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by croot
December 16th, 2011, 4:41 pm
Forum: Economics Forum
Topic: UK's veto of new treaty
Replies: 32
Views: 19876

UK's veto of new treaty

<t>Quoteyou simply can't have a corrupt government without a corrupt populationYou are skimming over a point most remarkable, which is that the democracies, when they elect, do so with very small margins, my dear Connor.(eg 54% qualifies as "in a landslide" etc). So it does make sense for 49% of Ita...
by croot
December 15th, 2011, 4:05 am
Forum: Technical Forum
Topic: Validation of Risk Neutral Model
Replies: 13
Views: 16895

Validation of Risk Neutral Model

<t> QuoteFOr that you can assume the real world evolve with a different model and see how the hedge according your own model perform... If you do that, isn't it assuming that the trader will execute the hedge prescribed by the model? Do you get a written (binding) promise from the trader on this poi...
by croot
December 15th, 2011, 1:10 am
Forum: Technical Forum
Topic: Stochastic process naming question
Replies: 31
Views: 17486

Stochastic process naming question

<r>versions are called- "weakly equivalent"in Lipcer & Shiryaev p.22 of <URL url="http://books.google.fr/books?id=gKtK0CjxOaIC&printsec=frontcover&hl=fr&source=gbs_ge_summary_r&cad=0#v=onepage&q&f=false"><LINK_TEXT text="http://books.google.fr/books?id=gKtK0Cj ... &q&...
by croot
December 13th, 2011, 10:54 pm
Forum: Technical Forum
Topic: Stochastic process naming question
Replies: 31
Views: 17486

Stochastic process naming question

That is what I had in mind: glad you liked it, and nice googling
by croot
December 13th, 2011, 7:45 am
Forum: Technical Forum
Topic: Stochastic process naming question
Replies: 31
Views: 17486

Stochastic process naming question

Depending on your filtration, it might be called the Girsanov transform .
by croot
December 13th, 2011, 5:33 am
Forum: Technical Forum
Topic: Stochastic process naming question
Replies: 31
Views: 17486

Stochastic process naming question

isonomy?
by croot
December 3rd, 2011, 8:09 pm
Forum: Numerical Methods Forum
Topic: MBS MC Converging "Too Slowly"
Replies: 19
Views: 17201

MBS MC Converging "Too Slowly"

<t>@bearish: yes, in this prepayment mbs example I agree it's reasonable to assume his payoff is bounded, excluding lack of moments .In that case, try explanation "large skewness in payout law translates to large Berry-Esseen constant". Test for this is as mj said, as well as moments you might look ...
by croot
December 3rd, 2011, 11:00 am
Forum: Numerical Methods Forum
Topic: MBS MC Converging "Too Slowly"
Replies: 19
Views: 17201

MBS MC Converging "Too Slowly"

Well, I don't know about your model, but it might be something to do with the number of moments of your integrand, validity conditions for the CLT and all that..
by croot
November 29th, 2011, 2:21 pm
Forum: Technical Forum
Topic: mixing formula question
Replies: 15
Views: 17045

mixing formula question

Is your formula compatible with the results here ?
by croot
November 24th, 2011, 10:22 pm
Forum: Book And Research Paper Forum
Topic: new ir paper
Replies: 8
Views: 17173

new ir paper

Why white noise and not Wiener space?
by croot
November 23rd, 2011, 3:18 pm
Forum: General Forum
Topic: why I think Tobin tax is wrong
Replies: 192
Views: 24895

why I think Tobin tax is wrong

<t>"and the downside of pointless speculation being?"-> wasted labor and energy. The hands programming the algorithms would be better used researching cold fusion, designing new materials and molecules, or for some mopping floors and digging ditches. They have a shortage of moppers in Thailand atm. ...
by croot
November 22nd, 2011, 9:17 pm
Forum: Technical Forum
Topic: mixing formula question
Replies: 15
Views: 17045

mixing formula question

I did mean $\phi$ i.e. the density of $\bar{v}$.
by croot
November 21st, 2011, 9:39 pm
Forum: Technical Forum
Topic: mixing formula question
Replies: 15
Views: 17045

mixing formula question

<t>About your calculus, I have the following qualms:1) In (0.2) $\bar{v}$ was defined as a r.v. this makes sense with your squiggly deltas, but in the line after "can I write(??):" you are using $\bar{v}$ as a dummy integration variable which gives meaning to $d\bar{v}$ and $\partial_{\bar{v}}$.. pi...
by croot
November 20th, 2011, 10:14 pm
Forum: Technical Forum
Topic: mixing formula question
Replies: 15
Views: 17045

mixing formula question

<t>It's difficult since you only provide two formulae and no intermediate steps of the derivation. To notice that your second try is wrong, consider the case where the process v is constant in time equal to a bernoulli r.v. . (I am assuming some kind of stochastic volatility model is afoot in your h...
by croot
November 20th, 2011, 8:52 pm
Forum: Technical Forum
Topic: mixing formula question
Replies: 15
Views: 17045

mixing formula question

Still disagree.
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