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I guess that kinda settles the question. Either pathway doesn't restrict you too much. PennyLess, I'm similar to you (act sci/finance major but in Australia) and I had to customize my degree as well. By the way, how long did you take to fully qualify and which specialization route did you...

I have an actuarial background myself (and am seeking to transition over to FE) and I find a mech. eng. background has more skills that are transferable (e.g. computational fluid dynamics => finite difference methods and other numerical methods for PDEs). I find the mathematical background in a...

Hey michelletay, I saw your post regarding your prospects for the Baruch MFE which you stated that you were currently an FX options trader at a bank in Singapore. I would just like to find out how did you get into this field (seeing as you were from an accounting background) and did you enter...

Thanks for the clarification, peterruse. Sometimes I get boggled by the maths that my reasoning suffers from it. The only way you'll have mean of 0 is all your x's were 0 and that would be absurd to model it as exponentially distributed. Support of exponential distribution is [0, infinity)

Hmm, our theoretical distribution has lambda 1. And we're making the assumption that our data x1,...xn is also exponentially distributed but with unknown lambda. One way we can estimate the parameter of the distribution of our data is to get the sample mean which is equivalent to 1/lambda and we...

Random guess here, since we're fixing the theoretical to the case with parameter \(\lambda=1\). Knowing that the mean of an exponential is \(\frac{1}{\lambda}\), we find the mean of our data, \(\bar{X}=\frac{1}{\hat{\lambda}}\rightarrow \hat{\lambda}=\frac{1}{\bar{X}}\). Using the hint provided...

Ahh, but isn't that the crux of the problem? =P

Just off the top of my head so anyone help me out here if I'm wrong. You simulate the log returns of the underlying's price process using a levy process (e.g. V-G process) to obtain the terminal price. Repeat this 10000 times and calculate the payoff of these 10000 simulations. Average it...

Well I guess a general answer is no. Different numerical methods exist to price american options or other type of exotic options. Commonly used methods include FD or MC.

SINGAPORE—Singapore's stock exchange is ratcheting up competition as Asian exchanges vie for more-prominent global profiles and a greater share of the flood of investor money pouring into the region. On Wednesday, Singapore Exchange Ltd. set an Aug. 15 date for the start of what it said would...

Because of the jump component, it better approximates sudden market changes that result in large changes in asset values as compared to B-S assumptions where successive changes on asset prices are small.

Have a look here to see where current applications are, GPU Computing

I agree with your point Daniel. Pehr, we determine the underlying asset price S at the end points by first assuming an upperbound for S ((S_{max}=2*Strike) or something along those lines) and a lowerbound (S_{min}=0). Then we divide (\delta S={(S_{max}-S_{min})}/{N}) to get our asset steps...

I think you posted this question on another forum as well. But if you look at this here, it pretty much describes what I'm trying to explain I like to think of the FDM method (explicit one specifically) to be similar to the binomial model. I think this paper here shows it to be so...