All Questions
Tagged with mathematical-finance reference-request
8 questions
29
votes
3
answers
2k
views
Are symplectic methods used in (classical) Economics?
The tl;dr question is this: are economists using coordinate-free formulations in studying theory?
Borrowing from classical mechanics, the framework I have in mind for classical economics--involving ...
- 481
3
votes
2
answers
1k
views
Is the "hybrid" Black-Scholes Hull-White model arbitrage free?
Given a "hybrid" Black-Scholes Hull White (BSHW) model. That is, the stock price is modelled by a Black Scholes SDE:
\begin{equation} dS(t) = \mu(t)S(t)dt + \sigma_{S}(t)S(t)dW^{\mathbb{P}}_{S}(t)
\...
- 203
3
votes
0
answers
518
views
Laplace transform of a stopping time for stochastic volatility models
Let $V_t$ be a solution of the SDE
$$dV_t=V_t(rdt+\sigma_t dW_t) $$
where $\sigma_t$ satisfies some other SDE
$$d\sigma_t=\alpha(t,\sigma_t)dt+\beta(t,\sigma_t)dW^{\\ \prime}_t $$
and $W_t$ and $...
1
vote
1
answer
770
views
Beginning books on stochastic calculus and finance [closed]
my background is mathematics i would like to do research in financial mathematics. So I read some part of wilmott's book but it required stochastic calculus. I did not understand that book. So which ...
- 11
1
vote
0
answers
65
views
Upsampling parameters in the Takahashi-Alexander model
Let me start by begging your forebearance; this question might at first glance appear to belong more on a forum for economics, but I hope by the end to convince you that there is mathematical content ...
- 721
1
vote
0
answers
71
views
Reference request: finding entries that prevent matrix from being correlation matrix
I am currently doing some research with a quantitative finance firm and my supervisor has raised an interesting question that shows up a lot with their clients: quite often, clients will want to do ...
- 721
1
vote
0
answers
114
views
Extending risk neutral measure to insurance/mortality filtration
In insurance mathematics, one often models the underlying of an insurance policy with a Black Scholes model on a filtered probability space $(\Omega,\mathbb{Q},\mathcal{F},\mathbb{F}=(\mathcal{F}_{t}))...
- 203
-4
votes
1
answer
303
views
Reference request in optimal stopping [closed]
I am given the following task. Distributed over a trading day, I am supposed to buy a certain quantity of a good. The price of this good changes during the day. The goal is to buy the required ...
