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by Costeanu
January 18th, 2011, 5:28 pm
Forum: Brainteaser Forum
Topic: Ice mountain
Replies: 7
Views: 25837

Ice mountain

<t>Hi joet, wileysw,I heard the problem from a friend who came with it after he visited Cambridge University, so the rumor might be true. I personally didn't try to solve it in half an hour, I put it on the back of my mind, but I gave my friend the solution the next day. He said the solution is wron...
by Costeanu
January 16th, 2011, 2:34 am
Forum: Technical Forum
Topic: Stoch vol in Markov Functionals ?
Replies: 1
Views: 21071

Stoch vol in Markov Functionals ?

I don't know how to do that, and in their book, Andersen and Piterbarg state that they are not aware of any successful attempt. Of course, that doesn't mean it is not possible. Best,V.
by Costeanu
January 15th, 2011, 5:11 pm
Forum: Careers Forum
Topic: Help me decide: entry level BB IB v/s HF tech
Replies: 6
Views: 21977

Help me decide: entry level BB IB v/s HF tech

<t>882ad,To me it looks clear the HF job is better. The bank job that you describe is not of a quant; you would never work on a model, only on moving data from one database to another one, invoking some quant-developed analytics, creating some reports, migrating some trades from one pricer to anothe...
by Costeanu
January 12th, 2011, 9:58 pm
Forum: Programming and Software Forum
Topic: Should I learn Scilab or R?
Replies: 6
Views: 30584

Should I learn Scilab or R?

<t>VegaPlus, When I was a grad student I had access to cheap software through the university. I don't remember exactly what I bought, Matlab or Maple, but I think it was around $100. If you can find such a deal, I think Matlab should be a good investment. In banks people rarely use Matlab, they use ...
by Costeanu
January 11th, 2011, 3:27 pm
Forum: Numerical Methods Forum
Topic: the meshless method ?
Replies: 40
Views: 36029

the meshless method ?

<t>I prefer to think in terms of standard deviations away from the mean. In these units 0 is as far away as +infinity. So I guess when you change your domain, you can choose to make the new domain [0, 1]^n, or R^n. In the first case you need boundary conditions, in the second you don't. However, whe...
by Costeanu
January 10th, 2011, 9:47 pm
Forum: Brainteaser Forum
Topic: Some little SDEs
Replies: 8
Views: 30680

Some little SDEs

(1+t)^2 * [ X(0) + a*(W(t)-t)]
by Costeanu
January 10th, 2011, 8:43 pm
Forum: Numerical Methods Forum
Topic: the meshless method ?
Replies: 40
Views: 36029

the meshless method ?

<t>Hi Daniel, In general, I don't think boundery conditions are that important. If you go 5 sigma away from the mean, what's the probability to hit the boundary during the life of some trade? Quite small. If you put zeros everywhere on the boundary, it's not going to affect the result. On the other ...
by Costeanu
January 10th, 2011, 8:14 pm
Forum: Brainteaser Forum
Topic: Some little SDEs
Replies: 8
Views: 30680

Some little SDEs

Is this some popular question in France? I French guy who used to work at our firm liked to ask this question about six years ago. The guy is for sure extremly smart (if you are reading this Gael, I think very highly of you), but what exactly is the point of this question?
by Costeanu
January 9th, 2011, 2:13 pm
Forum: Numerical Methods Forum
Topic: Monte Carlo -- discrepancy of sequences
Replies: 3
Views: 21882

Monte Carlo -- discrepancy of sequences

<t>Hi suruen,I don't know how to calculate exactly the discrepancy of a sequence, but I would try to do it by Monte Carlo. It's kind of amusing, to run a Monte Carlo to measure something produced by another Monte Carlo. What I have in mind is this: you have some points in R^6. The discrepancy is som...
by Costeanu
January 8th, 2011, 6:03 pm
Forum: Numerical Methods Forum
Topic: the meshless method ?
Replies: 40
Views: 36029

the meshless method ?

<t>Well, that's my point. FEM are useful. So the fact that nobody uses them in the industry (for math fin applications) is not by itself sufficient reason to discard a method. By the way, I threw out there the wavelets, to see if I get any reaction. Meshless methods can be used with wavelets, and wa...
by Costeanu
January 8th, 2011, 10:45 am
Forum: Numerical Methods Forum
Topic: the meshless method ?
Replies: 40
Views: 36029

the meshless method ?

<t>Many people (some quite famous, e.g. Pablo Triana) think that BS is used for pricing and risk-management. BS is only used for quoting prices, and as such it cannot be good or bad. As such, the only useful way to price BS is the analytical formula. No sane person uses a numerical method for BS. Wh...
by Costeanu
January 7th, 2011, 8:37 pm
Forum: Numerical Methods Forum
Topic: the meshless method ?
Replies: 40
Views: 36029

the meshless method ?

By the way, if you are interested in RBF's there are several books; the best one in my opinion is "Meshfree Approximations Methods with Matlab" by G. E. Fasshauer. Best,V.
by Costeanu
January 7th, 2011, 8:34 pm
Forum: Numerical Methods Forum
Topic: the meshless method ?
Replies: 40
Views: 36029

the meshless method ?

<t>Hi Edouard,The meshless method is quite cute as an idea, but it doesn't really work in practice. For one thing, nobody uses it in the industry. But one can say the same about FEM (or about wavelets for that matter). The main weakness of the meshless method is that the radial basis function method...
by Costeanu
January 7th, 2011, 6:04 pm
Forum: Brainteaser Forum
Topic: Ice mountain
Replies: 7
Views: 25837

Ice mountain

<t>There is an ice mountain which is a perfect circular cone. A climber intends to go all the way to the top. He has a rope and his strategy is to create a lasso, throw it over the peak, and pull until the rope tightens up, and then pull himself up. He repeats the process until he reaches the top (o...
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