SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by croot
September 30th, 2011, 11:10 am
Forum: Student Forum
Topic: Girsanov's theorem and Heston's SV-model
Replies: 12
Views: 18145

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:...
by croot
September 29th, 2011, 11:02 pm
Forum: Numerical Methods Forum
Topic: Problem encountered in CRR Binomial Model for Options Pricin
Replies: 2
Views: 19100

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".
by croot
September 29th, 2011, 5:10 pm
Forum: Student Forum
Topic: Girsanov's theorem and Heston's SV-model
Replies: 12
Views: 18145

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 ...
by croot
September 21st, 2011, 9:42 pm
Forum: Technical Forum
Topic: Laplace-Beltrami equation
Replies: 32
Views: 22136

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...
by croot
June 15th, 2010, 9:57 am
Forum: General Forum
Topic: psychic investors
Replies: 49
Views: 33392

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...
by croot
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: 40817

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...
by croot
November 19th, 2008, 8:51 pm
Forum: General Forum
Topic: Where to find next trendy sectors and markets ?
Replies: 5
Views: 46474

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...
by croot
November 7th, 2008, 6:01 pm
Forum: General Forum
Topic: Quantitative Analysts witch hunt
Replies: 68
Views: 57016

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...
by croot
October 4th, 2008, 9:40 am
Forum: General Forum
Topic: optimal bailout
Replies: 6
Views: 48316

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...
by croot
October 3rd, 2008, 5:46 pm
Forum: General Forum
Topic: EESA 2008 aka Bailout Bill - Will it win or lose?
Replies: 10
Views: 49031

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

"champagne!"
by croot
September 29th, 2008, 10:25 pm
Forum: General Forum
Topic: congress morons
Replies: 97
Views: 60271

congress morons

wait and see
by croot
July 11th, 2008, 11:44 pm
Forum: Student Forum
Topic: Variance of a stochastic integral?
Replies: 4
Views: 55033

Variance of a stochastic integral?

t's a stochastic integral, hence a martingale, so the mean is zero.niceeee...
by croot
September 17th, 2006, 12:20 am
Forum: Technical Forum
Topic: Normal distribution > 1 for small sigma?
Replies: 7
Views: 92989

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!
by croot
September 12th, 2006, 8:14 pm
Forum: Off Topic
Topic: What did Pr. Malliavin say to NN Taleb ?
Replies: 7
Views: 93285

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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