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by frolloos
February 25th, 2020, 12:46 pm
Forum: Programming and Software Forum
Topic: The Julia Programming Language
Replies: 21
Views: 1064

Re: The Julia Programming Language

I currently use Octave / Matlab for writing pricing/calibration scripts. Can't call what I do 'programming'. For scripting purposes, in what ways is Julia better than Octave/Matlab? 
by frolloos
February 25th, 2020, 11:43 am
Forum: Numerical Methods Forum
Topic: Geo dispersion
Replies: 1
Views: 154

Re: Geo dispersion

Volswap or varswap?

Btw, probably not a numerical methods forum question.
by frolloos
February 21st, 2020, 5:22 pm
Forum: Politics Forum
Topic: FSU, Toby Young, Eugenics & Wilmott.com
Replies: 48
Views: 1115

Re: FSU, Toby Young, Eugenics & Wilmott.com

There is no such thing as defamation in free speech. Is it free or not free? Whether what you say is legal or not is a different matter. Free speech allows opinions, insults, lies, etc. but not threats, harming reputations, etc. So defamation out, facts in. Saying someone went to a neo-Nazi confere...
by frolloos
February 21st, 2020, 10:35 am
Forum: Politics Forum
Topic: FSU, Toby Young, Eugenics & Wilmott.com
Replies: 48
Views: 1115

Re: FSU, Toby Young, Eugenics & Wilmott.com

What about the silent majority (like me and a few other comrades) who just want to talk about maths and PDE?
Free-Boundary Union.

Even Paul may want to join that union :)
by frolloos
February 21st, 2020, 9:57 am
Forum: Politics Forum
Topic: FSU, Toby Young, Eugenics & Wilmott.com
Replies: 48
Views: 1115

Re: FSU, Toby Young, Eugenics & Wilmott.com

There is no such thing as defamation in free speech. Is it free or not free?

Whether what you say is legal or not is a different matter.
by frolloos
February 14th, 2020, 6:37 am
Forum: Technical Forum
Topic: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form
Replies: 8
Views: 390

Re: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form

2) there should be some kind of relationship,  but specifying it is the core question of this thread. Writing [$] \{ x^i \} = (x,y) [$] and [$] \{ \tilde{x}^i \} = (\xi,\eta) [$]. I am assuming the non-canonical boundary condition can be written as [$] B_i u(x,y) = 0 [$] with [$] B_i = v(x,y) \frac...
by frolloos
February 12th, 2020, 4:33 pm
Forum: Technical Forum
Topic: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form
Replies: 8
Views: 390

Re: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form

This is likely too simplistic but [$] \xi [$] can be written as [$] \xi = \log (x^{\rho\sigma} / e^y) [$], so [$] e^y [$] will dominate the limit behaviour? I think there are four limits to consider for [$] \xi [$] and also whether the correlation is positive or negative, but in all cases I think th...
by frolloos
February 12th, 2020, 2:59 pm
Forum: Forum and Website Bugs and Suggestions
Topic: Wish list for www.wilmott.com V2.0
Replies: 92
Views: 27558

Re: Wish list for www.wilmott.com V2.0


Wow, trackstar, you found the thread :)


il_1588xN.944892462_5dhs.jpg
by frolloos
February 12th, 2020, 2:47 pm
Forum: Technical Forum
Topic: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form
Replies: 8
Views: 390

Re: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form

I think I posted while you were still editing your question, in particular regarding the boundary condition, so pls ignore my post. But to clarify: partial derivatives are vectors, the cross term imply the vectors are not orthogonal. You can always do a local coordinate transform such that the cross...
by frolloos
February 12th, 2020, 1:58 pm
Forum: Technical Forum
Topic: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form
Replies: 8
Views: 390

Re: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form

Orthogonalization cannot be bad.

Could you also use Gram-Schmidt?

Btw, are you not missing a drift term for the variance?
by frolloos
February 12th, 2020, 11:01 am
Forum: Off Topic
Topic: A Differential Geometric Question for all of you geometers out there.
Replies: 31
Views: 190613

Re: A Differential Geometric Question for all of you geometers out there.

Thanks for the notes Cuch, does look like a good set of notes. Quickly read it and lost it towards the end: Ricci flow is weakly parabolic and then using a trick it becomes strongly parabolic (??). Need to spend more time on it. I am actually reading a book on heat kernel expansions and, well, thing...
by frolloos
February 12th, 2020, 9:16 am
Forum: Off Topic
Topic: A Differential Geometric Question for all of you geometers out there.
Replies: 31
Views: 190613

Re: A Differential Geometric Question for all of you geometers out there.

Rcci flow -> heat equation was the main ingredient of Richard Hamilton "program" to advance the studies on Poincaré conjecture. Perelman completed Hamilton program to prove the conjecture. But what does Ricci flow *mean*? Specifically, is it a process that occurs in nature, or is it purely a constr...
by frolloos
February 12th, 2020, 8:55 am
Forum: Technical Forum
Topic: Var swap and Vol swap
Replies: 2
Views: 223

Re: Var swap and Vol swap

Why do two different products trades as vol swap and var swap. Are these products not inter-convertible?  I know Var swap has convexity and vol swap does not have but i don not understand how it helps in risk management. Can we calculate Vol of Vol if we know about vol swap and var swap? Is there a...
by frolloos
February 6th, 2020, 6:43 am
Forum: Off Topic
Topic: A Differential Geometric Question for all of you geometers out there.
Replies: 31
Views: 190613

Re: A Differential Geometric Question for all of you geometers out there.

Do you have a concrete example, as Paul Halmos would say? Nope, because I had meant to write "So is in two dimensions the Ricci flow equation a heat equation for the metric?". Missed the "?" sorry. Actually for any Einstein manifold by definition the Ricci tensor satisfies [$] R_{ab} = k g_{ab} [$]...
by frolloos
February 5th, 2020, 4:54 pm
Forum: Off Topic
Topic: A Differential Geometric Question for all of you geometers out there.
Replies: 31
Views: 190613

Re: A Differential Geometric Question for all of you geometers out there.

So in two dimensions the Ricci flow equation is the heat equation for the metric. That's quite interesting isn't it?
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