Các câu hỏi phỏng vấn [18/8/2007]

[shinichi9htv]

11. W brownian motion, f:R->R continuous except one point where there is a jump discontinuity. Show that f(W_t) is not a semimartingale.

[drew]

Argh, we will have to wait for YADD as this one is beyond me, my knowledge of semi-martingales is pretty minimal !
So, Revuz-Yor makes good bedtime reading tonight for me then

[YADD]

Originally Posted by YADD

8.

9. Cha('c co' lie^n he^. đe^'n so^' Pi.

8. Ooooops. Should have been

What duet, drew?

[YADD]

Originally Posted by shinichi9htv

11. W brownian motion, f:R->R continuous except one point where there is a jump discontinuity. Show that f(W_t) is not a semimartingale.

I give up this one. Heard of semi-martingale but I never got to the point of wishing to understand it. Honestly.

Lately, however, a colleague of mine did mention something like a stochastic volatility model (a la Heston) only has some semi-martingale property rather than martingale. This would imply an impossibility of hedging it. Not sure what it means. But I can't help wondering whether semi-martingale would be of any practical use? Someone out there might enlighten me. Many thanks.

[drew]

Song tấu , Lưu Chính Phong và Khúc Dương, Tsubasa và Misaki, T. Tao và B. Greene, Black và Scholes, Hull và White, yeah, whatever..., enough ramblings, back to work !

[drew]

Regarding stoch vol models, to cite Pat Hagan: "It has been claimed by many authors that stochastic volatility models
are models of incomplete markets, because the stochastic volatility risk cannot be hedged. This is not true. It is true that the risk to changes in vol (the vega risk) cannot be hedged by buying or selling the underlying asset. However, vega risk can be hedged by buying or selling options on the asset in exactly the same way that delta-hedging is used to neutralize the risks to changes in the price. In practice, vega risks are hedged by buying and selling options as a matter of routine, so whether the market would be complete if these risks were not hedged is a moot question."

[shinichi9htv]

OK, 11 is a question I have taken from Protter :P. Just for test . Forget this question.

[drew]

Dude, what did you want to "test" ?

[shinichi9htv]

test if I can use it as an interview question.

12. (from quantfinancejob.com) trong rổ có 10 quả táo xanh, 20 quả táo vàng và 30 quả táo đỏ. Nhắm mắt lấy táo lần lượt từ trong rổ ra. Tính xác suất để khi lấy ra hết táo xanh thì vẫn còn ít nhất 1 quả táo vàng và 1 quả táo đỏ.

[YADD]

Originally Posted by shinichi9htv

test if I can use it as an interview question.

So you are an interviewer?

Job description, please, sir?