Actuarial Outpost Covariance of S(t) and S(T) -- need help!
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 Investment / Financial Markets Old Exam MFE Forum

#11
08-05-2012, 02:28 PM
 jaws274 Member CAS SOA Join Date: May 2009 Location: Manhattan Studying for 4/C Feb, MLC May College: UCSD Alumni Favorite beer: micro-brew Posts: 101

Quote:
 Originally Posted by JayZ2012 Cov[s(t),s(u)] = [s(0)]^2exp[(t+u)*(alpha-delta)]*(exp[min(t,u)*sigma^2]-1). That should clear things up.
oh rly? i wasnt aware that it was the minimum. I guess i must have been listing the lower time first by habit because i was getting all of those right.
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#12
08-05-2012, 02:36 PM
 Actuarialsuck Member Join Date: Sep 2007 Posts: 6,154

Quote:
 Originally Posted by jaws274 oh rly? i wasnt aware that it was the minimum. I guess i must have been listing the lower time first by habit because i was getting all of those right.
Well you are told the formula is for T > t, you can remove that condition by instituting a minimum function.
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Quote:
 Originally Posted by Buru Buru i'm not. i do not troll.
#13
08-05-2012, 11:44 PM
 drsingh Member CAS SOA Join Date: Jul 2012 Posts: 453

Quote:
 Originally Posted by Actuarialsuck What do you mean? It's just prices of the same stock at 2 different points in time.
Quote:
 Originally Posted by JayZ2012 Cov[s(t),s(u)] = [s(0)]^2exp[(t+u)*(alpha-delta)]*(exp[min(t,u)*sigma^2]-1). That should clear things up.
I take the exam tomorrow, and I had told myself, a while ago, that the last day before the exam, I would do nothing but read non-technical books. I started on Anthony Bourdain's "A Cook's Tour" (for perfect meal around the world, and, for some curious reason, I finished with his adventure in eating lamb gonad in the Sahara deset, with Tuareg Berbers in blue clothes, roasting the lamb in whole. He describes it as absolutely heavenly.

Last edited by drsingh; 08-06-2012 at 12:10 AM..
#14
08-06-2012, 12:02 AM
 Actuarialsuck Member Join Date: Sep 2007 Posts: 6,154

Quote:
 Originally Posted by drsingh I take the exam tomorrow, and I had told myself, a while ago, that the last day before the exam, I would do nothing but read non-technical books. I started on Anthony Bourdain's "A Cook's Tour" (for perfect meal around the world, and, for some curious reason, I finished with his adventure in eating lamb gonad in the Sahara deset, with Tuareg Berbers in blue clothes, roasting the lamp in whole. He describes it as absolutely heavenly. Took a break, refreshed this page, and saw your reply. Somehow it all seems connected
I may trust you to do MFE for me in the future, but not to cook .

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Quote:
 Originally Posted by Buru Buru i'm not. i do not troll.
#15
08-06-2012, 12:10 AM
 drsingh Member CAS SOA Join Date: Jul 2012 Posts: 453

Quote:
 Originally Posted by Actuarialsuck I may trust you to do MFE for me in the future, but not to cook . Good luck on your exam.
That was supposed to be lamb, not lamp. Corrected above.
#16
08-06-2012, 12:32 AM
 TheShark Member SOA Join Date: Dec 2010 Location: NYC College: Senior at a CAE Posts: 2,086

Quote:
 Originally Posted by AAABBBCCC you never had honey roasted lamp before? It is an illuminating experience.
And here I was thinking you were gonna prove the covariance of S(t) and S(T)...
#17
08-06-2012, 01:31 AM
 jaws274 Member CAS SOA Join Date: May 2009 Location: Manhattan Studying for 4/C Feb, MLC May College: UCSD Alumni Favorite beer: micro-brew Posts: 101

i love lamp
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