraduate/computing-and-ict/index.htmIn"><LINK_TEXT text="http://www3.open.ac.uk/study/postgradua ... ndex.htmIn">http:...
by ACD
July 6th, 2009, 1:32 pm
Forum: Student Forum
Topic: Differential Problem
Replies: 7
Views: 37576

Differential Problem

Look up the chain rule
by ACD
July 1st, 2009, 6:09 am
Forum: Student Forum
Topic: call on an average of stocks
Replies: 3
Views: 37318

call on an average of stocks

Sorry ignore wat I wrote here. My brain was frazzled this morinng from the heat and I realised later it was utter tosh.
by ACD
June 24th, 2009, 6:20 am
Forum: Student Forum
Topic: factor selection in factor models
Replies: 3
Views: 37321

factor selection in factor models

<t>You can convert a set of candidate models to posterior probabilities for assesment purposes, using this they are comparable across different time periods. Don't have a reference to hand but the formula to get the probabilities for a set of candidate models on a estimation is: exp(-0.5*BIC) / SUM(...
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