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Questions tagged [self-study]

A routine question from a textbook, course, or test used for a class or self-study. This community's policy is to "provide helpful hints" for self-study questions.

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Self study references for a Mathematician

I just finished my undergraduate (BSc) degree in Pure Mathematics & Applied Mathematics. I am starting my postgraduate degree in Pure Mathematics in a month's time. I am considering pursuing a ...
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Risk neutral modelling of a stock

Suppose a stock $S$ follows $$dS(t) = \alpha(t)S(t)dt + \sigma(t)S(t)dW(t),$$ where $W(t)$ is a Brownian motion under $P$. Also suppose there is a short rate process $r(t)$. My question would be is ...
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Monte Carlo Accuracy - Antithetic Variate Method

I'm self studying for an actuarial exam and I am curious about a property of the antithetic variate method for increasing the Monte Carlo price accuracy (i.e. For every random draw of $z$, also ...
102 views

Calculating the price of a call and put using multinomial trees and risk-neutral probabilities

I am self-studying for an actuarial exam and I encountered this example. The books shows one method of solving using a replicating portfolio, and then shows this solution involving risk-neutral ...