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by DoubleTrouble
April 5th, 2011, 11:05 am
Forum: Student Forum
Topic: Implied Risk Free Interest Rate from Put Call parity
Replies: 10
Views: 23789

Implied Risk Free Interest Rate from Put Call parity

<t>QuoteOriginally posted by: frenchX1- The put call parity is only valid for european options not american ones (because calls won't be exercised at the same than put).Since there's no dividends an American option will indeed be exercised at exactly the same time as the European counterpart. This i...
by DoubleTrouble
December 7th, 2010, 8:32 pm
Forum: Student Forum
Topic: Some questions on basic financial mathematics
Replies: 10
Views: 25652

Some questions on basic financial mathematics

<t>QuoteOriginally posted by: DocTocfrom what i remember from stoch calc..ito integrals are martingales or something and the expectation of them is zero i think..but any good book on stoch calc has a result called ito's isometry which is what you need i thinkYes, as you can see in my latest post I h...
by DoubleTrouble
December 6th, 2010, 7:58 pm
Forum: Student Forum
Topic: Some questions on basic financial mathematics
Replies: 10
Views: 25652

Some questions on basic financial mathematics

<t>Thank you for your replies!Regarding my first question, this is how I reason now. I continue from my previous calculations:but still there's this tricky expectation of the multiplication of the two Itô integrals. My intuition tells me that they are zero but I can't show it. Regarding my second qu...
by DoubleTrouble
December 5th, 2010, 7:16 pm
Forum: Student Forum
Topic: Some questions on basic financial mathematics
Replies: 10
Views: 25652

Some questions on basic financial mathematics

Question number 2 deals with the Black-Scholes model and it is:Find the prices of the contracts paying and respectively. I'd really appreciate some directions on how to think on this one! Thanks!/DT
by DoubleTrouble
December 5th, 2010, 7:11 pm
Forum: Student Forum
Topic: Some questions on basic financial mathematics
Replies: 10
Views: 25652

Some questions on basic financial mathematics

<t>Hi!I have two questions on exercises that I can't solve :/1. Solve the equation and determine the covariance function of X(t) i.e. find It's easy to solve the SDE, but I find the second part quite tricky and I need some advice! I solve it like this:But the for the covariance I don't know what to ...
by DoubleTrouble
November 24th, 2010, 4:28 pm
Forum: Student Forum
Topic: Probability Question
Replies: 4
Views: 22720

Probability Question

It depends on your probability measure!
by DoubleTrouble
November 20th, 2010, 8:10 am
Forum: Programming and Software Forum
Topic: Mathematica 8 and Financial Computations
Replies: 9
Views: 25093

Mathematica 8 and Financial Computations

<r>QuoteOriginally posted by: HansiQuoteOriginally posted by: DoubleTroubleI can't find it anywhere yet but I'm dying to get my hands on it!Buy and download: <URL url="http://store.wolfram.com/view/app/mathematica/No">http://store.wolfram.com/view/app/mathematica/No</URL> trial yet :/Yeah, I'm waiti...
by DoubleTrouble
November 19th, 2010, 8:30 pm
Forum: Programming and Software Forum
Topic: Mathematica 8 and Financial Computations
Replies: 9
Views: 25093

Mathematica 8 and Financial Computations

I can't find it anywhere yet but I'm dying to get my hands on it!
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