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Search: Posts Made By: Generalshamu
Forum: Investment / Financial Markets 12-01-2010, 05:43 AM
Replies: 5
Views: 878
Posted By Generalshamu
Not really unfortunately. I do not have my ASM...

Not really unfortunately. I do not have my ASM manual on me either.
Forum: Investment / Financial Markets 11-30-2010, 11:43 PM
Replies: 5
Views: 878
Posted By Generalshamu
Exactly my problem...

Exactly my problem...
Forum: Investment / Financial Markets 11-30-2010, 11:02 PM
Replies: 5
Views: 878
Posted By Generalshamu
SDE Question

I am very confused on this and was hoping someone could show me all the steps in solving it. I just don't know how to do it...

dS = a*S*dt + b*S*dW
If S0 = 100, what is E(ln(S2))?

I realize...
Forum: Probability 11-01-2010, 05:26 PM
Replies: 4
Views: 1,075
Posted By Generalshamu
I figured out the middle one by simply factoring...

I figured out the middle one by simply factoring it out and simplifying it down to n! = (n-1)!*n
Forum: Probability 11-01-2010, 05:20 PM
Replies: 4
Views: 1,075
Posted By Generalshamu
I am horrible at proofs...

I am horrible at proofs...
Forum: Probability 11-01-2010, 02:37 PM
Replies: 4
Views: 1,075
Posted By Generalshamu
Combinatorics Proofs

Can anyone prove to me if the following hold for all n, m, K:

Sigma(i=0,n, mCi * nCi) = (m+n)Cn

nCk = (n-1)C(n-k) + (n-1)C(k)

Sigma(i = 0, k, mCi * nCi) = (m*n)C(k^2)
Forum: Investment / Financial Markets 05-21-2010, 05:10 PM
Replies: 17
GBM
Views: 1,941
Posted By Generalshamu
Thank you ActuarialSuck, I was able to figure out...

Thank you ActuarialSuck, I was able to figure out what you meant. I really appreciate it!
Forum: Investment / Financial Markets 05-18-2010, 01:00 AM
Replies: 17
GBM
Views: 1,941
Posted By Generalshamu
Well I am just trying to figure out how to find...

Well I am just trying to figure out how to find E(S(T)^p) and then how one would do it for E(f(x,t)) where f(x,t) can be any function that can be applied in this way through Ito's Lemma to get to the...
Forum: Investment / Financial Markets 05-18-2010, 12:40 AM
Replies: 17
GBM
Views: 1,941
Posted By Generalshamu
Ohh, so it is right, I just made a careless...

Ohh, so it is right, I just made a careless arithmetic error at the end...or so it seems.
Forum: Investment / Financial Markets 05-17-2010, 11:52 PM
Replies: 17
GBM
Views: 1,941
Posted By Generalshamu
Where are the errors in what I wrote? I hope it's...

Where are the errors in what I wrote? I hope it's not something major...
Forum: Investment / Financial Markets 05-17-2010, 11:36 PM
Replies: 17
GBM
Views: 1,941
Posted By Generalshamu
Ok, so lets try this again...is everything in the...

Ok, so lets try this again...is everything in the attached file correct?

If so, won't E(S(t)^p) \, = \, (p*r + p(p-1)(sigma^2)/2) dt ???

And variance would be the coefficient on the dW(t) ...
Forum: Investment / Financial Markets 05-17-2010, 06:34 PM
Replies: 17
GBM
Views: 1,941
Posted By Generalshamu
C_{S} \, = \, P*S^(P-1) \, C_{SS} \, = \,...

C_{S} \, = \, P*S^(P-1) \,
C_{SS} \, = \, P*(P-1)*S^(P-2) \,

C_{t} \, = \, 0 ???

(dS)^2 \, = \, (sigma^2)dt

where dtdW = dWdt = dtdt = 0???
Forum: Investment / Financial Markets 05-17-2010, 06:21 PM
Replies: 17
GBM
Views: 1,941
Posted By Generalshamu
That's what I thought but I can't figure it out...

That's what I thought but I can't figure it out...
Forum: Investment / Financial Markets 05-17-2010, 05:57 PM
Replies: 17
GBM
Views: 1,941
Posted By Generalshamu
GBM

If you have the following SDE:
dS(t)/S(t) = rdt + sigma*dW(t),

How can you go about finding E(S(T)^p) and V(S(T)^p)???
Forum: Probability 02-15-2010, 08:41 PM
Replies: 9
Views: 1,322
Posted By Generalshamu
That is what my professor's solution stated...

That is what my professor's solution stated...
Forum: Probability 02-14-2010, 10:43 PM
Replies: 9
Views: 1,322
Posted By Generalshamu
V(Y) = 1(.9) + 25(.1) = 3.4 but I am still...

V(Y) = 1(.9) + 25(.1) = 3.4 but I am still confused...since the skew and kurtosis have centralized moments.
Forum: Probability 02-14-2010, 10:19 PM
Replies: 9
Views: 1,322
Posted By Generalshamu
Skewness/Kurtosis

I have a quick question on a mixture distribution.

Say X1 ~ N(0,1) and X2~N(0,25) where the P() of genearting a sample from X1 is 0.9 and the P() of generating a sample from X2 is 0.1. The mixted...
Forum: Long-Term Actuarial Math 01-08-2010, 03:25 PM
Replies: 3
Views: 4,291
Posted By Generalshamu
Thank you optimizer, this explains everything.

Thank you optimizer, this explains everything.
Forum: Long-Term Actuarial Math 01-08-2010, 01:08 AM
Replies: 3
Views: 4,291
Posted By Generalshamu
Statistics Brain Teaser

I was wondering if someone could help explain this to me.

Say you have 3 Random Variables that are all equally pairwise correlated. i.e. Corr(X,Y)=Corr(X,Z)=Corr(Y,Z).

What values can the...
Forum: Investment / Financial Markets 09-09-2008, 11:56 PM
Replies: 8
Views: 975
Posted By Generalshamu
I thought PDEs are covered on MFE in the context...

I thought PDEs are covered on MFE in the context of SDEs?
Forum: Investment / Financial Markets 09-09-2008, 11:34 PM
Replies: 8
Views: 975
Posted By Generalshamu
The PDE heat equation from the book by Richard...

The PDE heat equation from the book by Richard Haberman. ISBN: 0130652431
Forum: Investment / Financial Markets 09-09-2008, 10:28 PM
Replies: 8
Views: 975
Posted By Generalshamu
I think my guesses are completely wrong since it...

I think my guesses are completely wrong since it appears we have to look at the flux at each individual point and than take a net.

Is this correct?
Forum: Investment / Financial Markets 09-09-2008, 10:23 PM
Replies: 8
Views: 975
Posted By Generalshamu
PDE - Heat Equation

I am trying to learn the heat equation PDE and I am having trouble understanding the flux phi(x,t).

The book 'states' that flux > 0 if net heat flow is to the right and <0 if net heat flow is to...
Forum: Probability 09-07-2008, 01:11 PM
Replies: 4
Views: 956
Posted By Generalshamu
Thanks guys. When I sat for P I never had a...

Thanks guys.

When I sat for P I never had a question like that directly. Perhaps there was something that would use that property to find an E(X) or MGF...
Forum: Probability 09-06-2008, 11:48 PM
Replies: 4
Views: 956
Posted By Generalshamu
Derivatives Question

I know this won't be on the exam but can anyone verify that the derivatives of:
cosh(g(x)) is g'(x)*sinh(g(x))
and
sinh(g(x)) is g'(x)*cosh(g(x))
Showing results 1 to 25 of 300

 

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