a*******1
发帖数: 1554 | 1 在这里可以下载
http://www.markjoshi.com/design/
有include,main,source 三个文件夹，include存header,main存main程序，source存其
他程序，其中main和source里的文件都是.cpp格式。我用visual c++ 2008，请问如何
调试这些程序？以前上课的程序都是有个project可以直接运行的，但现在只有.cpp，
不知道怎么办了......谢谢 |
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x********o
发帖数: 519 | 2 never used VC, but with GNU, just compile all the cpp files together. |
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D********n
发帖数: 978 | 3 联系你以前学校，让他们退学费给你。理由是他们没教会你东西。 |
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z****g
发帖数: 1978 | 4 他连include和src这些都不知道，你让他用GNU? |
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x********o
发帖数: 519 | 5 another way,
you might want to switch to GNU's ecllipse IDE,
I think it will do all the work for you automatically, though i am not very
sure. |
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k*******d
发帖数: 1340 | 6 到VC里面建立一个空Project，把文件全都添进去，一股脑子编译看看
用gcc还得写make file，麻烦 |
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a*******1
发帖数: 1554 | 7 谢谢....可以了...可能问题太弱智了......囧
very |
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y***s
发帖数: 23 | 10 I happened to test the 1st program a few days ago.
1. First compile the functions needed in the main program:
g++ -c function.cpp (-c: just compile to generate binary file. No linking
here)
2. compile and link the main program
g++ main.cpp function. o
This is the idea(compiling and linking). |
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e*******e
发帖数: 1144 | 11 应该是Mark S. Joshi写的,有人给翻译了 |
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x******a
发帖数: 6336 | 13 那个spot是什么意思？
另外为什么可以假定vol＝10％？
多谢 |
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L**********u
发帖数: 194 | 14 哥们，spot 就是S_0,
他的解里面也没有用到sigma的值。
就是Taylor展开而已。 |
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x********o
发帖数: 519 | 15 he does not use sigma?
how? |
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x******a
发帖数: 6336 | 16 then what is notional?
may I ask you if you read the problem? |
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L**********u
发帖数: 194 | 18 他给出了一个一般的公式，
然后举例说比如 v=10% 得到。。。。
难道你连notional 和spot都分不清？ |
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L**********u
发帖数: 194 | 19 顺便再多嘴一句，那个公式给出的是notional是1$, spot price 是S_0的价格。 |
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x******a
发帖数: 6336 | 20 ok. i know that. thank you. |
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o******e
发帖数: 74 | 21 想了很久都不明白为什么说带有downward jump的option 会比没有jump的价格更高？我
看过他的解释，但是仍然感觉这与直觉相悖啊。 请大牛们指教。 |
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n*******e
发帖数: 107 | 22 是any option还是put option？ |
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A*****s
发帖数: 13748 | 25 不知道这问题的assumption是神马
implied vol可不是对称的。。。向下的jump对call的价值没贡献吧。。。 |
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W*******d
发帖数: 63 | 26 put call parity.
if higher put, must higher call |
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A*****s
发帖数: 13748 | 27 thanks...
还是不在做题的状态啊。。。 |
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m********l
发帖数: 4394 | 28 不懂就不懂。 装啥B?
“哎呀， 我本来很厉害的。 可是不在做题的状态啊。。。" |
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A*****s
发帖数: 13748 | 29 do you even know what is p-c parity, Mr.Programmer?! LOL |
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i**w
发帖数: 71 | 30 Is the following argument natural?
From the perspective of a market maker, whenever he sells a call, he needs
to set up a hedging portfolio, which contains delta shares of stocks and
certain amount of funding balance. The cost to set up such a portfolio is
the price that he quotes for the buyer. (What he actually quotes will of
course includes a premium on top, to make money. but let's forget about the
making money part.)
-(Perfect) Black Scholes world
If he lives in a (perfect) Black-Scholes wo... 阅读全帖 |
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o******e
发帖数: 74 | 31 多谢ihtw大牛，你的解释和MJ的解释是一致的。只是如果单纯考虑带有downward jump
的股票，应该说越来越少的股票最终会比strike price高啊。所以call option 应该减
少来着。我想不通自己哪点错了，赫赫。 |
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m********l
发帖数: 4394 | 33 我也想不通。
这道题的Assumption是只有downward jump.
Call option还需要jump premium吗？
难道任何jump的cost比delta还高？
jump |
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a**n
发帖数: 3801 | 34 那你想想 在B-S 世界里
假如有俩股票 volatility一样 一个drift是正的，一个drift是负的
为啥他们的call 和 put option价格都是一样的
jump |
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A*****s
发帖数: 13748 | 35 怎么可能vol一样，drift不一样？
在bs的世界里，drift = riskfree + (MPR)*vol
这才是BS的公式里没有drift的原因啊，因为drift根本不是一个独立变量 |
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a**n
发帖数: 3801 | 36 你说的这个是俩股票的randomness来自于同一个brownian motion
假设有俩独立的brownian motion
各自影响一个股票就行了
option价格还是一样 |
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a**n
发帖数: 3801 | 37 或者说
MPR变来变去也不影响option price |
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i**w
发帖数: 71 | 39 //had to rush out shopping, not a well organized post. apology.
