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by Alan
January 22nd, 2021, 9:17 pm
Forum: Politics Forum
Topic: Biden and Harris - the first 100 days
Replies: 104
Views: 5787

Re: Biden and Harris - the first 100 days

So, after Biden begins, of course the expected alt-right rioting continues. Oh wait, it is actually the  radical left .  How inconvenient for the narrative! I guess some people just can't take 'yes' for an answer.  :D Your glee is palpable! Hehe. So, apparently one of the rioters' demands is the ab...
by Alan
January 22nd, 2021, 3:11 pm
Forum: Politics Forum
Topic: Biden and Harris - the first 100 days
Replies: 104
Views: 5787

Re: Biden and Harris - the first 100 days

So, after Biden begins, of course the expected alt-right rioting continues. Oh wait, it is actually the radical left.  How inconvenient for the narrative! I guess some people just can't take 'yes' for an answer.  :D
by Alan
January 20th, 2021, 7:32 pm
Forum: Politics Forum
Topic: The vaccines
Replies: 10
Views: 353

Re: The vaccines

I didn't know my avatar would be this relevant when I made it.  I'm holding out for the J&J vaccine which uses andenovector vs mRNA tech.  If we don't get a choice I will take whatever is available as soon as it's available for my group.   My thought was, given a choice, I wanted Moderna over Pfize...
by Alan
January 18th, 2021, 10:03 pm
Forum: Politics Forum
Topic: The vaccines
Replies: 10
Views: 353

The vaccines

I rarely quote the NYTimes, but this piece seems useful. 
Personally, I don't need convincing, but I have friends who do:
vaccine1.pdf
(227.83 KiB) Downloaded 23 times
by Alan
January 13th, 2021, 12:28 am
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4392
Views: 248103

Re: Trump -- the last 100 days

I'd also never heard of parler until the media said how awful it was. And what would any enquiring mind then do...?! ditto ... It doesn't look like anything to me (Westworld joke).  Amazon likely deserves their lawsuit (haven't read it); the app store pulls by Apple and Google are troubling, too, g...
by Alan
January 12th, 2021, 9:31 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 23
Views: 731

Re: Benchmark tests: KO European and American double barrier options

Sorry -- was feeling a bit trollish. Anyway, what bearish said.
by Alan
January 12th, 2021, 4:31 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 23
Views: 731

Re: Benchmark tests: KO European and American double barrier options

Thanks!. Now I know this particular scheme is good. It also implies that all the underlying maths has been stressed tested. That's not right. Let's say you're the supervisor of coding for an investment firm and hire an incompetent programmer to code this. He "forgets" to code for the lower barrier ...
by Alan
January 11th, 2021, 8:24 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 23
Views: 731

Re: Benchmark tests: KO European and American double barrier options

Or, in Paul's spirit, the BS value with no barrier, is 6.25, so the barriers don't much matter and let's all go home.   :D
by Alan
January 11th, 2021, 8:08 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 23
Views: 731

Re: Benchmark tests: KO European and American double barrier options

So, better exercise for students: what are the results to 30 digits? Now there's a benchmark.   https://forum.wilmott.com/images/smilies/icon_e_biggrin.gif No. Better to expose them to as many numerical methods as possible to many kinds of problems. // 30 digits implies going down the multiprecisio...
by Alan
January 11th, 2021, 3:36 pm
Forum: Technical Forum
Topic: Benchmark tests: KO European and American double barrier options
Replies: 23
Views: 731

Re: Benchmark tests: KO European and American double barrier options

Although common, it's an abuse to use "American/European" for barriers, as the words usually have nothing to do with early exercise. Instead: just define the contract terms.  For the double barrier under GBM, which is extinguished at the moment of the first hit, there is an exact sum (pretty sure), ...
by Alan
January 10th, 2021, 7:25 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4392
Views: 248103

Re: Trump -- the last 100 days

So, the current House plan is to impeach Trump a second time, and wait 100 days into the Biden admin to send it to the Senate? Regardless of the merits, Biden would be an idiot to allow this. We'll see if he is.  If he allows it, it will mean we continue under his admin with "All Trump, all the time...
by Alan
January 5th, 2021, 7:50 pm
Forum: Numerical Methods Forum
Topic: Partial Integro-Differential Equation (PIDE), Merton Jump Diffusion
Replies: 2
Views: 561

Re: Partial Integro-Differential Equation (PIDE), Merton Jump Diffusion

I don't think it's any better or worse than solving the PDE without the integral term by that same transformation. (Personally, it always seems like overkill to use PDE/PIDE numerics when there are analytic/quasi-analytic solutions). 
by Alan
January 4th, 2021, 8:07 pm
Forum: Programming and Software Forum
Topic: I've got the power (outage) - UPS advice needed
Replies: 5
Views: 318

Re: I've got the power (outage) - UPS advice needed

Well, you can browse amazon for "pure sine wave ups" and search the Q&A for "noise": example
by Alan
December 23rd, 2020, 5:30 am
Forum: Technical Forum
Topic: American Implied Volatility from quotes
Replies: 12
Views: 1480

Re: American Implied Volatility from quotes

Regardless of what usually happens, I think using the  Vellekoop-Nieuwenhuis tree, or some fdm equivalent, with a positivity preserving discrete dividend policy, should be the preferred way to to get a robust, arbitrage-free, GBM-implied-vol. Rationale is in Haug, Haug, Lewis, "Back to basics .." (2...
by Alan
December 18th, 2020, 9:04 pm
Forum: Off Topic
Topic: iphone
Replies: 232
Views: 46871

Re: iphone



Wussies.
FAFO

(Sorry, couldn't resist  :D )
Gloves or bare fists? :-)
hehe. Well, it's you against the guy in the pic. He seems to have on some kind of half-glove.
GZIP: On