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by Peniel
August 25th, 2020, 10:08 am
Forum: Programming and Software Forum
Topic: Python tricks
Replies: 305
Views: 61824

Re: Python tricks

There have been quite a lot of developments in recent python versions. Is there a proper construct that would be like a class with no (or very basic) methods, and only (mainly) with attributes ( anemic construct?). In C++, I would go for struct, I think (adding drama here; drama sells, right?). My ...
by Peniel
October 25th, 2017, 4:52 pm
Forum: Off Topic
Topic: How do you deal with tele-scams and cold-calling salesmen?
Replies: 46
Views: 8323

Re: How do you deal with tele-scams and cold-calling salesmen?

I wasn't in the mood for foreplay.

Daniel, sometimes I feel guilty for being the cause of your obsession with e5
by Peniel
October 25th, 2017, 1:23 pm
Forum: Off Topic
Topic: How do you deal with tele-scams and cold-calling salesmen?
Replies: 46
Views: 8323

Re: How do you deal with tele-scams and cold-calling salesmen?

"What are you wearing?" worked like a charm...
by Peniel
June 1st, 2015, 1:05 pm
Forum: Book And Research Paper Forum
Topic: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg
Replies: 244
Views: 150681

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

Vladimir,I'm contemplating the idea of buying the 3 volumes but someone told me that you were working on a new edition that would contain additional chapters on CVA, etc.Is there really a new edition coming? If so, when would it be available?
by Peniel
July 30th, 2014, 2:25 pm
Forum: Brainteaser Forum
Topic: Expectation
Replies: 8
Views: 5776

Expectation

OK, got it, thanks.
by Peniel
July 29th, 2014, 7:05 pm
Forum: Brainteaser Forum
Topic: Expectation
Replies: 8
Views: 5776

Expectation

I think it's doable.EBal, do you mean [$]g(a)E[\tau][$]?I believe [$]E[\tau]=a^2[$] which leads to [$]g(a)a^2[$]. This is consistent for [$]g[$] constant for example.Anyone with a detailed proof?
by Peniel
July 28th, 2014, 11:11 am
Forum: Brainteaser Forum
Topic: Expectation
Replies: 8
Views: 5776

Expectation

let [$]\tau = \inf\{t>0, W_t = a\}[$] and [$]g[$] a continuous function, what is the value of [$]E\left[\int_0^{\tau} g(W_s) ds \right][$]?
by Peniel
August 14th, 2013, 8:21 am
Forum: Technical Forum
Topic: Heston with time dependent parameters
Replies: 2
Views: 7402

Heston with time dependent parameters

Unfortunately, there is something wrong in your code.There is a simple test you can do, set the volOfvol = 0, then the variance is deterministic and you should get the same results as the standard BS formula (for both your constant/time-dependent Heston implementations)
by Peniel
May 15th, 2013, 7:54 am
Forum: Careers Forum
Topic: JPMorgan Quantitative Research Core analytics
Replies: 12
Views: 12724

JPMorgan Quantitative Research Core analytics

<t>I had questions about definitions, differences between C# and C++, algorithms, etc.I didn't expect a pure IT interview as:* the spec of the job was quant and IT* I first received an email from the HR saying I would be asked questions about maths, finance and info* my background (education and exp...
by Peniel
May 13th, 2013, 7:57 am
Forum: Brainteaser Forum
Topic: exp(5) = [$]e^5[$]
Replies: 546
Views: 126736

exp(5) = [$]e^5[$]

Funny, I haven't done anything and it looks like the title is "locked".Sorry Cuchulainn, I can't do much for you.
by Peniel
May 13th, 2013, 7:43 am
Forum: Careers Forum
Topic: JPMorgan Quantitative Research Core analytics
Replies: 12
Views: 12724

JPMorgan Quantitative Research Core analytics

I think it's just IT: I had a phone interview with them a few weeks ago, pure IT questions, no finance nor maths.
by Peniel
April 23rd, 2013, 12:35 pm
Forum: Brainteaser Forum
Topic: Expected value of Tosses to get THH
Replies: 4
Views: 9019

Expected value of Tosses to get THH

For completeness, with E=E X_T:E = (1/4)*2 + (2/4)*(E+2) + (1/4)*((1/2)*3 + (1/2)*(E+3)) -> E=6 -> x=8
by Peniel
April 23rd, 2013, 6:32 am
Forum: Brainteaser Forum
Topic: Expected value of Tosses to get THH
Replies: 4
Views: 9019

Expected value of Tosses to get THH

<wrong>
by Peniel
April 5th, 2012, 9:21 am
Forum: Student Forum
Topic: Heston Initial Parameters
Replies: 5
Views: 18600

Heston Initial Parameters

<t>Thanks Alan for your answer.My concern is that if I choose a "wrong" kappa, I'll get a set parameters for a local minimum of the problem.Then I would apply Levenberg-Marquardt using this local minimum as initial values and the algorithm would stick to it.I would be interested in knowing what peop...
by Peniel
April 4th, 2012, 4:07 pm
Forum: Student Forum
Topic: Heston Initial Parameters
Replies: 5
Views: 18600

Heston Initial Parameters

Regarding the Gauthier/Rivaille paper, they fix kappa "at a typical market level" (kappa=2 in the article).The value of kappa is important as it is used to imply the others parameters.Does anyone have an idea about how to imply this market level?
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