SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 10114 matches

by Alan
June 26th, 2020, 5:55 pm
Forum: Off Topic
Topic: Your rants here
Replies: 1076
Views: 82450

Re: Your rants here

That's pretty good typesetting -- [$]\LaTeX[$] tattoo gun?
by Alan
June 25th, 2020, 11:47 pm
Forum: Off Topic
Topic: Apocalypse (Revelation) Biblical explanation.
Replies: 156
Views: 11456

Re: Apocalypse (Revelation) Biblical explanation.

Haha -- was not aware of the Church of the FSM -- got lots of laughs at their wikipedia page!
by Alan
June 25th, 2020, 6:33 pm
Forum: Off Topic
Topic: Gallows humour
Replies: 131
Views: 9954

Re: Gallows humour

by Alan
June 23rd, 2020, 6:00 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3523
Views: 182791

Re: Trump -- the last 100 days

As Trump and Republican governors (and, in the case of California, mayors) kill tens of thousands of people by ignorance and negligence, he is panicking about looking good. Thus the quest to reduce the amount of testing being done. Fewer tests, fewer positive cases being reported! And no, that was ...
by Alan
June 23rd, 2020, 2:46 pm
Forum: Numerical Methods Forum
Topic: Differential equation with a random walk forcing
Replies: 8
Views: 1595

Re: Differential equation with a random walk forcing

Just thinking out loud, the next issue that interests me is: how to write a numerical solver for the full problem? (To get solutions accurate even for large [$]\rho[$]).  I would start by thinking of [$]Q(t)[$] as just some given, single-valued, continuous function that starts at [$]Q(0) = 0[$]. Dra...
by Alan
June 23rd, 2020, 4:07 am
Forum: Numerical Methods Forum
Topic: Differential equation with a random walk forcing
Replies: 8
Views: 1595

Re: Differential equation with a random walk forcing

The most I can come up with is two terms of a formal perturbation solution  -- in powers of [$]\rho[$].  I'll suppose the spatial domain is the whole line and there is an initial function given at t=0, but no boundary conditions. If [$]\rho = 0[$], suppose the PDE solution to that initial value prob...
by Alan
June 21st, 2020, 11:15 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3523
Views: 182791

Re: Trump -- the last 100 days

Trump has a weird goal with DACA. Apparently he wants to overturn it to turn it into a bargaining chip. Not a good strategy at this point -- if ever.  
by Alan
June 19th, 2020, 4:46 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3523
Views: 182791

Re: Trump -- the last 100 days

This is what's at stake in November. From the twit himself:   " These horrible & politically charged decisions coming out of the Supreme Court are shotgun blasts into the face of people that are proud to call themselves Republicans or Conservatives. We need more Justices or we will lose our 2nd. Am...
by Alan
June 19th, 2020, 2:16 pm
Forum: Numerical Methods Forum
Topic: Parametric Value at risk for savings plan
Replies: 4
Views: 1527

Re: Parametric Value at risk for savings plan

Sounds like an approximation worth exploring.   Another approach -- likely related -- would be to look at approximate Asian option valuation (w/ monthly averaging). You could split the terminal distribution into the sum of two correlated variates: one from the initial investment and a second from th...
by Alan
June 17th, 2020, 3:30 pm
Forum: Off Topic
Topic: white lightning
Replies: 45
Views: 21020

Re: white lightning

Co-mor-bid-ities.  Basically, co + morbidity
by Alan
June 17th, 2020, 3:22 pm
Forum: Numerical Methods Forum
Topic: Parametric Value at risk for savings plan
Replies: 4
Views: 1527

Re: Parametric Value at risk for savings plan

I will guess there is no closed form -- as it looks like you need the distribution of a sum of correlated lognormal variates. My advice is to just spend a day and develop a nice Monte Carlo with errors below your required accuracy. It will run in a few seconds and then you'll be done. 
by Alan
June 16th, 2020, 1:45 pm
Forum: Off Topic
Topic: Quantum everywhere
Replies: 44
Views: 12269

Re: Quantum everywhere

Image

My vague impression is that quantum computing is like controlled nuclear fusion for power -- ten years off and always will be. :D
by Alan
June 14th, 2020, 1:31 pm
Forum: Off Topic
Topic: white lightning
Replies: 45
Views: 21020

Re: white lightning

Re Shakira (Shakira speaking in 6 languages)
by Alan
June 13th, 2020, 11:30 pm
Forum: Off Topic
Topic: white lightning
Replies: 45
Views: 21020

Re: white lightning

Overall, that list seems credible to me. The lead, Jodie Foster, is 'obviously' very smart. Second, Natalie Portman is one of the few celebrities with an Erdos number -- clearly a smarty.  Being a big fan of Shakira, I have read enough about her to be convinced she's very smart, too.  As for Sharon ...
GZIP: On