- January 25th, 2013, 2:47 pm
- Forum: Careers Forum
- Topic: Topic suggestion for P.hD. in mathematics
- Replies:
**23** - Views:
**11773**

<t>Hi,I recently finished my M.Sc. in mathematics with finance as my specialization. Although I'd probably love a job in the industry, I have a "need" to learn more theoretical knowledge. I'm thinking of applying for a Ph.d-position in mathematics and specialize even more in mathematical finance. An...

- June 13th, 2012, 5:24 pm
- Forum: Student Forum
- Topic: Cointegration test
- Replies:
**3** - Views:
**12170**

Export the spreadsheet as a CSV-file and then import the CSV-file into Matlab.

- June 7th, 2012, 7:29 am
- Forum: Student Forum
- Topic: Brownian motion
- Replies:
**22** - Views:
**14646**

You should at least provide an attempt of doing it yourself. If you are not able to, at least explain what it is you do not understand! After that, we will gladly help you!

- May 15th, 2012, 10:43 am
- Forum: Student Forum
- Topic: Question regarding EURO STOXX 50 Index Options
- Replies:
**3** - Views:
**12410**

<t>QuoteOriginally posted by: acastaldoQuoteThe three nearest successive calendar months, the three following quarterly months of the March, June, September and December cycle thereafter"This simply means that as of today, May 14 2012 the following maturities are available:18-may-2012, 15-jun-2012, ...

- May 14th, 2012, 9:27 am
- Forum: Student Forum
- Topic: Question regarding EURO STOXX 50 Index Options
- Replies:
**3** - Views:
**12410**

<r>Hello!I'm working with EURO STOXX 50 Index Options. I have implied volatilities over the last year corresponding to 1 month and 2 month options. I understand that the options matures on the third Friday of the month of expiration. But I can't seem to find (or understand) any information regarding...

- May 14th, 2012, 8:09 am
- Forum: Student Forum
- Topic: PDE-Option Pricing with Matlab
- Replies:
**6** - Views:
**14040**

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: DoubleTroubleGood work! However it is a good idea to begin by doing the substitutionsBy doing this you eliminate from the second derivative term. This is good for numerical stability and is standard practice among quants.This transfo...

- May 12th, 2012, 5:59 pm
- Forum: Student Forum
- Topic: solving nonlinear equations using fsolve
- Replies:
**6** - Views:
**14500**

<t>You must have a vector input in your function. This should work:function john=est_john(x)w = x(1);Theta = x(2);john(1,1)=(-1)*((sqrt(w).*((w-1).^2).*(w.*(w+2).*sinh(3*Theta)+3*sinh(Theta)))./(sqrt(2)*((w-1).*(w.*cosh(2*Theta)+1)).^1.5));john(2,1)=((w^2).*((w.^4+2.*w.^3+3*w.^2-3).*cosh(4*Theta)+4*...

- May 12th, 2012, 5:46 pm
- Forum: Student Forum
- Topic: PDE-Option Pricing with Matlab
- Replies:
**6** - Views:
**14040**

Good work! However it is a good idea to begin by doing the substitutionsBy doing this you eliminate from the second derivative term. This is good for numerical stability and is standard practice among quants.

- April 30th, 2012, 12:24 pm
- Forum: Student Forum
- Topic: Compare distribution implied by Dupire's Formula with Black-Scholes
- Replies:
**4** - Views:
**13259**

QuoteOriginally posted by: foxkingdomI would pick the near ATM one. I think ATM options are more liquid ones and contain more correct information.Thank you for your input. And yes, that seems quite reasonable!

- April 30th, 2012, 11:42 am
- Forum: Student Forum
- Topic: Compare distribution implied by Dupire's Formula with Black-Scholes
- Replies:
**4** - Views:
**13259**

<t>Hello!I have calculated the implied risk-neutral density of by using Dupire's formula (or whatever you want to call it ):I have market data at time T consisting of 9 different call prices corresponding to 9 different strike prices, volatilities and the rate at time T. I estimated the second deriv...

- February 1st, 2012, 9:42 pm
- Forum: Student Forum
- Topic: Dupire delta hedging
- Replies:
**3** - Views:
**15021**

<t>Hi again!Thanks both of you for your answers!I forgot to mention in my previous post that I'm doing a static hedge. So I only need a volatility at time 0!QuoteOriginally posted by: spv205you haven't decided how the smile surface moves as spot moves...so you are implicitly doing a sticky strike ru...

- January 31st, 2012, 5:20 pm
- Forum: Student Forum
- Topic: What happens to a vanilla call as time to expiry tends to infinity?
- Replies:
**6** - Views:
**15668**

<t>Well, it's is obvious in the Black-Scholes model at least. We have the Black-Scholes price of a vanilla call option:whereSo if we let T tend to infinity we see that the second term tends to 0 and tends to 1 since tends to infinity. So we're only left with S(t).As for the delta, it's nothing but w...

- January 31st, 2012, 12:42 pm
- Forum: Student Forum
- Topic: Dupire delta hedging
- Replies:
**3** - Views:
**15021**

<t>Hi!I need some guidance in using Dupire's local volatility in a normal delta hedge in order to compare with my other methods. Or rather, I will tell you how I think I should do and you can tell me if it's a good idea or not, and if not maybe give me some advice! First of I use Dupire's formula:an...

- January 8th, 2012, 4:42 pm
- Forum: Student Forum
- Topic: Basic Monte Carlo question
- Replies:
**12** - Views:
**16897**

Thank you secret2 and Cuchulainn!Now I feel confident in my ability to solve the SDE numerically. However I still don't understand how I can calculate this quantity:How do I deal with the conditioning? The only thing I can calculate now is the price at time t=0. Thank you in advance!

- January 8th, 2012, 12:09 am
- Forum: Student Forum
- Topic: Basic Monte Carlo question
- Replies:
**12** - Views:
**16897**

<t>Hello!I want to use Monte Carlo calculate the expected price of a European option at time t i.e. I want to calculate:where the dynamics of the underlying process is given by:Sigma is a rather involved expression so I leave it out, but it depends both on t and S(t) and it has been constructed so t...