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by eh
May 11th, 2016, 4:04 pm
Forum: Programming and Software Forum
Topic: Mathematica questions
Replies: 5
Views: 1120

Mathematica questions

My mathematica is a little rusty, but I think that 3 can be achieved using "rules".
by eh
May 11th, 2016, 3:58 pm
Forum: Numerical Methods Forum
Topic: Multivariate normal distribution/Monte Carlo simulation
Replies: 4
Views: 990

Multivariate normal distribution/Monte Carlo simulation

I feel it necessary to point out that your assertion that "Since M is gaussian, it is pretty easy as we just need to know its expectation and the covariance matrix a each time point." only holds if f is linear.
by eh
December 14th, 2015, 5:03 pm
Forum: Technical Forum
Topic: Stochastic bridge in combination with stochastic volatility and jumps
Replies: 8
Views: 2846

Stochastic bridge in combination with stochastic volatility and jumps

<t>In general, multidimensional Levy bridges are quite tricky beasts.Following on from Lapsilago's suggestion, there is a construction of a VG bridge that uses a Brownian bridge with a gamma bridge subordinator. The Brownian bridge could be replaced with a multidimentional Brownian bridge, and the s...
by eh
December 7th, 2015, 2:47 pm
Forum: Technical Forum
Topic: Stochastic bridge in combination with stochastic volatility and jumps
Replies: 8
Views: 2846

Stochastic bridge in combination with stochastic volatility and jumps

For jumps, you could use a Levy bridge. The VG bridge is easy to simulate.
by eh
October 9th, 2015, 4:03 pm
Forum: General Forum
Topic: Neural Networks in Finance
Replies: 4
Views: 2836

Neural Networks in Finance

I messed around with them in the past (buy side). Nothing came of it. Overfitting was a big problem. Also lack of transparency made sense-checking trading signals almost impossible.
by eh
September 3rd, 2015, 7:21 am
Forum: Programming and Software Forum
Topic: Jupyter
Replies: 12
Views: 6145

Jupyter

Interesting.Thanks
by eh
September 2nd, 2015, 12:00 pm
Forum: Programming and Software Forum
Topic: Jupyter
Replies: 12
Views: 6145

Jupyter

I'm not really sure what the MATLAB equivalent of the R kernel is.
by eh
September 1st, 2015, 10:58 am
Forum: Programming and Software Forum
Topic: Jupyter
Replies: 12
Views: 6145

Jupyter

Has anyone actually used Jupyter with MATLAB? I have seen it mentioned, but never seen it implemented.
by eh
August 25th, 2015, 3:58 pm
Forum: General Forum
Topic: Copula and cholesky
Replies: 2
Views: 2433

Copula and cholesky

<t>I don't really know where to begin! By "cholesky", I guess you mean the Cholesky decomposition of a symmetric, positive-definite matrix. This is simply a linear algebra tool that can help, for example, in the simulation of linearly dependent random variates. A copula is a special type of multivar...
by eh
September 8th, 2014, 2:33 pm
Forum: Book And Research Paper Forum
Topic: Mathematical Finance of the next generation of quants?
Replies: 26
Views: 6408

Mathematical Finance of the next generation of quants?

Let me guess, you wrote this.
by eh
September 1st, 2014, 3:39 pm
Forum: Careers Forum
Topic: PhD degree for mathematical finance
Replies: 21
Views: 7625

PhD degree for mathematical finance

I seem to recall that Walter Schachermayer was an actuary early in life.
by eh
July 21st, 2014, 2:02 pm
Forum: Careers Forum
Topic: PhD degree for mathematical finance
Replies: 21
Views: 7625

PhD degree for mathematical finance

QuoteOriginally posted by: GamalmathsAgreed
by eh
June 18th, 2014, 12:35 pm
Forum: Brainteaser Forum
Topic: google search
Replies: 2
Views: 5342

google search

by eh
June 6th, 2014, 2:48 pm
Forum: Technical Forum
Topic: Robust Portfolio Selection
Replies: 3
Views: 5101

Robust Portfolio Selection

If in doubt, use 1/N. 1/vol might be better (beware of very low vols, though). Do not do Markowitz because of uncertainty of expected returns.Another option is to assume all assets have same Sharpe ratio and then do Markowitz (i.e. set expected return to vol rather than estimating it).
by eh
June 4th, 2014, 12:27 pm
Forum: Programming and Software Forum
Topic: Arbitrage in Matlab
Replies: 3
Views: 4699

Arbitrage in Matlab

<t>I'm sure that there is loads of example cointegration code on the web (not necessarily finance related). Look at that stuff.Moving from theory to a trading strategy that actually works is very difficult (and can only be properly tested by live trading). Anyone who can complete this step is unlike...
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