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4

Other than the binomial expansion, what is the relationship between $B$ and $w$? As I understand correctly, there is no immediate relationship between the lag operator $B$ and the weights $w$. However, going from the fractional differencing operator, $(1-B)^d$ to $\hat{X}_t$ can be done as follows: \begin{align} (1-B)^d X_t &= \sum_{k=0}^{\infty} \begin{...


0

K. French's data library gets updated with a 1-2 month delay. Alternatives that come close are: Mkt-RF: Dow Jones U.S. Total Stock Market Index minus S&P U.S. Treasury Bill 0-3 Month Index SMB: Dow Jones U.S. Thematic Market Neutral Size Index HML: Dow Jones U.S. Thematic Market Neutral Value Index It's important that we use market-neutral indices to ...


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Julien Guyon was so kind as to explain the story behind the cover and gave me permission to share it with the rest of the community: There's no direct link between the contents of the book and the cover page. I love Josef Albers' art and we decided to choose one of Albers' artworks to illustrate the cover page. The lithograph somehow suggests nonlinearity, ...


1

This book aims to demonstrate advanced numerical methods for solving high-dimensional nonlinear PDEs, which do often arise in option pricing. Hence, the authors present general mathematical tools which could be applied to solve these nonlinear (parabolic) PDEs. The price of a European option under the Black-Scholes model is governed by a linear second order ...


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