Let me be a little bit naggy and take a detour: What would you pay today
for a payoff at time T: f(T) = S?
This is easy: it is just a plain forward contract, the prepaid forward
price is S_0, thus I pay S_0 today.
- forward on stocks paying dividends and no randomness:
S(T) = S_0*e^(alpha*T)
By the no arbitrage principle, S_0 is what you pay.
What if the dividend rate is lower, so S(T) ends up lower. Would anyone
quote you a lower p... 阅读全帖 |
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d********t
发帖数: 9628 | 41 如果只是delta hedge了，一旦股票价格波动，hedge用的Port要比call跌得多啊。
the |
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N*******D
发帖数: 4 | 43 Under what measure do you make your argument?
In real measure, a stock with downward jump must be compensated with higher
expected return for the downward jump risk, so the probability of (ST > K )
are not necessarily smaller.
In the tradition risk neutral measure, things must be more complicated with
jumps, since Girsanov theorem did not mention jump. I don't know any
theories about jump yet, but I feel the risk neutral measure with jumps
might be different.
jump |
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k*****y
发帖数: 744 | 45 不好意思，今天重新开始看红书，我也挖一下。看看我想的对不对。
假设C_BS(S, t)是没有jump的Black Scholes的value。我们依然用同样的porfolio来
replicate带jump的call option：
(简单记D(S, t)是\Delta = d C_BS/ d S)
在每个时刻，还是保持D在stock和 C_BS - D*S在money market。
那么维持这个porfolio的cost就是这个option的price吧。
这样假设开始我们只有C_BS(S_0, 0)，没有遇到jump的时候，我们可以维持这个
porfolio w/o extra cost。但是有jump的时候，假设stock在jump之前是S之后是S'，
那么维持这个porfolio的extra cost是：
C_BS(S', t) - C_BS(S, t) - D(S,t)*(S'-S)
也就是C_BS(S', t)到在S点切线垂直差。因为C_BS关于S是convex的，所以总是>=0。
也就是说维持这个porfolio的cost要>C_BS(S_0, 0)。
这样看来无论是d... 阅读全帖 |
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r**a
发帖数: 536 | 46 做string的？我和你的背景很类似，目前正在努力转行中。说一下我的经验。当然这个
经验还谈不到成功，因为我也还没有开始找工作。
1.上门本科生统计课程，这个还是很有用地。
2.读一下Shreve's book or Bjork's book 我个人比较喜欢Bjork的书，当然Shreve的
书也读过。
3.如果有可能的话，听几门business系的关于investment的课程。个人感觉
对于概念的理解帮助比较大。俺这个垃圾学校旁听没人管。当然有人说这个对于quant
没用。我觉得是见仁见智的。
4.复习c++。读一下关于Monte Carlo的书，个人推荐Glasserman的书和Ross的
simulation一起看。
然后试着用c++和matlab去搞一下shreve书里的模型。可以参考Mark Joshi's book.
5.如果有精力和兴趣的话，可以读一些比较专门的书，比如quantitative risk,
interest, jump process, etc.
6.读一下那些应付interview的书。可能还需要看一些algorithm的书籍。
俺目前处在第4,5阶段... 阅读全帖 |
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A********a
发帖数: 133 | 47 To get a quant job, u just need know basic stuffs, i.e. probability theory,
stochastic process, derivative pricing, portfolio and risk management, C++.
There is no need to read those monograms.
To start with, read Zhou Xinfeng's book, and maybe Mark Joshi's also.
For research topics, also no need to be avian-garde, just do some thing
practical and hone ur skills of model design and programming. |
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R**T
发帖数: 784 | 48 the second question is discussed in Mark Joshi's book
in this trinomial case the risk neutral measure is not unique
the call does not have an unique price
the probability of an upward move can sit anywhere between 0 to 0.5
so the price should be in the 0 to 2.5 range
Thank you for posting the questions! |
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h**********y
发帖数: 41 | 49 Suppose we toss a fear coin, and let N denote the number of tosses until we
get a head (including the final toss). What is E(N) and Var(N)?
I know E(N)=0.5*1+0.5*( E(N)+1 ), so E(N)=2.
Can I use this way to calculate Var(N)?
I know there is a solution in Joshi's red book, but that looks complicated,
Any other method to calculate Var(N)? |
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r*******e
发帖数: 971 | 50 【 以下文字转载自 JobMarket 讨论区 】
发信人: reclapple (加菲鲸), 信区: JobMarket
标 题: Recruiting Entry Level 2 years Quantitative Analytics Research
发信站: BBS 未名空间站 (Sat Sep 24 18:47:35 2011, 美东)
>
> 不要站内信。有兴趣请联系：
> Jason Hung Vu
> The Leverage Group
> 139 East 23rd Street
> New York, NY 10010
> Ph. 212-330-6400
> Alternate Cell number for out of office: 201-839-6319
> Send me a LinkedIn invitation: http://www.linkedin.com/in/hungvunewyork
>
> Entry Level – 2 years Quantitative Analytics Research (PhD required)
... 阅读全帖 |
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