John Tyree

38 reputation

bio	website	john.bitsurge.net/blag
	location	Amsterdam, NL
	age	26
visits	member for	1 year
	seen	Feb 14 at 15:20
stats	profile views	22

Just trying to learn something useful.

	38 reputation	bio	website	john.bitsurge.net/blag	visits	member for	1 year
5 badges		location	Amsterdam, NL		seen	Feb 14 at 15:20

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Feb 14	awarded	Commentator
Feb 14	comment	Why is C++ still a very popular language in quantitative finance? You don't find C++ to be full of "needless complexities, obstructions, irregularities, dead ends, unexpected stupidities, counterintuitive rules, and lazy, dumbass assumptions." ? Maybe you're thinking of C and extrapolating.
Sep 28	comment	Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? @BrianB I think you are right. I have solved the issue of the models not giving consistent answers, which turned out to be due some inconsistencies in treatment of variance vs volatility in the inputs. I have not yet, however, shown analytically how Heston degenerates to BS. I'll look for that book. Thanks.
Sep 4	comment	Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? @vanguard2k, Any luck? I am going to try today to work it out as well.
Aug 30	revised	Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? Forgot square root of variance in the BS solution.
Aug 30	comment	Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? @vanguard2k No problem. Thanks for the effort to answer after a long day :) Am I to understand then, that your first response doesn't apply at all?
Aug 30	comment	Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? @vanguard2k, Am I missing something? How is $dv_t = 0$ maintained if $v_0$ is nonzero and $\sigma > 0$? Clearly if $v_0 = 0$ and $dv_t = 0$ we're just left with the forward price, but that violates the $>0$ restriction you mentioned, no?
Aug 30	revised	Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen? Added conclusion blurb about P2. Fixed typo.
Aug 30	asked	Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen?
May 19	awarded	Scholar
May 19	accepted	How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
May 19	comment	How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? Ahhh of course. Ok I am pretty clear on it now. Thanks.
May 18	comment	How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? I'm still not clear on why we consider the dividends to be reinvested in the asset under Q and also why reinvesting them results in (r-delta).
May 18	comment	How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? Ok I think I understand now. The drift is not 0, but it will be incorporated into the process X under Q, such that the SDE will always take the form that you described with (r-delta).
May 18	comment	How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? Also, when you say that "S follows a gBm if it satisfies the well-known dS/S SDE, drift non-zero...", I assume you are referring to dS/S = mu dt + sig dz, but why does this stop being gBm if mu = 0?
May 18	comment	How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? So if I am understanding you correctly here, the dividend payments will result in the stock drifting higher under Q than it would without them: (r+delta) instead of (r-delta)? I don't see how that works. Taking the dividends out of the stock should lower the value of the stock right? If they are being reinvested into the stock, our portfolio will reflect that we own more shares, but I don't see why the value of the stock should also be going up.
May 18	awarded	Student
May 18	awarded	Editor
May 18	revised	How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends? Added some new findings about the effect of dividends on the drift.
May 18	asked	How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?