dXt=(rx[1-Xt/k])-qzt)dt+gXt[1-Xt/k]dWt ]]>

Let me recommand you to rather ask this kind of question at the QuantSE forum “http://quant.stackexchange.com/questions” ( or alternatively at Wilmott.com forum), where might find a lot of skillfull people on those matters.

Best regards

TheBridge

]]>First of all, thank you so much for making this blog freely available for all; it will surely help me in my autodidactic pursuit re stochastic mathematics.

Secondly, I was wondering whether you might help me with something that I have been stuck with and unable to grasp whilst reading the book by Prof Salih Neftci called “An Introduction to the Mathematics of Financial Derivatives”. In there, he gives an equation but I do not know how he got the result. If you can help, then either a) you have the book – I can specify precisely which equation and which page, or b) you don’t have to book: I will handwrite the the equation and set up the problem, scan it and post an upload link as a comment here?

Kr,

WKW

I was wondering what your next posts will be talking about. Anything about Local Times, Malliavin Calculus, Quasi-sure Analysis, Backward SDEs, Large Deviations Theory, Stochastic Control Theory ?

Anyway whatever the subject you may pick I’ll be delighted to read more on your blog,

Best Regards

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