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# Questions tagged [finance]

Questions related to the various aspects of financial mathematics. Topics include option pricing, arbitrage theory, market completeness and stochastic analysis.

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### The math behind Warren Buffett's famous rule – never lose money

This is a question about a mathematical concept, but I think I will be able to ask the question better with a little bit of background first. Warren Buffett famously provided 2 rules to investing: ...
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### Stochastic calculus book recommendation

I'm a quantitative researcher at a financial company. I have a PhD in math, but I'm an algebraist, so I only took the two required analysis courses in grad school (measure theory for the first, and I ...
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### Why predictable processes?

So far I have seen two approaches for a theory of stochastic integration, both based on $L^2$-arguments and approximations. One dealt with a standard Brownian motion as the only possible integrator ...
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### Farkas’ lemma: purely algebraic intuition

Here is a statement of Farkas Lemma from the Wikipedia. Let $A$ be an $m \times n$ matrix and $b$ an $m$-dimensional vector. Then, exactly one of the following two statements is true: There exists an ...
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### An example of high dimension (financial) integrals?

Introduction This question mainly arises out of the context of [Quasi Monte Carlo integration][1]. Which uses "quasi-random" numbers, (i.e. deterministic) with low discrepancy to reduce the ...
977 views

### Novikov condition for CIR porcess

I want to apply the Girsanov theorem for change of measure for geometric Brownian motion under real world measure $\mathbb{P}$ to risk-neutral probability measure $\mathbb{Q}$ where the drift is given ...
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