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by bilbo1408
December 10th, 2008, 10:32 pm
Forum: Student Forum
Topic: Independence
Replies: 10
Views: 47214

Independence

I completely agree, and maybe that is why I keep coming up with the answer below. I just thought that because the question implied that independence was already known, that possibly for some reason the complex term would create that independence.
by bilbo1408
December 10th, 2008, 4:33 pm
Forum: Student Forum
Topic: Independence
Replies: 10
Views: 47214

Independence

One way would be to compute d(X_t)d(W_t), and if found to be zero, would imply independence. However, I have tried that and keep coming up with Either I am doing something wrong, or this can somehow be show to be equal to zero.
by bilbo1408
December 10th, 2008, 12:20 pm
Forum: Student Forum
Topic: Mistake to do masters in finmath?
Replies: 7
Views: 46201

Mistake to do masters in finmath?

Critical is an understatement. Well written, but quite discouraging. I would like to get a feel for how accurate he is from others on the site.
by bilbo1408
November 14th, 2008, 4:03 pm
Forum: General Forum
Topic: how to prove if mean reversion exists
Replies: 11
Views: 57569

how to prove if mean reversion exists

<t>QuoteOriginally posted by: HOOKYou should test if the series have a unit root. If it is rejectes, you shall have mean reverting features.Then regrees it like X(t) = c +bX(t-1)Youm mean will be given by : c/(1-b)I would suggest first-differencing the equation, then regress where beta in this equat...
by bilbo1408
November 11th, 2008, 2:13 pm
Forum: Student Forum
Topic: Par Yield Curves and Spot Zero Yield Curves
Replies: 2
Views: 53814

Par Yield Curves and Spot Zero Yield Curves

<t>I'll give it a shot. The process for valuation of fixed income securities involves using the appropriate interest rates for each expected future cash flow. The process begins with observing the Treasury par coupon yield curve. However, this curve introduces two main problems. The first is that th...
by bilbo1408
November 11th, 2008, 12:08 pm
Forum: Student Forum
Topic: t-statistics and regression problem
Replies: 5
Views: 47292

t-statistics and regression problem

I can't think of any reason to explain this, but I can say this much.....significance is significance. If you have tested two periods, and both are significant, then I don't see how you have any issues. If one suddenly became insignificant, then I could see how a problem would arise.
by bilbo1408
November 4th, 2008, 12:29 am
Forum: Student Forum
Topic: Double Lebesgue Integral
Replies: 4
Views: 48322

Double Lebesgue Integral

You are correct. Showing that it was equal to the expectation was the second half of the problem. I was just not able to figure out how to show it was equal to the integral of 1-F(x)dx. It took me a while, but I finally got it. Thanks to both of you.
by bilbo1408
October 23rd, 2008, 2:15 pm
Forum: Student Forum
Topic: Double Lebesgue Integral
Replies: 4
Views: 48322

Double Lebesgue Integral

Will someone please show me how to reverse the order of integration here. 1 is an indicator function. I need to show that the above is equal toThanks!!!
by bilbo1408
October 23rd, 2008, 11:28 am
Forum: The Quantitative Finance FAQs Project
Topic: Subjects, please...
Replies: 430
Views: 393865

Subjects, please...

I would love to get some insight on a Lebesgue integral.
by bilbo1408
October 11th, 2008, 11:27 am
Forum: Student Forum
Topic: put call parity for american option
Replies: 4
Views: 48671

put call parity for american option

It's not correct. It is:
by bilbo1408
October 3rd, 2008, 11:55 am
Forum: Student Forum
Topic: Looking for CFA level I 2006 Volume 2 book
Replies: 2
Views: 47950

Looking for CFA level I 2006 Volume 2 book

I have 2007. Interested in that?
by bilbo1408
September 30th, 2008, 12:43 pm
Forum: General Forum
Topic: congress morons
Replies: 97
Views: 63320

congress morons

She definitely needs to simmer down on the derrogatory comments, but more importantly is the need for others to act in a mature and responsible manner, ignore her comments, and not make rash decisions based on them.
by bilbo1408
September 30th, 2008, 11:38 am
Forum: General Forum
Topic: congress morons
Replies: 97
Views: 63320

congress morons

<t>Voting down the bill yesterday for some "legit" reason is one thing......whether due to a stupid reason, or one that can be defended with some sort of coherent argument. However, when a dozen Republican House Representatives approach a podium, hold up a sheet of paper with Pelosi's speech on it, ...
by bilbo1408
September 27th, 2008, 11:51 am
Forum: Student Forum
Topic: Is a dividend paying stock a martingale?
Replies: 1
Views: 48663

Is a dividend paying stock a martingale?

The discounted stock price is not a martingale, but the discounted wealth process is (both under risk-neutral measures).
by bilbo1408
September 27th, 2008, 11:46 am
Forum: General Forum
Topic: The End of Structured Finance and Securitization???
Replies: 11
Views: 50873

The End of Structured Finance and Securitization???

No more credit derivatives? I think that might be a little extreme.
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