Hi M.W. with slightly different notations, if: s(t)=s(0)exp(mt + vw(t)) then: E[s(t)]=s(0)exp(mt)E[exp(vw(t))] Since w is assumed to be a brownian motion, w(t)...
Noel: Thanks for you very thoughtful exposition. Best Regards, M.W. ... __________________________________ Do you Yahoo!? Exclusive Video Premiere - Britney...
Hi, I am taking a class on probability. I'm sure this is an easy one, but I can't get a hold of it. The problem states there is a .70 probability of a company...
Hi, I'm just wondering if someone can help me understand the following equality used in the proof of Implicit Function Thm in my textbook(Calculas on Manifold...
... Hi Casey, before I start, I would like to point out that the notations used are very ambiguous (this is often the case with differential calculus), which...
... Let Xn denote the number of addresses the compagny will find using n submissions. You want n large enough to ensure P( Xn >= 2 ) >= 0.97, that is n large...
mfradon
Myriam.Fradon@...
Nov 4, 2003 12:02 pm
974
... all ... Hi Noel, Please look at definition 1.9 in: http://www.stat.uni-muenchen.de/~helmut/stat3/stat31.ps It seems that subsets A(n), A(n+1) in axiom #3...
ger1112003
ger1112003@...
Nov 4, 2003 12:03 pm
975
... Hi Ger, you are very lucky my German is good enough to understand Def 1.9 :-) Let W be a set and D be a set of subsets of W. Then definition 1.9 goes as...
... ) ... then ... on ... (An) ... to ... Then ... it ... we ... sense ... then ... denotes ... is ... Hi Noel, Let's consider the following example: Omega =...
ger1112003
ger1112003@...
Nov 4, 2003 2:44 pm
977
... satisfy ... Hi Ger, Def 1 (iii) of PT says that if (An) is an non-decreasing sequence of elements of D, then \/An is also an element of D. Because you have...
Hi Noel, thank you for your detail step by step derivation. Also I appreciate you pointed out something I always ignored and still misunderstand, the actual...
Hi Casey ... You are very welcome. ... I mean exactly the latter, i.e. the unique linear map L:R^n->R^m with this limit property. L is denoted d[f](a) and...
I am looking for an easy and rigourous proof of the Central Limit Theorem for discrete and finite random variables, not the typical proof with the...
fransecos
fransecos@...
Nov 7, 2003 9:23 pm
981
... I never saw such a proof in the general case. But in the special case of Bernoulli variables, this is known as the DeMoivre-Laplace theorem and you can...
mfradon
Myriam.Fradon@...
Nov 12, 2003 3:37 pm
982
Hi I was wondering if someone could help me figure out an equation for a card game called no limit texas holdem. They way the game goes every player gets two...
... a ... Hi Amir, I agree with you, if f:X->Y is a homeomorphism, U is open in X iff f (U) is open in Y. There is nothing special about X=[-oo,+oo] or Y=[- ...
... of ... f ... [- ... that ... did ... instead :- ... Come to think of it, sections 2,3 in this exercise can be replaced by their general counterparts as...
... Yes. ... What I meant is that given f:[-oo,+oo]->[-1,1] homeomorphism, the equivalence of section 5 is that U is open in [-oo,+oo] if and only if f(U) is...
Hi, I come across these 2 concepts from quantative finance books and economics books respectively. I'm very confused about them since they seem to be 2...
Hi Casey, if you think you are the only one to be confused, well I can tell you I am very confused too. In fact, as far as I am concerned, any statement of the...
Casey, Sorry, I think I should have given you a conclusion in my previous post, so here it is: in many financial models, there is one measurable space (W,F)...
Is Q, the "risk neutral probability" the same as "risk-adjusted probablity" used by some other authors? So looks like to me that the "risk neutral probability"...
Hi Casey, ... Yes, it is the same thing. Although, to be fair, I should mention the fact that some authors attach a more specific meaning to "risk- neutral",...
In most books and first courses on the subject you discover that derivative securities are priced not with actual probabilities, but with risk-neutral ...
... I'm glad that I have the book handy and I will read it through first. Thank you for the direction. By the way, what's numeraire? According to Rennie and...
I am stuck on a probability question .... Can anyone help ? =) The Question is ... you have 2 boxes ... one contains 1 white marble and 2 black marbles the...
travelguy027
travelguy027@...
Dec 1, 2003 5:26 pm
996
Can someone tell me the advantage of Sobol sequence method over Monte Carlo when it comes to simulation? Thank you....
Hi, using a three-level probability tree, I find 349/672... Pedro ... Van: travelguy027 [mailto:travelguy027@...] Verzonden: maandag 1 december 2003 18:15 ...
