Recent content by amir

as you know the only constraint on the drift is that it has to an adapted process. I am also curios to see if there is any work answering your question. btw, this statement seems a bit unclear because this is not what the Girsanov's transformation does with the drift

this is a good question. but what are you referring to by the drift! both the diffusion's drift and the girsanov kernel can be called drift of BM

i think you shouldn't be very strict on what you think ... You have vision and are doing your best and that's enough. Just listen to your heart (this means that you should do what you like no matter where you are) and also consider facts e.g. your financial situation; and be ready for changes in...

would you plz be more precise about that?

Shreve's book is not immature. different books have different purposes ... http://www.amazon.com/Volatility-Correlation-Perfect-Hedger-Finance/dp/0470091398 http://www.amazon.com/Derivatives-Financial-Markets-Stochastic-Volatility/dp/0521791634 you may also find the following useful: Monte...

I like this book: Stochastic Processes and Models by Stirzaker

I am applying for phd to some schools and am a potential phd candidate at my home school........, Is it a good idea do you think to mention this in my motivation letter?

open your file with Adobe Acrobat 9 Pro. Then go to the Document and then Reduce File Size.

Sample var is calculated as average of squared deviations from mean, not sum.

it must be SQRT(252) * SQRT(AVERAGE_OF_SQUARED_LOG_RETURNS) because AVERAGE_OF_LOG_RETURNS is about zero now this and the one in trade2win are the same

would appreciate it if anyone could list some sources to study Merton's portfolio optimization problem in a setting where the drift of the risky asset is an unobservable normally distributed random variable.

I am not sure but you may find this book useful: Stochastic Optimization in Continuous Time by F.R. Chang chapter 6: 6 Boundaries and Absorbing Barriers

the price of American put option is always greater than the price of European put option

When men build lives from honest toil, courage never fails

martingaletrader and DVV are right! Background in Stat is good but there are still a lot to know to make a solid background. regarding your first post; you said that you need more math. but with your background, more math will work for you only when you have a good intuition about the game you...