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I know that duration decreases as spot rates increase. This is evident from taking the partial derivative of duration w.r.t to the yield. But how can that relationship be expressed in the form of Jensen's inequality: (E[X^{2}] \leq E[X]^{2}) Any help will be appreciated!!!

Hey guys Have somewhat of a silly question about Visual C++ 2008...whenever I compile and run a program, the output window just pops up and closes right away. I can get around it by creating a breakpoint at the last line in my code, but having to do that every time is somewhat of a pain in the...

Hey guys, I picked up Shreve Vol. 2 a couple weeks back. I was wondering, is it ok if I don't pick up on some of the concepts right away? Some of the concepts are quite straightforward, but sometimes when he goes in the little nuances and technicalites I tend to get a bit lost. Is this...

I'm trying to teach myself PDEs over the summer, so I can take more advanced math classes in the fall. I just started a few days ago, and I'm stuck on a problem. I'm sure the problem probably seems easy, but I can't seem to solve it properly. (y*u_{x} + x*u_{y} = 0) (U(0,y) = e^{-{y^{2}}}) I...

Greetings everyone, First off, I have to say that Quantnet is brilliant! So much information and so many people willing to help! I'd like to hear some of your opinions on which degree would be more useful for a job in FE: PhD Finance or Phd Financial Mathematics? I plan on attending an FE...