41 reputation
12
bio website
location
age
visits member for 1 year, 10 months
seen Feb 27 at 16:15

The earth is round (p < 0.01).


Dec
4
comment Partial Derivative of an Integral
Do you know if/why my answer is incorrect (if yours is correct)? I know that it's false to say that "you can't write partial derivatives w.r.t. BM". For example apply Ito's lemma to the function $f(t,x)$, where $x$ is $B(t)$ (in fact this is one of the most standard routines in stochastic finance). Applying Ito's lemma you will end up having to evaluate $\frac{\partial f}{\partial x}(t,x)$.
Dec
4
comment What's the intuition behind non-integer exponents/powers
This helps!${}{}{}$
Dec
4
asked What's the intuition behind non-integer exponents/powers
Dec
2
accepted Notation: What's $]a,b[$
Dec
2
asked Notation: What's $]a,b[$
Dec
1
awarded  Tumbleweed
Dec
1
revised Black scholes model type
deleted 12 characters in body
Dec
1
comment Black scholes model type
@math I made it ambiguous by skipping a few steps and also dropping the conditional $P\{...|...\}$ notation. Here's what I did: (1) Divide both sides by $S_2(T)$ (doesn't change inequality, GBM is strictly positive), (2) log both sides; $\ln{1} = 0$ so the RHS just becomes 0. Inequality still holds because $ln$ is monotone increasing.
Dec
1
comment Black scholes model type
@math Unfortunately this is a black box to me (I lifted it from lectures). All I know is that it very very easily allows one to compute the solution to options such as the Magrabe option (which is the one you're asking about).
Nov
30
revised Black scholes model type
added 74 characters in body
Nov
30
answered Black Scholes model
Nov
30
awarded  Teacher
Nov
30
answered Black scholes model type
Nov
25
comment Substituting integral into an integral
My lecture slides say that the answer is $\displaystyle \ \ \int_0^t \int_u^t \alpha(u,s)dsdu$
Nov
25
revised Substituting integral into an integral
added 8 characters in body
Nov
25
asked Substituting integral into an integral
Nov
25
revised Expectation of exponential martingale and indicator function.
deleted 118 characters in body
Nov
24
revised Density process/Radon-Nikodym derivative problems
edited title
Nov
24
accepted Expectation of exponential martingale and indicator function.
Nov
24
comment Density process/Radon-Nikodym derivative problems
@DavideGiraudo What you mean by integrating on a set of non-zero measure on which $f \leq 0$. All of that.