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September 30th, 2011, 11:10 am
Forum: Student Forum
Topic: Girsanov's theorem and Heston's SV-model
Replies: 12
Views: 18378

### Girsanov's theorem and Heston's SV-model

<t>"mj:Brownian motions are incredibly rigid. A measure change can really only change the drift."It's all in the "really" : consider the canonical space and on it two prob measures, one is Wiener measure P the law of a brownian W, the other is (also the same Wiener measure) Ptilde the law of Wtilde:...
September 29th, 2011, 11:02 pm
Forum: Numerical Methods Forum
Topic: Problem encountered in CRR Binomial Model for Options Pricin
Replies: 2
Views: 19229

### Problem encountered in CRR Binomial Model for Options Pricin

Maybe try the student forum? In short, google "two period CRR model" and "European call option" and "convex payoff" and "Jensen inequality".
September 29th, 2011, 5:10 pm
Forum: Student Forum
Topic: Girsanov's theorem and Heston's SV-model
Replies: 12
Views: 18378

### Girsanov's theorem and Heston's SV-model

<t>First of all what this has to do with RN theorem is if they re equivalent then there s a density.-"Is Girsanov the only way to get to an EMM?" The probability triplet is sometimes useful in structuring these ideas. If you take the natural algebra of W then yes every equivalent measure can be got ...
September 21st, 2011, 9:42 pm
Forum: Technical Forum
Topic: Laplace-Beltrami equation
Replies: 32
Views: 22650

### Laplace-Beltrami equation

<t>QuoteIs the solution of a Laplace-Beltrami equation defined on local coordinates? It is in global coordinates. In local coordinates it is a Laplace equation. You are wrongly assuming that global coordinates exist. Another example, it might look like a Laplace equation around one point in the corr...
June 15th, 2010, 9:57 am
Forum: General Forum
Topic: psychic investors
Replies: 49
Views: 34193

### psychic investors

<t>Actually, why would it be more silly than any SDE model?I imagine the following:is the forecast at time t of stock price at time T.Here, EEG is the measured electroencephalogram of the psychic trader (PhD from top university required, showing exceptional promise in ESP and VBA), and sigma is a pa...
June 12th, 2010, 12:37 am
Forum: Book And Research Paper Forum
Topic: New Book - Interest Rate Modeling: Theory and Practice (Chapman & Hall/Crc Financial Mathematics) by Lixin Wu
Replies: 2
Views: 40954

### New Book - Interest Rate Modeling: Theory and Practice (Chapman & Hall/Crc Financial Mathematics) by Lixin Wu

<t>So, I picked this up assuming it would be a convincing piece about the author's SV model.Don't be fooled, it's not - from two skim-throughs, it appears not even mentioned.What's more the errata alone fill up 5 pages already, probably because it was typed by someone without a clue:I cringe when as...
November 19th, 2008, 8:51 pm
Forum: General Forum
Topic: Where to find next trendy sectors and markets ?
Replies: 5
Views: 46629

### Where to find next trendy sectors and markets ?

<t>maybe if you find you make big money . I suggest -Options which pay if certain countries go to war: eg country X at war with country Y before Tmax (knockout feature), struck at 1M casualties (cheap OTM), conflict lasting at least Z years (parisian feature), ...-the market for mud, which is an imp...
November 7th, 2008, 6:01 pm
Forum: General Forum
Topic: Quantitative Analysts witch hunt
Replies: 68
Views: 58059

### Quantitative Analysts witch hunt

<t>1)My feeling, John, is the guys are not saying "human behavior just destroys all your analysis": the way I interpret it is " we used to make good easy money selling this pseudo knowledge to banks funds etc, but now it looks like this stream of easy income is drying up," effectively leaving the sp...
October 4th, 2008, 9:40 am
Forum: General Forum
Topic: optimal bailout
Replies: 6
Views: 48506

### optimal bailout

<t>Question:will the bailout buy back worthless debt only, or also worthless options on CDS, CDOs, CDO squareds etc.. Is there some measure of what was "a decent attempt at making the economy work" and what was pure speculation/opacity?Remark: So after the packaged mortgages went bad, all banks fear...
October 3rd, 2008, 5:46 pm
Forum: General Forum
Topic: EESA 2008 aka Bailout Bill - Will it win or lose?
Replies: 10
Views: 49130

### EESA 2008 aka Bailout Bill - Will it win or lose?

"champagne!"
September 29th, 2008, 10:25 pm
Forum: General Forum
Topic: congress morons
Replies: 97
Views: 61516

### congress morons

wait and see
July 11th, 2008, 11:44 pm
Forum: Student Forum
Topic: Variance of a stochastic integral?
Replies: 4
Views: 55218

### Variance of a stochastic integral?

t's a stochastic integral, hence a martingale, so the mean is zero.niceeee...
September 17th, 2006, 12:20 am
Forum: Technical Forum
Topic: Normal distribution > 1 for small sigma?
Replies: 7
Views: 93215

### Normal distribution > 1 for small sigma?

I spy a post in the wrong section...This is the place for seasoned professionals' technobabble. Newbies, read (and learn) only!
September 12th, 2006, 8:14 pm
Forum: Off Topic
Topic: What did Pr. Malliavin say to NN Taleb ?
Replies: 7
Views: 93484

### What did Pr. Malliavin say to NN Taleb ?

What did Pr. Malliavin say to NN Taleb during his speech in honor of B.Mandelbrot at Ecole Polytechnique on 11/09/06?I have only second-hand hearsay of this , but am curious about the very substance of the exchange.Please, someone who was there, post full transcript.Thanks
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