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In mathematical finance, Margrabe's formula [1] is an option pricing formula applicable to an option to exchange one risky asset for another risky asset at maturity. It was derived by William Margrabe (PhD Chicago) in 1978. Margrabe's paper has been cited by over 2000 subsequent articles.
Jamshidian's trick is a technique for one-factor asset price models, which re-expresses an option on a portfolio of assets as a portfolio of options. It was developed by Farshid Jamshidian in 1989. The trick relies on the following simple, but very useful mathematical observation.
Options Clearing Corporation's (OCC) Options Symbology Initiative (OSI) mandated an industry-wide change to a new option symbol structure, resulting in option symbols 21 characters in length. March 2010 - May 2010 was the symbol consolidation period in which all outgoing option roots will be replaced with the underlying stock symbol.
The code can also be constructed as the quadratic residue code of length 11 over the finite field F 3 (i.e., the Galois Field GF(3)). Used in a football pool with 11 games, the ternary Golay code corresponds to 729 bets and guarantees exactly one bet with at most 2 wrong outcomes. The set of codewords with Hamming weight 5 is a 3-(11,5,4) design.
Chapter 5 studies cyclic codes and Chapter 6 studies a special case of cyclic codes, the quadratic residue codes. Chapter 7 returns to BCH codes. [1] [6] After these discussions of specific codes, the next chapter concerns enumerator polynomials, including the MacWilliams identities, Pless's own power moment identities, and the Gleason ...
Martingale pricing is a pricing approach based on the notions of martingale and risk neutrality.The martingale pricing approach is a cornerstone of modern quantitative finance and can be applied to a variety of derivatives contracts, e.g. options, futures, interest rate derivatives, credit derivatives, etc.
An error-correcting code is a way of encoding x as a message such that Bob will successfully understand the value x as intended by Alice, even if the message Alice sends and the message Bob receives differ. In an error-correcting code with feedback, the channel is two-way: Bob can send feedback to Alice about the message he received.
Wolfram Mathematica is a software system with built-in libraries for several areas of technical computing that allows machine learning, statistics, symbolic computation, data manipulation, network analysis, time series analysis, NLP, optimization, plotting functions and various types of data, implementation of algorithms, creation of user interfaces, and interfacing with programs written in ...