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by JohnLeM
April 4th, 2021, 8:53 am
Forum: Numerical Methods Forum
Topic: The Bachelier problem
Replies: 1
Views: 514

Re: The Bachelier problem

Here is the good link to this technical analysis, the previous link seems erroneous.
by JohnLeM
March 30th, 2021, 8:34 pm
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 187
Views: 193092

Re: Who understands Black Scholes Boundary Conditions, really

Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions Umm - without reading it closely, it looks oddly like early 70's binomial methods, which were also mercifully free of the need of any spatial boundaries. I can't read this article but it is possible to get rid of bo...
by JohnLeM
March 29th, 2021, 9:15 am
Forum: Numerical Methods Forum
Topic: The Bachelier problem
Replies: 1
Views: 514

The Bachelier problem

Following @bearish advise, I open a dedicated thread to discuss a numerical study of the Bachelier problem, that can be found here at SSRN . Indeed, I did not complete still the conclusion section of this paper, this thread could help here. My first idea was to include a basic argumentation to susta...
by JohnLeM
March 28th, 2021, 10:55 am
Forum: Off Topic
Topic: Advance Planning for Covid Redux: What We Had, What We Needed
Replies: 59
Views: 5501

Re: Advance Planning for Covid Redux: What We Had, What We Needed

What you need to do JLM, is take 1-factor (not 100 factor) Black Scholes and work it out in great detail. I know that the Gallic maths style is top-down and love of generalisation but give a concrete case for us mortals. I think it is necessary and sufficient. I did it numerically for the 2D case, ...
by JohnLeM
March 24th, 2021, 9:00 am
Forum: Off Topic
Topic: Advance Planning for Covid Redux: What We Had, What We Needed
Replies: 59
Views: 5501

Re: Advance Planning for Covid Redux: What We Had, What We Needed

What you need to do JLM, is take 1-factor (not 100 factor) Black Scholes and work it out in great detail. I know that the Gallic maths style is top-down and love of generalisation but give a concrete case for us mortals. I think it is necessary and sufficient. I did it numerically for the 2D case, ...
by JohnLeM
March 23rd, 2021, 8:54 pm
Forum: Off Topic
Topic: Advance Planning for Covid Redux: What We Had, What We Needed
Replies: 59
Views: 5501

Re: Advance Planning for Covid Redux: What We Had, What We Needed

Aliter, a small number of authors is also not a panacea. https://arxiv.org/pdf/1706.04702.pdf This paper is quite technical at a glance. What it is that you don't like about it, please? These authors come from a quite serious institution (ETH Zurich). They issued maybe 50 papers concerning ML metho...
by JohnLeM
March 5th, 2021, 8:19 am
Forum: Numerical Methods Forum
Topic: Universal Approximation theorem
Replies: 305
Views: 54425

Re: Universal Approximation theorem

@Cuchulainn we might intervene in this conference, that I severely criticized recently due to their positioning for artificial intelligence. Might the quantitative community starting to open up to critcisms ?
by JohnLeM
March 3rd, 2021, 8:43 pm
Forum: General Forum
Topic: Martingale Correction
Replies: 15
Views: 1429

Re: Martingale Correction

solved it... I work on both the curves for model calibration: part1: squared error in swaption prices.    part2: matching P(t, t+1) from the analytical and the model formula Of course, I lose some information on the swaption vol part, but this seems to be a reasonable approach to deal with the two ...
by JohnLeM
March 2nd, 2021, 4:08 pm
Forum: General Forum
Topic: Martingale Correction
Replies: 15
Views: 1429

Re: Martingale Correction

The question is now: will you do it? @Cuchulainn I suppose that this question is adressed to me (since the author is probably unfamiliar with the method I quoted) ? Implementation will be a quite big amount of work : it means testing a new process, the G2++, testing sequences for this process, test...
by JohnLeM
March 2nd, 2021, 7:49 am
Forum: General Forum
Topic: Martingale Correction
Replies: 15
Views: 1429

Re: Martingale Correction

My two cents too: this can work only for martingale processes. I don't know G2++, but it seems that it is not a martingale process ? Could this explain the 3% diff ? Considering Sobol or Halton, I think we can provide sequences that outperforms them. There ought to be a martingale there somewhere. ...
by JohnLeM
March 2nd, 2021, 7:46 am
Forum: General Forum
Topic: Martingale Correction
Replies: 15
Views: 1429

Re: Martingale Correction

There ought to be a martingale there somewhere. E.g., pick the zero coupon bond with the latest maturity date that you care about and look at the ratio of other prices to that. That will be a martingale in the relevant forward measure, independent of any details of the model dynamics, and this meas...
by JohnLeM
February 28th, 2021, 11:29 am
Forum: Numerical Methods Forum
Topic: Universal Approximation theorem
Replies: 305
Views: 54425

Re: Universal Approximation theorem

Theorem 1.1 is GOBBELY GOOK. 
This article is the weirdest I have ever seen.

Who are they trying to fool?
I am afraid that they already fooled a lot of people around there...
by JohnLeM
February 28th, 2021, 9:58 am
Forum: Programming and Software Forum
Topic: FIVE hundred years from now: can you predict the Software Landscape in anno 2525?
Replies: 795
Views: 274116

Re: FIVE hundred years from now: can you predict the Software Landscape in anno 2525?

I think both Python and C++ are probably here to stay, but Julia does fill in a space between them, with ease of use that exceeds the former and runtime speed that approaches the latter. She also plays well with others, and is represented by the “Ju” in Jupyter. And I know we have discussed this be...
by JohnLeM
February 28th, 2021, 9:33 am
Forum: Programming and Software Forum
Topic: FIVE hundred years from now: can you predict the Software Landscape in anno 2525?
Replies: 795
Views: 274116

Re: FIVE hundred years from now: can you predict the Software Landscape in anno 2525?

I think both Python and C++ are probably here to stay, but Julia does fill in a space between them, with ease of use that exceeds the former and runtime speed that approaches the latter. She also plays well with others, and is represented by the “Ju” in Jupyter. And I know we have discussed this be...
by JohnLeM
February 28th, 2021, 9:09 am
Forum: Numerical Methods Forum
Topic: Universal Approximation theorem
Replies: 305
Views: 54425

Re: Universal Approximation theorem

For historical purposes, we should all remind what happen when you build an house on ricketty foundations, as the Universal Approximation Theorem is for numerical applications. Cohorts of researchers and practitionners today using neural networks should try to  read this article , and should be fasc...
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