- August 9th, 2012, 9:22 pm
- Forum: Student Forum
- Topic: basic stopping time question
- Replies:
**13** - Views:
**11655**

<t>QuoteOriginally posted by: edouardQuoteOriginally posted by: sdlifeI agree with emac that it is standard notation, if I had written in my original question the real notation, i.eI would probably have gotten better answers in the first place, so its my fault because of my poor notation. So thank y...

- August 9th, 2012, 2:48 pm
- Forum: Student Forum
- Topic: basic stopping time question
- Replies:
**13** - Views:
**11655**

<t>QuoteOriginally posted by: AlanQuoteOriginally posted by: emacWoah. Some bad answers here.If \Omega is the sample space then\{T \leq t \} = {\omega \in \Omega : T(\omega) \leq t}i.e. it is the set of all possible scenarios under which T(\omega) \leq t. Note that S \leq T means "S(\omega) \leq T(\...

- August 7th, 2012, 1:29 pm
- Forum: Student Forum
- Topic: basic stopping time question
- Replies:
**13** - Views:
**11655**

<t>Woah. Some bad answers here.If \Omega is the sample space then\{T \leq t \} = {\omega \in \Omega : T(\omega) \leq t}i.e. it is the set of all possible scenarios under which T(\omega) \leq t. Note that S \leq T means "S(\omega) \leq T(\omega) for all \omega \in \Omega".Therefore, if \omega \in \{T...

- May 30th, 2012, 4:26 pm
- Forum: Student Forum
- Topic: PhD choice
- Replies:
**10** - Views:
**13099**

Can I ask why you didn't apply to work in the Math Finance group at Imperial? I'm struggling to think of who your supervisor might be from your description.

- April 24th, 2012, 10:31 am
- Forum: Student Forum
- Topic: stochastic calculus question
- Replies:
**10** - Views:
**13660**

No formula is quoted. The OP want to know the joint law of a pair of random variables. They have just written this pair (X,Y) in brackets.Also, list, there is no need to take discrete time approximations. The ito isometry gives you the expectation of the product of two stochastic integrals.

- April 24th, 2012, 8:12 am
- Forum: Student Forum
- Topic: stochastic calculus question
- Replies:
**10** - Views:
**13660**

<t>BrightDay has no idea what (s)he is talking about.Okay, you shoudl be able to use Ito's formula to show that the integral term has a Normal distribution with mean zero and variance (t^3)/3. W^2_t obviously has a normal distribution with mean zero, variance t. You can then use Ito's isometry to ca...

- April 7th, 2011, 8:54 am
- Forum: Student Forum
- Topic: Basic Probability
- Replies:
**15** - Views:
**21144**

What is the joint density

- February 2nd, 2011, 5:45 pm
- Forum: Brainteaser Forum
- Topic: Average Number of Peaks
- Replies:
**5** - Views:
**27415**

<t>QuoteOriginally posted by: LandscapeNot sure but seems reasonable (not treating Q-part):Ok, so prob of X(k) being a maxima is 1/3 (prob that it is the largest out of three iids), for the endpoints we instead have 1/2 which gives us:e1 = (N-2)/3 + 2*1/2 = (N+1)/3e2 = (N-2)/3 + 1*1/2 = N/3 - 1/6 ed...

- January 27th, 2011, 4:37 pm
- Forum: Careers Forum
- Topic: Cambridge MASt/CASM/Part III
- Replies:
**12** - Views:
**25341**

<t>In my case at least, there was no interview process. With your background (1st class MMath + PhD + presumably good references) you should get in no problem. The question is: why? Are you planning to do another PhD after this, or straight into Post-Doc in your new field? Can you not just pick up w...

- September 18th, 2010, 11:50 am
- Forum: Careers Forum
- Topic: Part III and Jobs/Internships in the UK
- Replies:
**1** - Views:
**24179**

<t>Hi,I have just graduated with a First in Maths from, let's say, one of COWI. I applied for PhDs last year but couldn't get funding, so I am now going to do Part III at Cambridge this year. I intend to do a PhD starting next year but given that the funding situation in the UK is only going to get ...

- July 28th, 2009, 12:56 pm
- Forum: Student Forum
- Topic: CEV Implied Volatility
- Replies:
**2** - Views:
**37185**

Strictly implied vol.

- July 28th, 2009, 12:37 pm
- Forum: Student Forum
- Topic: CEV Implied Volatility
- Replies:
**2** - Views:
**37185**

<t>I have been looking at methods of calculating the implied volatility of an option on an asset whose price follows the CEV process. By "implied volatility", I mean that given the price of a call =C say, and given all other parameters (the strike, time to expiry, interset rate etc.) the volatility ...

- July 21st, 2009, 6:21 pm
- Forum: Numerical Methods Forum
- Topic: Starting point for uing secant method to find imp vol of option on asset under CEV
- Replies:
**1** - Views:
**37244**

<t>I have the pricing formula for a call on an asset under CEV as given by Schroder in 1989 in terms of the cdf of a non-central chi-square random variable. I'm using MatLab to work out the implied volatility, given the price of the call (and all other model parameters) using the secant method or th...

- July 7th, 2009, 7:23 pm
- Forum: Book And Research Paper Forum
- Topic: Cox 1975/1996 Option pricing under CEV
- Replies:
**1** - Views:
**41475**

<t>I'm looking for the paper by Cox which was an unpublished draft in 1979 ("Notes on option pricing I: Constant elasticity of diffusions)" and published in the Journal of Portfolio Management in 1996 as "The constant elasticity of variance option pricing model".I'm a summer student at a university ...

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