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Cuchulainn
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I second that from Alan.How do you evaluate the integral INT (W(t,omega) * sin(a * t)) between 0 and T (numeric is good enough)Some kind of quick reference card.
Last edited by Cuchulainn on June 15th, 2008, 10:00 pm, edited 1 time in total.
"Compatibility means deliberately repeating other people's mistakes."
David Wheeler

http://www.datasimfinancial.com
http://www.datasim.nl

mit
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more on stat arb

maratikus
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Black-Litterman model

chinaexpert1
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the best method and order to learn the field of QF:QF concepts, hierarachy, theory and practiceMathematics core to each concept along the way, structure, soundness of the mathsThe best writers and academics in the field, the best order to study them inThanks

mit
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what is love

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QuoteOriginally posted by: mitwhat is loveGod is love .

Cuchulainn
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QuoteHow do I evaluate the following Ito integrals?:int f(t) dW(t)What is a good approximation in the case f(t) = exp(bt), 'b' can have any sign and the interval is [a, a + k] where 'k' is typically small?How does one carry out a numerical (error) analysis as well, in particular do we use L2, Linfinity errors?// V1integral ~ exp(ba) * sqrt(k) * Z where Z ~ N(0,1)?
Last edited by Cuchulainn on August 29th, 2008, 10:00 pm, edited 1 time in total.
"Compatibility means deliberately repeating other people's mistakes."
David Wheeler

http://www.datasimfinancial.com
http://www.datasim.nl

bilbo1408
Posts: 179
Joined: August 3rd, 2007, 12:50 pm

I would love to get some insight on a Lebesgue integral.

RiskUser
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Joined: July 19th, 2006, 4:30 pm

Comparative argument does not capture the basis risk between markets (e.g. FRA versus futures, IRS versus XCCY Swaps, IRS versus Basis Swaps), is this approach dead, discuss?

yoshimura1
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how to price a perpetual convertible bond or convertible preferred

Alan
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A FAQ and excellent answer may be found here

rexlex
Posts: 45
Joined: May 29th, 2009, 5:27 pm

Well...speaking of subjects 1. What is the Black-Scholes option pricing model and how it's used??? This is yet to be asked???2. What is expected value.3. What is the Kelly criterion.4. What is the Levy distribution.5. What is the Gaussian(normal) distribution.6. What is ergodic theory.7. What is a neural network. 8. What is kurtosis. 9. What is CDF(cumulative distribution function)....................................EMERGING ideas...1. What is the adaptive market hypothesis?2. What is omega?3. What is the Hobson-Rogers model?

mkaurpuri
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Joined: December 28th, 2009, 5:56 am

Hi, is it possible to calculate total VaR for a portfolio without considering the correlation effects between the risk factors like equity prices,commodity prices, interest rates, etc.

Klausius
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Joined: March 23rd, 2009, 3:11 pm