Questions tagged [mathematics]

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6
votes
2answers
353 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 ...
8
votes
1answer
2k 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 ...
8
votes
1answer
401 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 ...
21
votes
6answers
3k 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 ...
16
votes
1answer
1k 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 ...
8
votes
1answer
788 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 ...