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by Peniel
January 17th, 2023, 3:04 pm
Forum: Book And Research Paper Forum
Topic: Let me solve your problem
Replies: 33
Views: 9676

Re: Let me solve your problem

Are you good at maths? Not enough. If you are very good I've got a problem for you. In my paper, I tried to have the correct spelling and fancy accents for all the cited authors. I think I got all of them right except one: Gątarek, the a + ogonek didn't work in LaTeX because of the encoding . I wil...
by Peniel
January 17th, 2023, 8:15 am
Forum: Book And Research Paper Forum
Topic: Let me solve your problem
Replies: 33
Views: 9676

Re: Let me solve your problem

I will focus on Alan's problem (@Alan, I've sent you an email).
I'll leave the angels and demons to you guys, I am clearly not ready nor properly trained for this quest yet.
by Peniel
January 11th, 2023, 8:44 pm
Forum: Book And Research Paper Forum
Topic: Let me solve your problem
Replies: 33
Views: 9676

Let me solve your problem

I am doing a PhD in applied maths. For the moment my research has been quite theoretical (think Lévy copula + Multilevel Monte-Carlo) and I am looking for a pratical problem to solve. A few topics have gained quite a lot of traction in the recent years, like Machine Learning or rough volatility, but...
by Peniel
August 25th, 2020, 10:08 am
Forum: Programming and Software Forum
Topic: Python tricks
Replies: 331
Views: 123208

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: 10191

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: 10191

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: 175034

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: 7763

Expectation

OK, got it, thanks.
by Peniel
July 29th, 2014, 7:05 pm
Forum: Brainteaser Forum
Topic: Expectation
Replies: 8
Views: 7763

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: 7763

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: 7866

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: 13856

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: 545
Views: 170589

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: 13856

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: 9678

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