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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...

Have you tried 'SDE: an intro with application' of Oksendal?

I am not sure if I understand you! but you can start with the Poisson process which is a continuous-time process and end in the jump diffusion model of Merton, in which an additional term is employed in the normal SDE to care about the jumps. You can then code the model and compare it with the...

some questions: consider some s&p500 index call option data. let Moneyness be defi…ned as implied futures price P divided by strike price K. when the ratio is smaller than one then the contract is an OTM call. Question1: does the implied futures price P mean the current value of the index...

you don't loose anything if do the econ later. stat adds more value to your profile. moreover, knowing stat means also knowing econometrics

Does that mean that my question was so stupid? :) It was an assignment and my first time doing numerics for greeks :)

I didnt get it! I need the exact formula to compare with my MC results

hi guys does anyone know the formula for DELTA in the barrier up-and-out? thanks :)

thanks but nothing is mentioned about put option there

hey! I'm deriving Dupire's eq for european put option using put-call parity. In the Dupires eq for the call option we have the term dC/dt. So, utilizing put-call parity, I have to derive d/dt ( S + P - K * exp{-r (T-t) } ) any help! :)

hey, congrats! how much do you think that your GRE verbal score affected your application? or do you know someone admitted in the same/similar program with low verbal score but very good profile? tnx :)

amirstatisATyahoo

yes, I like to know about them :)

Is there any book or document in which I can see how the subject is organized, ordered and links different courses and topics? @ Tsotne I got your point; and what ever I see is nice to follow :) but not sure about the perspective. I mostly like to continue at bus school but work on numerical...

hi Joy, thanks for your message on thesis topic. I'm interested to work on a project, but I'm not living in the states. can it then be handled through web? if so tel me more details to see how fit I'm to the subject. thanks :)

do you have any offer? To be more precise, these are my problems: 1- I'm too much interested so I can't choose a topic; I like almost all ... :) 2- I haven't decided yet where to go for my phd, bus school or math school! but I'm sure that I don't want to go deep on the math part of the subject.

sorry, I didn't get what you mean!

hi, 1- it may be a stupid question but, putting aside the matter of interest, can anyone suggest me some less theoretical and hot topics in Financial Mathematics for writing a MSc thesis? 2- does anyone know why radial basis function approximation is not so much popular in option pricing? just...

hi, I solved the problem. I found a very useful book (enclosed) and got how the method works thanks anyway :)

that was a great work thank you bob :)

thank you very much :)

I dont know about the method!!! :)

you are right. I have to change the order and try again why N(0) = 0.2667?? it is 0.5

I think I have to compute this integral it needs some approx., but my profs. said that you should get a specific number ....

first I tried the integral method by conditioning on ... but it gets nasty by having the CDF of normal distribution as the integrand of a double integral. so we need approximation and ...

thanks koupparis but are they iid ? we have B1 ~ N (0 , 1) B2 ~ N (0 , 2) B3 ~ N (0 , 3) !!

hi any idea how to solve this prob : P(B3<B1<B2) where Bt is a standard Brownian motion. thanks

hi, does anybody know how the Propp-Wilson algorithm works? I have a markov chain and want to simulate from its stationary distribution using PW method. But I'm not sure if I'm using the algorithm correctly. thanks

Congrats Joy; I'm interested to know the name of main textbooks covered for those four courses

it's just done in sweden now :) happy new year

as tylor said, X is total number of successes/failures, and n is total number of trials. So, you may repeat an experiment 10 (n) times but get 8 (X) of what you want, that is, 2 of your trails failed. you can also define X as failures...

hi I'm a bit confused with these two options. Both have the same pay-off: we pay K in domestic currency, and receive 1 unit of foreign currency at maturity!

thanks Koupparis and Bob I think if we assume current time as t, then following Bob's solution we get C - P <= K * r * (T-t) < K * r hmm!

I know that if I let Kr > K * {1 - exp ( - r ( T - t ) )} which requires r > 1 - exp ( - r ( T - t ) ), (which requires T - t must be less than 1) then there exist an arbitrage opportunity; because C + Kexp ( - r ( T - t ) ) > P + K Is that right? I think that there might be more simple...

I have a Eu put and call written on the same div-free stock, with same expiring (T) and same strike K. Assume C and P are current price of them. How can I show that if the current price of stock is K, and C - P > Kr, then an arbitrage opportunity exist? (r > 0).

hi, could u plz tell me more about the test. which part of Finance is questioned more! which subjects are questioned in Analysis and Calculus! regards

Hi Andy, You are right! Yes, I called him last night, he said the "there is no guarantee, it depends on your performance, grades, the available projects, grants and ..., there is however a 'Co-operative program with companies' and we only facilitate the interviews and things like this". To...

thanks Andy, 1--It frustrates me! You mean non-resident students have budget to cover all expenses?! I thought that I can work in the second year! Or perhaps they automatically consider the budget of students in the second year! the reason why I say so is that some universities required...

my chance Dear Andy, Thanks for your reply; I really need someone to evaluate my chance. This is because I don’t have any idea about how the competition in Quant. Finance is. Most students in my country come from engineering background and easily get admission in their fields. I just heard...

hi friends My name's Amir, 29 and live in Tehran. I'm looking for a Quantitative Finance or Fin Eng program in the US. Today I visited the Quantnet and went through some of those top Fin Eng schools. Their curriculum and the job market is very attractive though the tuition is too high. However...