Introduction to Stochastic Calculus & Application in Finance

過獎過獎
不過跟住啲嘢都好難再簡化 真係冇辦法

我依家睇返都覺得自己寫得唔係咁好
(因為寫嗰時其實我好眼訓)
完咗呢個section我諗吓點樣可以再講得淺白啲

樓主Undergrad黎?
睇到2開始好難follow

就黎考 黎呢度溫下書

係
俾啲時間我 講埋呢個section我諗吓點樣再簡化啲background等大家易明啲

留名支持

讀緊Econometrics

Thanks for the info! I do have a PhD, however it’s in mathematics. Does a PhD actually help? I always feel like a PhD is making everything harder. I’ve tried pretty much everything in Australia but never got any interviews.

To be honest I would prefer London over Hong Kong if I had the opportunity. I’m not sure if I can get used to living in Hong Kong anymore, haven’t lived there for more than 15 years and everything has changed a lot since 1997. I don’t even know if banks in Hong Kong will consider people from Australia. I do know quite a few PhDs from my university working in London as quants.

A friend of mine just left for Hong Kong, he’s working for Jane Street. It seems that job doesn’t require anything too advanced in mathematics. Another friend of mine also working for a buyside form in London, it’s a lot of statistics and programming. We all have PhDs.

Would you mind telling me more about yourself? You can message me if you prefer private conversations.

留名學嘢！
U個陣同考cfa個陣掂過吓quantitative method
但都不明所以
睇吓有咩啟發

Btw, there’re a few things I wanna point out about self financing portfolio. Please do take it with a grain of salt as I’m no expert on this matter.

To my understanding, dV DOES depend on dh_1 and dh_2 because you are dynamically hedging the portfolio. However, because of the portfolio is self financing,

S dh_1 = - pi dh_2

That’s why dV = h_1 dS + h_2 d\pi

我自己覺得risk-neutral pricing係成個option pricing framework裏面最啟發到我嘅嘢
希望你慢慢睇落去會睇得明

Yes indeed the explanation should be like this
In technical terms what we are doing here is actually delta hedging
You can see this fact after we've solved the h1 and h2
but I don't want to go too deep on this so I just take it for granted
I will clarify this at the end of this section, thanks for pointing this out

Yeah because it sounded like dh_1, dh_2 = 0

And yes indeed if we divide both side by dS, we get delta hedging.

Sad sad. I left HK for my PhD ten years ago. Not working in HK since then, and cannot stand the huge change in the environment even just for holidays.

Where do you work now? You also in finance?

I'm in academics. Mainly do dynamic analysis in financial economics...
and structural models for debt valuations.

Wa, a good friend of mine does something similar in the UK. Where about are you now?

Math 人LM

a phd is not a must, but many of them have it. but in general banks hire people from everywhere so competition always exists
i can share a bit more in private conversation, how can i contact you?

Of course! Do you use WhatsApp?

Lebesgue measure Borel measure

大家等多我一日
完埋midterm就可以繼續出post

劇透：section 3最尾一part我會介紹多啲唔同嘅derivatives
然後搵佢地嘅fair price出黎
從而show比大家睇點解我地要花咁多口水講black scholes
順便我會補充埋之前寫漏咗嘅嘢or冇講到嘅details
等有興趣知多啲嘅人可以了解曬成個full picture

連登開始轉型做數學論壇