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by eh
June 4th, 2014, 12:17 pm
Forum: Book And Research Paper Forum
Topic: 10 quant finance research papers every newb should read
Replies: 4
Views: 7045

10 quant finance research papers every newb should read

This would be on my list: The Variation of Certain Speculative Prices
by eh
May 28th, 2014, 2:09 pm
Forum: Careers Forum
Topic: cqf graduate not finding a job
Replies: 53
Views: 15141

cqf graduate not finding a job

I know a lot of actuaries. All are doing well. General insurance (reserving and broking) seems to have a healthy job market.
by eh
April 9th, 2014, 3:42 pm
Forum: Technical Forum
Topic: accurate cdf & quantiles for the gamma distribution?
Replies: 52
Views: 8582

accurate cdf & quantiles for the gamma distribution?

<t>This is the maxima code (takes about 0.15s to calculate all 9 quantiles):makelist(quantile_gamma(x,0.05,1),x,0.1,0.9,0.1);This the underlying lisp function (which I can't really read):;; Inverse of the incomplete gamma function.;; Comments: solves by the partition method the;; equation g(x)=0, wh...
by eh
April 9th, 2014, 12:14 pm
Forum: Careers Forum
Topic: Jobs in Barcelona
Replies: 13
Views: 7228

Jobs in Barcelona

Pimco?
by eh
April 9th, 2014, 12:11 pm
Forum: Technical Forum
Topic: accurate cdf & quantiles for the gamma distribution?
Replies: 52
Views: 8582

accurate cdf & quantiles for the gamma distribution?

<t>QuoteOriginally posted by: outrunQuoteOriginally posted by: ehUsing Maxima (distrib package):5.8446320572863766136324039943757368803404335865728b-216.1285409041011196440162116508065326750398504884742b-152.0378971887326354908077482761506737940493394489749b-116.4262409463888394550517844439931069988...
by eh
April 8th, 2014, 3:25 pm
Forum: Technical Forum
Topic: accurate cdf & quantiles for the gamma distribution?
Replies: 52
Views: 8582

accurate cdf & quantiles for the gamma distribution?

<t>Using Maxima (distrib package):5.8446320572863766136324039943757368803404335865728b-216.1285409041011196440162116508065326750398504884742b-152.0378971887326354908077482761506737940493394489749b-116.4262409463888394550517844439931069988602985176839b-95.573878440746137604040744140121432792511768639...
by eh
April 8th, 2014, 2:53 pm
Forum: Technical Forum
Topic: accurate cdf & quantiles for the gamma distribution?
Replies: 52
Views: 8582

accurate cdf & quantiles for the gamma distribution?

The code I used (2014a):G = makedist('Gamma','a',0.05,'b',1);Q = G.icdf(0.1:0.1:0.9);Q = num2cell(Q);fprintf('%20.18e\n', Q{:})
by eh
April 8th, 2014, 2:51 pm
Forum: Technical Forum
Topic: accurate cdf & quantiles for the gamma distribution?
Replies: 52
Views: 8582

accurate cdf & quantiles for the gamma distribution?

Using MATLAB the 10%, 20%, ..., 90% quantiles are5.844632057286495500e-216.128540904101244300e-152.037897188732678500e-116.426240946388971000e-095.573878440746277400e-072.136933572206854100e-054.665636848952583700e-046.781997575174139800e-037.631711390918841100e-02
by eh
March 28th, 2014, 2:50 pm
Forum: Student Forum
Topic: Copula
Replies: 4
Views: 5703

Copula

Your logic seems sound to me. As you have presented it, the paper seems incorrect.
by eh
March 28th, 2014, 2:44 pm
Forum: General Forum
Topic: Interpreting Archimedean copula parameters
Replies: 2
Views: 5416

Interpreting Archimedean copula parameters

It will depend on the particular copula. In general, there is no easy interpretation.
by eh
February 18th, 2014, 4:45 pm
Forum: Student Forum
Topic: Affine Process in [-1,1]
Replies: 3
Views: 5872

Affine Process in [-1,1]

<r>An interesting process (not strictly affine) is [$]dX_t = \frac{(1-X_t)(X_t-1)}{T-t} dW_t[$] which has a solution in terms of a binary random variable and a Brownian bridge related to [$]W_t[$]. See equations (155)-(159) in <URL url="http://arxiv.org/pdf/0912.3652v2.pdf.Edit">http://arxiv.org/pdf...
by eh
February 4th, 2014, 1:36 pm
Forum: The Quantitative Finance Code Library Project
Topic: Matlab Option Greek Functions
Replies: 2
Views: 27831

Matlab Option Greek Functions

Excuse me for being pedantic, but these functions are not vectorised.
by eh
January 23rd, 2014, 9:46 am
Forum: Book And Research Paper Forum
Topic: How many Statistical/Logic errors can you find in this paper?
Replies: 8
Views: 6844

How many Statistical/Logic errors can you find in this paper?

Have you read a paper on social-network analytics applied to finance that wasn't complete BS?
by eh
December 6th, 2013, 10:54 am
Forum: Student Forum
Topic: Matlab functions: opimizing and prob. distribution calibrations
Replies: 1
Views: 5869

Matlab functions: opimizing and prob. distribution calibrations

fmincon is useful for MLE.For NIG, you'll need to write a log-likelihood function for the density and then use MLE.
by eh
November 14th, 2013, 2:18 pm
Forum: Programming and Software Forum
Topic: Software packages for doing Maths
Replies: 10
Views: 8663

Software packages for doing Maths

Mathematica is great. Maxima is quite good and it is free.I would recommend checking out WalkingRandomly
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