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## Search found 9460 matches

Today, 3:21 pm
Forum: General Forum
Topic: Philosophy of Mathematics
Replies: 171
Views: 20354

### Re: Philosophy of Mathematics

Here's a question on how to overcome the contradiction and incompatibility between Fourier's equation (Fick's Law) and the theory of relativity (in the latter case speed of heat propagation is infinite while in the latter case nothing is faster than light). A fix for this conundrum is to stick a 2n...
November 17th, 2018, 5:05 am
Forum: Student Forum
Topic: Silly questions
Replies: 57
Views: 2581

### Re: Silly questions

Can the method of Separation of Variables be used solve the Black Scholes PDE? 1. If not, why not, where does it break down? 2. If yes, how do you compute a solution? It's an interesting quizzie. There's a lot of maths in there. 2. Yes. Start with the easy driftless BS case, where $x = \log S$ ...
November 11th, 2018, 11:35 pm
Forum: Off Topic
Topic: California: Here comes Ahnoooold!
Replies: 225
Views: 200557

### Re: California: Here comes Ahnoooold!

Thanks, ppauper. Here's another photo from the fires:

An owl sits on Zuma Beach as fire moves through the mountains into Malibu. (Wally Skalij / Los Angeles Times)
November 10th, 2018, 7:44 pm
Forum: Technical Forum
Topic: Need a proof (GARCH related)
Replies: 13
Views: 311

### Re: Need a proof (GARCH related)

@bearish,  Thank you: short and sweet!

@ppauper, Thanks, also. Yes, I got this in Mathematica, too, and had plotted it earlier in $a+b<1$, which was why I said that I was numerically convinced.

OK, problem solved -- Thanks again, guys!
November 10th, 2018, 5:45 pm
Forum: Technical Forum
Topic: Need a proof (GARCH related)
Replies: 13
Views: 311

### Need a proof (GARCH related)

Let $Z$ be a standard normal variate. I would like to see a proof that (*) $E[\log (a Z^2 +b)] < 0$ for all $\{(a,b): a > 0, b>0, a +b < 1\}$. In other words, $\int_{-\infty}^{\infty} \log (a z^2 + b) \, e^{-z^2/2} \frac{dz}{\sqrt{2 \pi}} < 0$ under the same conditions. The connecti...
November 10th, 2018, 5:58 am
Forum: Off Topic
Topic: California: Here comes Ahnoooold!
Replies: 225
Views: 200557

### Re: California: Here comes Ahnoooold!

https://theledgesports.com/wp-content/uploads/2016/12/67dFW5g.jpg There is a *very bad* firestorm ongoing in Malibu & southern Ventura county area of Socal. No deaths or injuries, but 250,000 evacuated and many structures lost so far. Coincidentally, you can see Dolores of my icon standing in front...
November 9th, 2018, 2:59 pm
Forum: General Forum
Topic: MBS and Negative Duration
Replies: 1
Views: 114

### Re: MBS and Negative Duration

Not my area, but the simple answer would be to see if you can characterize a particular tranche as, roughly, "IO-like", "PO-like", or "bond-like". The ones that are more IO-like may have negative duration for the reason you say you understand: rates go up, prepays slow, and you get more cash. More c...
November 9th, 2018, 6:11 am
Forum: Student Forum
Topic: Opinion on selecting Module Electives for Bachelor's Degree
Replies: 8
Views: 205

### Re: Opinion on selecting Module Electives for Bachelor's Degree

I'd look for a survey course in what's traditionally called "engineering mathematics" that uses, say,  Kreyszig . That combines a bunch of things. Then, add a stochastic calculus course. Plus do Option 2.  Leave the measure theory, functional analysis, etc for grad school.  Other nice things: Mathem...
October 31st, 2018, 12:56 am
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 2220
Views: 47394

### Re: Trump -- the last 100 days

Well, I have to admit that I learned a new word (dicta).
October 30th, 2018, 7:18 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 2220
Views: 47394

### Re: Trump -- the last 100 days

From today's WSJ: The 1898 Wong Kim Ark case stresses that “subject to the jurisdiction” of the U.S. should be read broadly. “The real object of the 14th Amendment of the Constitution,” the court said, “in qualifying the words, ‘All persons born in the United States’ by the addition ‘and subject to ...
October 30th, 2018, 12:07 am
Forum: General Forum
Topic: Formal verification of math finance.
Replies: 3
Views: 529

### Re: Formal verification of math finance.

Yes, that can be an issue, although the studies I want to try to replicate for my book use GARCH-type models on broad-based indices like SPX. Also, some authors go out of their way to publish data: I am thinking about, say,  Ken French  or the  Oxford-Man Institute authors .    Anyway, my point is t...
October 29th, 2018, 5:32 pm
Forum: General Forum
Topic: Formal verification of math finance.
Replies: 3
Views: 529

### Re: Formal verification of math finance.

OK, there is a class of models that I use all the time called "GARCH models" (a key inventor, Rob Engle, received the Nobel prize for that). In fact, it is probably one of the most used (and useful!) classes of models in finance. While I have been coding things myself, there is a package in the R sy...
October 26th, 2018, 3:18 am
Forum: Off Topic
Topic: Amundsen Calling - Antarctica
Replies: 63
Views: 6949

### Re: Amundsen Calling - Antarctica

NASA confirms: Aliens are carving rectangular icebergs in Antarctica to mess with us ..

October 22nd, 2018, 10:05 pm
Forum: Off Topic
Topic: Melodic Metal
Replies: 265
Views: 20862

### Re: Melodic Metal

"I am Satchmo, Destroyer of Wonderful Worlds."
Well, in that case, Shakira covers Metallica:
October 19th, 2018, 7:49 pm