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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?

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.

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...

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

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! :)

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 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

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!

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).