How do you explain what a stationary process is? In the first place, what is meant by process, and then what does the process have to be like so it can be called stationary?
From a quant point of view, how would you explain Multi Fractals Models in few words ? I have the level to take these courses, but won't be able to do it next year, so I want to know what I am ...
Self-financing is an important concept in financial product replicating, normally used in pricing. I read about several ways to derive Black-Scholes-Merton (BSM) formula. Seems some approaches ...
From a quant point of view, how would you explain Malliavin calculus in few words ? I have the level to take these courses, but won't be able to do it next year, so I want to know what I am missing. ...
I am uncertain as to how to calculate the mean and variance of the following Geometric Ornstein-Uhlenbeck process. $$d X(t) = a ( L - X_t ) dt + V X_t dW_t$$ Is anyone able to calculate the mean ...
What is the equivalent of product rule for stochastic differentials? I need it in the following case: Let $X_t$ be a process and $\alpha(t)$ a real function. What would be $d(\alpha(t)X_t)$?
A silly question that is bugging me. I am working my way through Baxter and Rennie (again) and I am getting my wires crossed on the short rate models in particular the straight forward Ho and Lee ...
Let's suppose USD/EUR price in USD follows a GBM with $$ dS_t = rS_tdt + \sigma S_tdW_t $$ What process does EUR/USD follow in EUR?