<ruby id="d9npn"></ruby>

<sub id="d9npn"><progress id="d9npn"></progress></sub>

<nobr id="d9npn"></nobr>

<rp id="d9npn"><big id="d9npn"><th id="d9npn"></th></big></rp>

<th id="d9npn"><meter id="d9npn"></meter></th>

# All Questions

16 questions
Filter by
Sorted by
Tagged with
200 views

### Reference request in optimal stopping [closed]

I am given the following task. Distributed over a trading day, I am supposed to buy a certain quantity of a good. The price of this good changes during the day. The goal is to buy the required ...
62 views

### Non-diagonalizable matrix in a discretized Ornstein-Uhlenbeck process

I am attempting to implement a pairs trading algorithm for two securities by approximating a discretized version of the Ornstein-Uhlenbeck process: \begin{equation*} d\mathbf{S}_t = \mathbf{\kappa}(\...
124 views

### Unique EMM & completeness in the Black-Scholes model

Consider the Black-Scholes model $$dS(t) = \mu(t) S(t) dt + \sigma(t) S(t) dW^{\mathbb{P}}(t)$$ $$dB(t) = r(t) B(t) dt$$ Steele shows now in "Stochastic Calculus & Financial Applications" (Ch. ...
192 views

112 views

We consider 1-d process of the form $Y_{t} = bt + M_{t}^{\alpha}$, where $M_{t}^{\alpha}$ is $\alpha$-stable process for some $\alpha \in (0,2)$ with its levy symbol $\eta(u) = - |u|^{\alpha}.$, and $... 0answers 191 views ### Asymptotics of Variable Drift Ornstein–Uhlenbeck Process The Ornstein–Uhlenbeck process is defined as the stochastic process that solves the following SDE:$dx_t = \theta (\mu-x_t)\,dt + \sigma\, dW_t$where$\theta>0$,$\mu$and$\sigma>0$are ... 0answers 157 views ### compactness of a probability set I have a question about the compactness of a set of martingale measures. Let$\Omega=\mathcal{C}[0,1]$be the space of continuous functions on$[0,1]$and$\mathcal{M}_{\Omega}$be the family of ... 3answers 1k views ### One can earn nothing on the Brownian motion, true ? Consider any discrete time stochastic process$p(n)$(price) with independent increments$\xi_k$and$E(\xi_k)=0$. E.g. Brownian motion (i.e.$\xi_k = N(0,1)$). Consider some "trading strategy" ... 1answer 442 views ### Mathematical properties of financial prices Prices of financial assets (stock-market prices or currency exchange rates) obviously resemble trajectories of stochastic processes. What is known about their mathematical properties ? I know ... 1answer 351 views ### Trajectorial version of Doob's$L^2$inequality In the paper http://www.mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0154.pdf you can find a trajectorial version of Doob's inequality. It is given by:$$\bar{s}^2_T+4\sum_{k=0}^{T-1}\bar{s_k}... 1answer 574 views ### Solving an Ornstein-Uhlenbeck-like SDE$y(t,T)=H_t + \mathbb{E}[\int_t^T y(s-,T)dX_s|\mathcal{F}_t]\$

I have asked a similar question involving some finance background some time ago here math.stackexchange, however no really good answer came up. I was able to find a solution at least for a special ...
215 views

### market completion in stochastic volatility model

Hi all, Consider a stochastic volatility model. As there are two sources of risk and one asset only, this is an imcomplete market. One can complete the market by considering a derivative V1 used to ...
127 views

### stochastic volatility valuation equation

I'm trying to derive the valuation equation under a general stochastic volatility model. What one can read in the litterature is the following reasonning: One consider a replicating self-financing ...

15 30 50 per page
特码生肖图
<ruby id="d9npn"></ruby>

<sub id="d9npn"><progress id="d9npn"></progress></sub>

<nobr id="d9npn"></nobr>

<rp id="d9npn"><big id="d9npn"><th id="d9npn"></th></big></rp>

<th id="d9npn"><meter id="d9npn"></meter></th>

<ruby id="d9npn"></ruby>

<sub id="d9npn"><progress id="d9npn"></progress></sub>

<nobr id="d9npn"></nobr>

<rp id="d9npn"><big id="d9npn"><th id="d9npn"></th></big></rp>

<th id="d9npn"><meter id="d9npn"></meter></th>

捕鱼来了 快乐时时走势图开奖 浙江十一选五走势图开奖结果查询 nba篮球竞猜 网赌北京快乐8总是输怎么办 时时走势图怎么看 河南481怎么下载 光环致远星双人 新时时彩人工计划群 建体彩31选7重尾走势图