SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
katastrofa
Posts: 9436
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Re: Philosophy of Mathematics

July 27th, 2020, 8:34 pm

And then the cheating part.. 

www.youtube.com/watch?v=PI35KfPB7nM

BTW recognise  faces @0.18?
I only recognise Andy Garcia. I had a huge crush on him after seeing Godfather. My type - this should definitely go in the Principal Discussion forum.

I met Mandelbrot in London, several years ago when Cedric Villani got Fields Medal. BM resembled Bilbo Baggins who lost the Ring.
CV was student of PL Lions (also Fields Medal) who is son of JL Lions, the Godfather of French Numerical Analysis. It was JL Lions who suggested to my supervisor to set up a research group on numerical singular perturbations.
Now he's fooling about with Marcone. Rien ma non sur facil... quoi?
 
User avatar
Cuchulainn
Posts: 62586
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Philosophy of Mathematics

July 28th, 2020, 6:47 am

Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl
 
User avatar
Collector
Posts: 4683
Joined: August 21st, 2001, 12:37 pm

Re: Philosophy of Mathematics

July 28th, 2020, 1:22 pm

some parts of society give bonuses, other parts of society gives medals and titles.

solid gold medals up in value, gold at close to all time high! (why they now will handle out gold plated medals instead ;-)
 
User avatar
Cuchulainn
Posts: 62586
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Philosophy of Mathematics

July 28th, 2020, 4:08 pm

Marchuk was head of all Soviet Science and the top numerical analyst of the neutron transport equation. So, not just medals.

Anyways,

[$] motivation = O(bonus^{-1})[$]
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl
 
User avatar
Cuchulainn
Posts: 62586
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Philosophy of Mathematics

July 28th, 2020, 5:05 pm

BTW I implemented 3 weeks ago Marchuk 1-2-2-1 splitting on 2d basket etc, PDEs, It is super robust and accurate. Checked against Collector's big bok of options.
Very few here in the West know 1-2-2-1 aka 'two cycle'.
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl
 
User avatar
katastrofa
Posts: 9436
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Re: Philosophy of Mathematics

July 28th, 2020, 6:40 pm

"Two cycle"? What kind of numerical methods are you talking about? Could you provide some references?
 
User avatar
Cuchulainn
Posts: 62586
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Philosophy of Mathematics

July 28th, 2020, 7:34 pm

Why, of course! in Marchuk's splitting up book and this

http://old.inm.ras.ru/library/Zalesnyj/ ... 2011k3.pdf

As way back as 2002 tavarisch Alex L. applied it to fixed-income (BTW ADI did not work, so I suggested try Soviet Splitting, bingo!) when he/we presented it at Courant seminar. Even Mrs. Cuchulainn was there but she was awfully bored. Kolmogorov-Smirnov was the last straw.

Another one to do is from my grandad GS 
https://en.wikipedia.org/wiki/Strang_splitting

// who knows it might work for stochastic de..

All this stuff use BCH (Baker-Campbell-Hausdorff)
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl
 
User avatar
katastrofa
Posts: 9436
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Re: Philosophy of Mathematics

July 28th, 2020, 9:01 pm

Image
The second is Delta, but what's the first equation??
Bump! I can't stop thinking about it :-(

Thanks, Cuchulainn. Interesting problem in that article.
Strang looks like a worthy alternative to st... Too-bad today's ML, sorry, AI kids don't know such methods exist.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On