SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by And2
February 2nd, 2016, 2:45 pm
Forum: General Forum
Topic: Monty Hall again
Replies: 22
Views: 2732

Monty Hall again

<t>QuoteOriginally posted by: ppauper...When the other contestant opens the door and it's a dud, the two remaining doors are each equally likely to hold the prizeIt's a 50-50 choiceThis is exactly what I said, expect you don't need any information, beside the fact that one of the doors was opened.E....
by And2
February 2nd, 2016, 2:36 pm
Forum: General Forum
Topic: Law of conservation of risk?
Replies: 43
Views: 3046

Law of conservation of risk?

<t>The examples of creation or destruction of risk here seems to be examples of choosing or constructing a less or more stable system (portfolio, financial system, economy..)May be we should distinguish between "uncertainty" and "instability". With uncertainty like in the chance of being hit by a me...
by And2
February 1st, 2016, 6:41 pm
Forum: General Forum
Topic: Law of conservation of risk?
Replies: 43
Views: 3046

Law of conservation of risk?

<t>This is fascinating conversation, but I think it went on tangent to the original question... Pretty much everybody here says that overreaching concept of "risk" is not conserved/conservable (because it is not definable, quantifiable?), but the (idealized) finance is all about conservation of pric...
by And2
January 29th, 2016, 9:26 pm
Forum: General Forum
Topic: Risk neutral default or survival probabilities without a CDS
Replies: 3
Views: 1787

Risk neutral default or survival probabilities without a CDS

That is right, the "structural credit models" is the general answer.Also (a short cut for the above really) you can search about using deep out of the money options to gauge the default risk.
by And2
January 29th, 2016, 8:56 pm
Forum: General Forum
Topic: Monty Hall again
Replies: 22
Views: 2732

Monty Hall again

I guess, what you are saying is that there is information to distinguish between decisions like "I'll not switch""I'll switch to door #2""I'll switch to door #3"My point was that there is no information that allows distinguishing between"I'll not switch""I'll switch (to another door)"
by And2
January 29th, 2016, 7:52 pm
Forum: General Forum
Topic: Monty Hall again
Replies: 22
Views: 2732

Monty Hall again

<t>QuoteOriginally posted by: daveangelwhen monty hall opens the dud that new informationI would say the opposite. The monty hall is guaranteed to reveal dud, you know it upfront - no new information there for the decision.Therefore you can decide your strategy upfront (to always switch or not)... m...
by And2
June 2nd, 2015, 6:08 pm
Forum: Brainteaser Forum
Topic: Conditional three-way coloring of a cicular disc with unit radius
Replies: 4
Views: 9213

Conditional three-way coloring of a cicular disc with unit radius

<t>The original (Olympiad) problem... did you mean coloring of the edge of the 2d disc (i.e, circle), or indeed the whole disc? (I've given up trying to solve the disc problem and Google search gave something similar but for the circle) ... and as stated the problem definitely does not have solution...
by And2
September 23rd, 2013, 1:18 pm
Forum: General Forum
Topic: A quick question on OIS swaps
Replies: 7
Views: 7120

A quick question on OIS swaps

<t>QuoteOriginally posted by: mathmarcThe answer will depend of the currency. In general, it is, as mentioned above, yearly payments but other details vary: spot lag, payment lag, day count, etc.Some the conventions are reported in our Interest Rate Instruments and Market Conventions Guide (Chapter ...
by And2
September 20th, 2013, 12:34 pm
Forum: General Forum
Topic: A quick question on OIS swaps
Replies: 7
Views: 7120

A quick question on OIS swaps

Thanks!
by And2
September 19th, 2013, 7:45 pm
Forum: General Forum
Topic: A quick question on OIS swaps
Replies: 7
Views: 7120

A quick question on OIS swaps

<t>A quick question...The liquid OIS swaps are short dated (usually up to 1Y), but they quote them up to 10Y (e.g. in Bloomberg).The short dated swaps pay once at the end (have zero-coupon fixed leg). What about longer swaps, do they all have zero coupon fixed leg? It seems to be so as I could not f...
by And2
September 19th, 2013, 1:22 pm
Forum: General Forum
Topic: Philosophy of Mathematics
Replies: 223
Views: 25507

Philosophy of Mathematics

<t>QuoteOriginally posted by: ThinkDifferentI think this 'religious' experience comes from ignorance. Just like with a real religion i.e. the less u know about the subject the more religious is your experience coming from algebraic background i do not find 1 and 2 as very striking.I'd somewhat agree...
by And2
September 18th, 2013, 8:02 pm
Forum: General Forum
Topic: Philosophy of Mathematics
Replies: 223
Views: 25507

Philosophy of Mathematics

<t>QuoteOriginally posted by: Cuchulainn... it can be proved that any two models must be isomorphic, and so in this sense, there is only one complete ordered Archimedean field.This kind of theorems always fascinated me. You start with few constrains, allowing one to do/have almost anything, and sudd...
by And2
September 17th, 2013, 9:13 pm
Forum: General Forum
Topic: Philosophy of Mathematics
Replies: 223
Views: 25507

Philosophy of Mathematics

<t>QuoteOriginally posted by: exneratunrisk the "world" in which mathematics can act as "quantifier eliminator" is small, the pragmatists (number crunchers) took over. "For all" means now (for all finite cases, I have tested ..).Exneratunrisk,This does not make sense, especially after Goedel...Anywa...
by And2
September 16th, 2013, 5:29 pm
Forum: Numerical Methods Forum
Topic: Looking for tough integrals
Replies: 148
Views: 16056

Looking for tough integrals

<t>QuoteOriginally posted by: AVtConcerning some integrals from finance For the VG you need to able to compute (a variation of) the Gamma integral:M:= (a,b,c) -> Int( N(a/sqrt(u)+b*sqrt(u)) * u^(c-1)*exp(-u),u=0..infinity)/GAMMA(c)is denoted by Psi in their paper (Appendix), N = cumulative normal, a...
by And2
September 16th, 2013, 5:21 pm
Forum: Numerical Methods Forum
Topic: Looking for tough integrals
Replies: 148
Views: 16056

Looking for tough integrals

QuoteOriginally posted by: AVtAnd computing prices for discrete dividends (introducing more parameters, evenafter 'normalizing), Alan once posted such a scheme.I am not sure what this is about. Do you have any reference?
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