SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 53803 matches

by Cuchulainn
March 19th, 2018, 4:02 pm
Forum: Off Topic
Topic: Universe Tea - Blog 2018
Replies: 193
Views: 3656

Re: Universe Tea - Blog 2018

Indeed!  Eternal inflation is evidence the universe has one of those eternally damned central banks that gets ppoops in a lather.  Eternal inflation can be cured if the universe simply switches to the gold standard. Or in the case of tulips, nip it in the bud. Yes, that's better than being led down...
by Cuchulainn
March 19th, 2018, 2:14 pm
Forum: Off Topic
Topic: Universe Tea - Blog 2018
Replies: 193
Views: 3656

Re: Universe Tea - Blog 2018

Posting certain types of content to threads does not imply endorsement.  Just circulation of ideas and things to discuss. :D OK, you want to wind (some of) us up? LOL Indeed!  Eternal inflation is evidence the universe has one of those eternally damned central banks that gets ppoops in a lather.  E...
by Cuchulainn
March 19th, 2018, 1:46 pm
Forum: Off Topic
Topic: Universe Tea - Blog 2018
Replies: 193
Views: 3656

Re: Universe Tea - Blog 2018

If you can keep your head when all about you   
Are losing theirs and blaming it on you,   

.. then you just don't understand LOL
by Cuchulainn
March 19th, 2018, 1:33 pm
Forum: Off Topic
Topic: Universe Tea - Blog 2018
Replies: 193
Views: 3656

Re: Universe Tea - Blog 2018

trackstar wrote:
Cuchulainn wrote:
aka quantum mysticism as in Wikipedia.

In my day we only had eternal damnation. We had something to live for.

Posting certain types of content to threads does not imply endorsement.  Just circulation of ideas and things to discuss.

:D

OK, you want to wind (some of) us up? LOL
by Cuchulainn
March 19th, 2018, 1:24 pm
Forum: Off Topic
Topic: Universe Tea - Blog 2018
Replies: 193
Views: 3656

Re: Universe Tea - Blog 2018

aka quantum mysticism as in Wikipedia.

In my day we only had eternal damnation. We had something to live for.
by Cuchulainn
March 19th, 2018, 11:24 am
Forum: Technical Forum
Topic: Shifted log normal short rate model vs hull white short rate model
Replies: 31
Views: 2119

Re: Shifted log normal short rate model vs hull white short rate model

Lots of noise here. My comments was directed at the first attachment where you claim to truncate the domains for r and u at 0, and setting the corresponding bond prices P1 and P2 equal to 1. That is entirely inconsistent with a Gaussian interest rate model. I see. So you are saying the PDE should b...
by Cuchulainn
March 19th, 2018, 9:54 am
Forum: Off Topic
Topic: Impending Birth - Not Being Present
Replies: 125
Views: 4603

Re: Impending Birth - Not Being Present

Did Julian watch the rugby?
by Cuchulainn
March 19th, 2018, 9:37 am
Forum: Technical Forum
Topic: Shifted log normal short rate model vs hull white short rate model
Replies: 31
Views: 2119

Re: Shifted log normal short rate model vs hull white short rate model

BTW, we have not done domains for negative r, u. Is that useful/necessary?
by Cuchulainn
March 19th, 2018, 9:11 am
Forum: Technical Forum
Topic: Shifted log normal short rate model vs hull white short rate model
Replies: 31
Views: 2119

Re: Shifted log normal short rate model vs hull white short rate model

Aside from degenerate cases there is obviously no closed form solution for “Bermudan Bonds” (I am assuming this means a callable bond) in any non-trivial model. I am perfectly happy to use PDE methods to solve interest rate valuation problems but much prefer models where the boundary conditions can...
by Cuchulainn
March 19th, 2018, 8:33 am
Forum: Technical Forum
Topic: Shifted log normal short rate model vs hull white short rate model
Replies: 31
Views: 2119

Re: Shifted log normal short rate model vs hull white short rate model

As an exercise in comparing numerical PDE methods it may not matter much, but truncating both r and u at zero will certainly not produce results consistent with the 2-factor HW model, which is just a particular (and not terribly useful) way to write down a slightly restricted version of the...
by Cuchulainn
March 18th, 2018, 5:48 pm
Forum: Off Topic
Topic: Chatroom
Replies: 421
Views: 15990

Re: Chatroom

ppauper wrote:
cuch, I can only see the first image, the second one is just showing a long string of gibberish

See the ma and pa blackboard
by Cuchulainn
March 18th, 2018, 5:47 pm
Forum: Off Topic
Topic: Chatroom
Replies: 421
Views: 15990

Re: Chatroom

by Cuchulainn
March 18th, 2018, 5:13 pm
Forum: Off Topic
Topic: Machine learning for fun, to pay your rent or whatever
Replies: 282
Views: 6587

Re: Machine learning for fun, to pay your rent or whatever

How will this field develop in the coming 0.5, 1, 2, 5, 10,15, 30 years?
by Cuchulainn
March 18th, 2018, 4:38 pm
Forum: Off Topic
Topic: UK going to the dogs
Replies: 4335
Views: 337290

Re: UK going to the dogs

I also find the lack of hard evidence presented to the public worrying. Maybe the UK government has a lot of hard evidence pointing at Russia, but (differently from Russia) we are a democracy. They should not risk an open conflict with a major world power without presenting the evidence to the publ...