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3
votes
1answer
190 views

Foward-start option pricing

Consider a probability filtred space $(\Omega, \mathcal F, \mathbb F, \mathbb P)$, where $\mathbb F = (\mathcal F_t)_{0\leq t\leq T}$ satisfing the habitual conditions and is generated by $1 d $- ...
6
votes
4answers
698 views

What are the options for a mathematician to break into QF without working for a fund?

I have a degree in mathematics, and I've worked as a statistician and done some programming work. I'm very strong in my math/stats/programming background and have browsed some QF books, and I'm very ...
3
votes
0answers
372 views

Monty Hall Model

Given a fixed time period,say 3 days, the stock/market can go up,down or stay sideways. A hedge fund can long, short or use rangebound(options strategy) to bet for that 3 days closing level. Hedge ...
2
votes
0answers
183 views

Measure change in a bond option problem

This is not a homework or assignment exercise. I'm trying to evaluate $\displaystyle \ \ I := E_\beta \big[\frac{1}{\beta(T_0)} K \mathbf{1}_{\{B(T_0,T_1) > K\}}\big]$, where $\beta$ is the ...
3
votes
1answer
4k views

Hurst Exponent Calculation

I am trying to calculate the Hurst Exponent using Excel. I am facing a problem where the exponent value sometime goes beyond 1. Can someone share a link / material so that it will help me to calculate ...
4
votes
2answers
301 views

What is Heston's equation?

This paper mentions the elliptic Heston operator: $Av:= -\frac y2(v_{xx}+2\rho\sigma v_{xy} + \sigma^2v_{yy}) - (c_0 - q - \frac y2)v_x + \kappa(\theta -y)v_y + c_0v$. Then boundary value problem ...
4
votes
2answers
701 views

Implications of the Riemann hypothesis in finance?

I was recently at a seminar by a top hedge fund manager at a top university for finance students, when one of the finance professors asked him what do you think are important areas of research for my ...
9
votes
1answer
268 views

Is a linear combination of GARCH processes also a GARCH process?

If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
6
votes
2answers
3k views

How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?

I am really having a terrible time applying Girsanov's theorem to go from the real-world measure $P$ to the risk-neutral measure $Q$. I want to determine the payoff of a derivative based an asset ...
8
votes
1answer
325 views

When pricing options, what precision should I work with?

I'm wondering if there's any point at all in double-precision calculations, or whether it's ok to just do everything in single-precision, seeing how the difference on non-Tesla GPUs for single and ...
7
votes
1answer
1k views

application of lie groups in finance

Can some one kindly go over some of the applications and use of Lie groups in finance? The math is very rigorous and I don't fully understand it or the potential it could have. Let me share some ...
2
votes
0answers
153 views

Optimal stop-loss reinsurance

What are some methods for optimizing stop-loss reinsurance? I've found an article on the minimization of the variance. I also know about the method of average-at-range. Can we apply a method for ...
11
votes
1answer
886 views

Any recommendations for textbooks for an undergraduate course in mathematical finance? [closed]

I'll teach an introductory course on mathematical finance in the near future. The course is intended to entertain and broaden some well-prepared advanced undergrad mathematics majors, some physics ...
29
votes
9answers
7k views

Recommendations for books to understand the math in quantitative finance papers?

Can anyone recommend books that explain the math used in quantitative finance academic papers?
18
votes
6answers
2k views

How random are financial data series?

Pseudorandom number generators are often tested using e.g. a test suite like Diehard tests or Dieharder. If one would run these tests e.g. on stock market time series or other financial data, would ...
7
votes
1answer
543 views

Modified Durations of Different Noncallable Bonds and function of Maturity

I'm hoping someone could help me understand this subject better. Basically I am reading a book and it shows a table ...
25
votes
5answers
3k views

Random matrix theory (RMT) in finance

The new kid on the block in finance seems to be random matrix theory. Although RMT as a theory is not so new (about 50 years) and was first used in quantum mechanics it being used in finance is a ...
11
votes
5answers
6k views

What is a martingale?

What is a martingale and how it compares with a random walk in the context of the Efficient Market Hypothesis?
71
votes
10answers
72k views

How can I go about applying machine learning algorithms to stock markets?

I am not very sure, if this question fits in here. I have recently begun, reading and learning about machine learning. Can someone throw some light onto how to go about it or rather can anyone share ...