QuoteOriginally posted by: katastrofaQuoteOriginally posted by: EscherQuoteOriginally posted by: katastrofaCould it be that your perception of English taxi drivers have something to do with the fact that you're being underpaid?Mind elaborating on that?That's all I had to say before I read your job description: "critical thought, skepticism, and attention to small details". It suggests that you're an analyst (using Excel a lot?) with a fancy job title to tickle your ego. In that case, £100k (in a good year) seems adequate.QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: EscherQuoteOriginally posted by: CuchulainnAn off-topic question, maybe: how can you make pure maths (topology in all its form, measure theory, category theory) into something that is remotely computational?Off the top of my head, the ideas around persistent homology, and application of geometrical ideas to MCMC.But it's an open question as to whether you can do anything genuinely novel or useful with either of them.My gut feeling with these spaces is that they must be metrizable, i.e. topology closer to functional analysis. Ideally, a separable Hausdorff space with a countable basis.That's what Stochastic FEM has done ... an uncountable problem reduced to a Karhunen-Loeve-Fourier expansion.Then it becomes computable.Do you have some specific problem to solve?Moi?I think topology is a solution looking for a problem.Instead of Euler for SDE, I would like a solution using Polynomial Chaos . FDM for SDE is/feels just so wrong.I have asked this question to a few gurus; they just stare blankly at me..Somehow, we are all stranded in measure theory quicksand.Question: Can Karhunen-Loeve-Fourier expansion be used to model SDE and hence price options using MC?
Last edited by Cuchulainn
on February 7th, 2016, 11:00 pm, edited 1 time in total.