Search results

  1. A

    Portfolio Performance Attribution Model API / DLL

    What portfolio performance attribution packages are available for purchase? I am looking for a simple and not expensive library. Let me know if you know some. Thank you.
  2. A

    Developer -- Financial Services Software Company

    I do the quantitative software development for financial institutions (Banks, Hedge Funds, other) and I lead a current project connected with high frequency applications for traders/fund managers/other. The client is expanding and is looking for a help. If interested, send a resume for...
  3. A

    Stopping Time for T

    If T, X_n are r.v. and A = {T >=n} is specified by X_n then is T a stopping time? How can this be proved?
  4. A

    Euler Summation of an Infinite Sum

    What is the Laplace Transform function for the Euler Algorithm of the infinite series sum: [(-1)^t]/(3+t)^2?
  5. A

    Laplace Transform of 1/(3 + x)^2

    What is the Laplace Transform of 1/(3 + x)^2
  6. A

    Convexity of a Perpetual Bond

    Would it be correct to calculate the convexity of a perpetual bond paying $1/year in a market with x as a yield for all maturities as 2/x^2?
  7. A

    The Proof of Innocence

    In English: http://www.science20.com/science_20/blog/physics_proof_innocence_using_science_get_out_speeding_ticket-88956 http://gibiru.com/index.php/news/6092-the-proof-of-innocence-read-the-math-problem-that-got-one-man-out-of-a-traffic-ticket...
  8. A

    Conditional Expectation and Probability, Independence

    Let's say the domain of Y is [1, 2]. Under what conditions, the right-hand side of equation above for Y=1 and Y=2 will be equal? Are there any specific probabilities for P(Y=1) and P(Y=2) that can make this happen? If yes, then why, otherwise, why not?
  9. A

    Stochastic Differential Equation and a Martingale

    W(t) - 1d Brownian Motion W(0) = 1 r: R T = min[t>0;W(t) = 0], Let: (R(t)%20=%20W_{t}^{T}) 1) Find a(R(t)) and b(R(t)) such that: (dR(t)%20=%20a(R(t))dt%20+%20b(R(t))dW(t)) 2) Find function F such that M(t) is a martingale: (M(t)%20=%20R(t)*e^{\int_{0}^{t}F(R(t))ds})
  10. A

    Free Harvard University Online Courses

    http://www.extension.harvard.edu/open-learning-initiative Courses: Abstract Algebra : http://www.extension.harvard.edu/open-learning-initiative/abstract-algebra Bits - http://www.extension.harvard.edu/open-learning-initiative/bits-computer-science-course Sets, Counting, and Probability -...
  11. A

    Matlab vs Mathematica Eigenvectors Calculation

    It appears that Matlab and Mathematica are calculating eigenvectors in their own way that results do not match; what methods do exist in Mathematica to control presentation of eigenvectors?
  12. A

    Probability of Discovering (N-1)st Point on a Circle

    The circle has N points equally spaced where a transition from one point to one of the two adjacent ones is done with p = q = 1/2 - the symmetric random walk. Let there be ordered points r - 1, r, and r + 1 located somewhere on a circle with r E {1, ..., N}. What is the probability that the...
  13. A

    Density Function for European Options

    Just to confirm calculations, what would be the density function for a Euro Call/Put in the following case: Thanks
  14. A

    Good Return Predictors for a Portfolio of Stocks

    What might be good future return predictors for a portfolio of stocks?
  15. A

    Happy New Year Quantneters!

    I wish everyone all the best in a new most promising 2011 year. Let it be a year when all your wishes will come true. For some it might mean catching the alpha, getting projects done, getting into the school of your choice, passing exams, graduating from a school of your choice, getting a job or...
  16. A

    Covariance Data in a Free Access for Different Assets

    Is there a covariance data in a free access for different assets: FX, FI, Equities and so on?
Top