Belated R.I.P. Stanislaw Petrow (May 19, 2017). The international news media only found out today that Petrow has died. RIP. His contribution will be judged by history. Petrov, Stanislav Evgrafovich [ltr] September 26, 1983 [ edit ] edit wiki-text ] On the night of September 26, 1983, Lieutena...

- September 17th, 2017, 11:06 am
- Forum: Student Forum
- Topic: about Heston93
- Replies:
**5** - Views:
**2320**

There is only one way to present Heston's equation (BSE U ). This is to present BS portfolio in which an option is hedged by underlying security. Heston reference on " standard arbitrage arguments B&S&M for any asset U ( S , v , t ) must satisfy (BSE U ) " is a way to hide deri...

- September 16th, 2017, 2:41 pm
- Forum: Student Forum
- Topic: about Heston93
- Replies:
**5** - Views:
**2320**

In his paper it was assumed that [$] d S ( t ) = \mu S ( t ) \,dt + \sqrt { v ( t )} S ( t ) \,dw_1 ( t ) [$] (1) [$]d v ( t ) = k [ \theta - v ( t ) ] \,dt + \sigma\sqrt { v ( t ) } \,dw_2 ( t ) [$] (2) It was stated that "standard arbitrage arguments (B&S&M) demonstrate that value o...

- September 16th, 2017, 12:15 pm
- Forum: Student Forum
- Topic: about Heston93
- Replies:
**5** - Views:
**2320**

The Heston start point is the eq (6) [$]\frac{1}{2} v S^2 \frac {\partial^2{U}}{\partial { S^2}} + \rho \sigma v S \frac{ \partial^2 {U}}{\partial U \partial v} + ... + [ k ( \theta - \lambda ( S , v , t ) ] \frac{ \partial U}{\partial v } - r U + \frac { \partial U}{\partial t} \,=\,0 ...

- September 15th, 2017, 9:11 pm
- Forum: Student Forum
- Topic: about Heston93
- Replies:
**5** - Views:
**2320**

In his paper it was assumed that [$] d S ( t ) = \mu S ( t ) \,dt + \sqrt { v ( t )} S ( t ) \,dw_1 ( t ) [$] (1) [$]d v ( t ) = k [ \theta - v ( t ) ] \,dt + \sigma\sqrt { v ( t ) } \,dw_2 ( t ) [$] (2) It was stated that "standard arbitrage arguments (B&S&M) demonstrate that value o...

- September 15th, 2017, 5:47 pm
- Forum: Student Forum
- Topic: about Heston93
- Replies:
**5** - Views:
**2320**

In his paper it was assumed that [$] d S ( t ) = \mu S ( t ) \,dt + \sqrt { v ( t )} S ( t ) \,dw_1 ( t ) [$] (1) [$]d v ( t ) = k [ \theta - v ( t ) ] \,dt + \sigma\sqrt { v ( t ) } \,dw_2 ( t ) [$] (2) It was stated that "standard arbitrage arguments (B&S&M) demonstrate that value of...

- September 13th, 2017, 4:11 pm
- Forum: Student Forum
- Topic: Learn GMM
- Replies:
**3** - Views:
**1995**

Having math - statistics edu it might be reasonable first to look at https://en.wikipedia.org/wiki/Generalized_method_of_moments. Actually the basis of estimation parameters is its closeness to observed data.To refresh your knowledge you can look at some simple statistics handbook how one estimate ...

- September 12th, 2017, 10:08 pm
- Forum: Student Forum
- Topic: Learn GMM
- Replies:
**3** - Views:
**1995**

I have a good math/stats background, but whenever I try to pick up something on GMM I get lost. Mostly, I struggle with the leaps in mathematical logic between steps in the original paper and others. Are there other subjects I can read up on to prepare for another stab at GMM? Or is there some lite...

- September 10th, 2017, 12:12 pm
- Forum: Student Forum
- Topic: Close form formula vs Simuations
- Replies:
**57** - Views:
**7341**

There is no low which specifies application of the notion closed form. It is not common to say closed form of a number [$]\pi , \sqrt 3[$] or others. In finance we use closed form formula though ib math in a similar situation we say analytic, exact, explicit formula or solution. When I first read ex...

- September 9th, 2017, 8:33 pm
- Forum: Student Forum
- Topic: Close form formula vs Simuations
- Replies:
**57** - Views:
**7341**

Yes, eg if we have the equation A = pi r^2 then we can't compute it exactly for most r. If the answer of a problem is represented in the form [$]\pi r^2[$] then it is the closed form solution. You need an algorithm or series expansion to compute pi. Iifinite time to fill it. And that's just the sta...

- September 9th, 2017, 7:02 pm
- Forum: Student Forum
- Topic: Close form formula vs Simuations
- Replies:
**57** - Views:
**7341**

If the answer of a problem is represented in the form [$]\pi r^2[$] then it is the closed form solution.Yes, eg if we have the equation A = pi r^2 then we can't compute it exactly for most r.

- September 9th, 2017, 1:05 pm
- Forum: Student Forum
- Topic: Close form formula vs Simuations
- Replies:
**57** - Views:
**7341**

So, from these examples can we conclude that closed-form solution break down for certain values of the input parameters, e.g. Schroder's CEV option formula converges slowly for [$]\beta = 1[$]. Compare the CEV PDE equivalent that evolves gracefully to the BS PDE when [$]\beta \rightarrow 1[$]. Whe...

- September 7th, 2017, 4:03 pm
- Forum: Student Forum
- Topic: Close form formula vs Simuations
- Replies:
**57** - Views:
**7341**

I think we can simply imagine that at the time when Bessel functions was introduced it was difficult to accept that representation of a solution of a particular problem by using Bessel functions could be called a closed form representation. Today when Bessel functions are well known in theoretical ...

- September 6th, 2017, 4:45 pm
- Forum: Student Forum
- Topic: Close form formula vs Simuations
- Replies:
**57** - Views:
**7341**

I think we can simply imagine that at the time when Bessel functions was introduced it was difficult to accept that representation of a solution of a particular problem by using Bessel functions could be called a closed form representation. Today when Bessel functions are well known in theoretical a...

- September 5th, 2017, 4:16 pm
- Forum: Student Forum
- Topic: crypto currency correlation
- Replies:
**5** - Views:
**2020**

if we look at the returns on buying - selling trades where the profit comes from. Whether the profit is based of the attraction in trading BTC?