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location Singapore
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visits member for 2 years, 4 months
seen 5 hours ago

time goes like c# string -- immutable.

drop it, it's collected, as a garbage, by the system.

updating, what's updated is only another instance based on the original bytes.

new one, what you got is just a new one, the old one is still unchanged, floating as an orphan in the memory space.

the value never changes -- immutable, until collected or, the process exits.


8h
comment Paradoxes in quantitative finance
I don't get it, what does it mean by "Find a payoff $f$ such that $n \neq dv / ds$"? Can it be done?
Jul
21
comment How popular is the Linear Gauss Markov (LGM) model?
wilmott.com/messageview.cfm?catid=8&threadid=49817
Jul
21
comment How popular is the Linear Gauss Markov (LGM) model?
wilmott.com/messageview.cfm?catid=4&threadid=44988
Jul
14
awarded  Nice Answer
Jul
14
comment Why Ito calculus?
@amlrg pls see my answer updated.
Jul
14
revised Why Ito calculus?
added 1391 characters in body
Jul
13
answered Why Ito calculus?
Jul
10
revised How popular is the Linear Gauss Markov (LGM) model?
added 97 characters in body
Jul
10
asked How popular is the Linear Gauss Markov (LGM) model?
Jul
10
comment How to convert HJM model risk-neutral measure $\mathbb{Q}$ to real measure $\mathbb{P}$?
@lmorin as an exercise on numeraire change? maybe i'm a bit too curious... ?
Jul
9
accepted Numéraire — couldn't understand the wiki explanation
Jul
8
asked How to convert HJM model risk-neutral measure $\mathbb{Q}$ to real measure $\mathbb{P}$?
Jul
4
accepted Does pricing quant still have bright future?
Jul
3
comment Self-financing and Black-Scholes-Merton formula
@DoubleTrouble Ah, now I got it! So we could assume self-financing to get BSM equation, then from BSM equation and Ito's lemma to prove self-financing! This trick only applies to path-independent derivatives, i suppose; then for wider area, the approach in shreve04b $\S 5$ works, making use of martingale representation theorem. thanks! nice to see all parts fit in :D
Jul
2
awarded  Curious
Jul
2
accepted Self-financing and Black-Scholes-Merton formula
Jul
2
answered Self-financing and Black-Scholes-Merton formula
Jun
30
comment Self-financing and Black-Scholes-Merton formula
@emcor I feel uneasy to just assume any portfolio is self-financing. At least American options are not. I wonder maybe any non-American options are self-financing? I hope to see a math proof to state that's valid.
Jun
30
comment Self-financing and Black-Scholes-Merton formula
BSM PDE => Self-financing, this part i never doubt...
Jun
29
revised Self-financing and Black-Scholes-Merton formula
added 3795 characters in body