I'm a MS student in computational science and want to work in big data/statistics, quantitative finance/HFT, or scientific programming/numerical modeling afterwards. I am currently using Unix, Linux ...
I'm a physicist who's research has lead him into the theory of stochastic differential equations. If this question is not appropriate for this forum, please feel free to delete it. So I've been ...
I am working on a ratings transition matrix and I wondered how people scale it down to shorter time periods (although one should more or less stick to the estimation period i know). It is clear that ...
I'm trying to calculate the result of an simple example on page 326-327, in Harrison and Kreps(1978). It's pricing a piece of asset whose dividend stream is a simple Markovian process. Here's my ...
This is an edit to the previous question, on stationary process, which was answered by Richard below. Let $x_t$ be a zero mean, time homogeneous Markovian process over time $t$ starting from ...
I am a bit confused about how to formulate a problem where I have to price an option on a stock. Many papers say that stock prices are best modeled using a geometric Brownian motion (GBM), and I ...