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Area shopper finds, buys book in real bookstore

Posted 01-26-2009 at 11:49 PM by Marid Audran

So I had ordered Rosenthal's textbook from, but it turns out to have been out of stock. But then I stopped by my local university bookstore, having arrived on campus for my shiny new part-time temporary teaching gig. I browsed the math section...and lo and behold, they had a copy in stock! So I bought it and cancelled my Amazon order. Measure theory, here we come
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and another!

Posted 01-26-2009 at 12:52 AM by Marid Audran

ASM MFE manual, after noticing that they don't know when they'll ship the Rosenthal.

The part-time teaching gig has caused a (hopefully temporary) delay in ramping up my studies. I think that if I am to break into this industry that I'll have to get a better handle on that--as Gilda Radner said, "There's always something."
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Just ordered another book

Posted 01-25-2009 at 01:34 AM by Marid Audran
Updated 01-25-2009 at 01:41 AM by Marid Audran

I believe McDonald, Derivatives Markets, has a deserved reputation for being unclear about the probability/statistical theory. I browsed A First Look at Rigorous Probability Theory, by Jeffrey Rosenthal, at an area college library, and got a good impression. After trying to read McDonald on Ito's Lemma and related subjects today, I broke down and ordered the Rosenthal*. Mind you, I'm coming from a theoretical math background--others might not need or be interested in what's in that book.
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Posted in MFE-3F, Exams
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Slightly off-topic

Posted 01-16-2009 at 08:41 PM by Marid Audran

As I study for Exam MFE/3F, I keep coming across Ito's Lemma. This reminds me of Judge Lance Ito and the O.J. Simpson trial, which in turn reminds me of the Dancing Itos on the Tonight Show (cf. this video, around the 2:00 mark).

I was in my twenties when that trial took place. It's weird to think that I'm competing for jobs with people who were in grade school then.
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Binomial option pricing: forward price must lie in between "up" and "down" prices

Posted 01-06-2009 at 11:03 PM by Marid Audran

Formula (10.4), p. 317, states that
where u,d are what today's spot price will be multiplied by in case the stock price goes up or down, respectively; r is the risk-free rate; is the dividend rate; and h is the time period length. Exercise 10.21, p. 341, asks you to show that there are arbitrage opportunities if one of these inequalities is violated. The most concise solution, I think, is to use Formula (5.7), p. 134:
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