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A question about the Grossman-Miller Market Making Model

if someone has a good explanation I would like to hear it as well. I have just started reading the book as well, but to my understanding what they mean is that since it's discrete time, coming into ...
Peter Fazekas's user avatar
1 vote

Modelling considerations for a jump model

Note that, \begin{align*} d\big( e^{-\mu t}S_t \big) &= -\mu e^{-\mu t}S_t dt + e^{-\mu t}S_{t-}(\mu dt + Y_t dN_t)\\ &=e^{-\mu t}S_{t-}Y_t dN_t. \end{align*} From the Doleans-Dade exponential ...
Gordon's user avatar
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