SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by dvse
August 31st, 2012, 10:01 am
Forum: General Forum
Topic: risk neutral measure in an insurance company
Replies: 9
Views: 12203

risk neutral measure in an insurance company

<t>If you really want to understand the relation between actuarial pricing and the ideas used in pricing financial products I strongly suggest you avoid the whole concept of "risk neutrality" and the same goes for the textbooks dealing with classical models. The keywords to look up are "incomplete m...
by dvse
June 13th, 2011, 9:53 am
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26526

Actuarial Pricing vs Financial Mathematics Pricing

<t>I think a good way to think about differences between actuarial pricing and financial mathematics is in terms of stochastic optimal control (or equivalently multistage stochastic optimisation). Large part of financial mathematics is solving a special kind of control problem - how to replicate/exc...
by dvse
May 15th, 2009, 3:17 pm
Forum: Careers Forum
Topic: research topic in phd finance program
Replies: 5
Views: 39587

research topic in phd finance program

How about using some variation of this http://www.jair.org/media/1491/live-1491-2335-jair.pdf for time series prediction? Hasn't been done in finance literature afaik.
by dvse
May 1st, 2009, 1:12 pm
Forum: General Forum
Topic: The Number-Symbol Gap
Replies: 32
Views: 43229

The Number-Symbol Gap

<t>I think there are really only two different kinds of maths: "syntactic" and "conceptual". The former is the sort of thing people do in highschool (in most countries at least), Calculus sequence in US undergrad programs, most "engineering" maths etc. In short, it is characterised by application of...
by dvse
May 1st, 2009, 7:33 am
Forum: Careers Forum
Topic: Which degree best develops analytical skill ?
Replies: 20
Views: 43038

Which degree best develops analytical skill ?

I would say "pure" maths an physics together. Other sciences do not have the same level of abstraction. If you are talking about undergrad, it may be possible to do a combined degree, depending on where you are.
by dvse
April 13th, 2009, 3:19 pm
Forum: Careers Forum
Topic: Ph.D. in Statistics
Replies: 21
Views: 44506

Ph.D. in Statistics

<t>QuoteOriginally posted by: nov1cehow is stat theory not a hard science and not applied? it's the hardest and the most applied area in applied math. in comparison to math, phds have to take complex variables, manifold geometry, lie groups and algebra to do stat. It's certainly at least as applied ...
by dvse
March 31st, 2009, 6:14 pm
Forum: Careers Forum
Topic: Which PhD
Replies: 11
Views: 43044

Which PhD

<t>Dominic is onto something here - as a research area formal methods in software engineering is not the most fertile and does not intersect much with more interesting topics. Can't comment on the second one, but if you must get your PhD from a CS department, something like machine learning or relat...
by dvse
March 10th, 2009, 7:52 am
Forum: General Forum
Topic: Scholes´ solution: a Fresh start
Replies: 36
Views: 44068

Scholes´ solution: a Fresh start

<t>QuoteOriginally posted by: Traden4AlphaSure, a few contrarians (folks such as Roubini, myself and yourself included) knew that the real estate boom would end in tears (and knew the dotcom era would end in tears, and knew the Japanese real estate bubble would end in tears, and .....). But no one w...
by dvse
March 9th, 2009, 11:07 pm
Forum: General Forum
Topic: Why is Engineering so respected as a degree?
Replies: 51
Views: 46368

Why is Engineering so respected as a degree?

<t>QuoteOriginally posted by: FermionWhy does no one teach Applied Math for its own sake? Why would you expect a physicist, engineer or pure mathematician to be good at finance? Someone with a good grounding in Applied Math could turn their hand to anything.I would go a step further and argue that t...
by dvse
March 9th, 2009, 12:57 am
Forum: General Forum
Topic: Why is Engineering so respected as a degree?
Replies: 51
Views: 46368

Why is Engineering so respected as a degree?

<t>QuoteOriginally posted by: barnyWhich makes me wonder why Engineering is so respected amongst employers? Why do employers even think it is a quantitative degree? I often see job ads that say "...mathematics, physics, engineering graduates preferred" which implies that they consider engineering to...
by dvse
February 6th, 2009, 5:33 am
Forum: General Forum
Topic: Traden4Alpha's & Anyone-but-Fermion's Discussion Salon ;)
Replies: 287
Views: 64032

Traden4Alpha's & Anyone-but-Fermion's Discussion Salon ;)

<t>QuoteOriginally posted by: exneratunriskFermion, T4AIn most of the European countries we have "common contracts" for economic sectors, skills, one-job duration ... regulating minimum wages. Renegotiated each year. If the result was 5% not only the minimum but also the real wages need to be uplift...
by dvse
February 2nd, 2009, 6:45 am
Forum: General Forum
Topic: Traden4Alpha's & Anyone-but-Fermion's Discussion Salon ;)
Replies: 287
Views: 64032

Traden4Alpha's & Anyone-but-Fermion's Discussion Salon ;)

<t>I don't really think there is a meaningful difference between a government bureaucracy and corporate near monopolies. Indeed any 'elite' inevitably degenerates into self serving idiots, even if they were perfectly well meaning to begin with. For an example just look at the Russian Academy of Scie...
by dvse
January 27th, 2009, 5:53 pm
Forum: General Forum
Topic: Financial Modelers' Manifesto
Replies: 126
Views: 76802

Financial Modelers' Manifesto

<t>I agree with Fermion here. The idea that an "inventor" can claim all (or indeed much) benefit is odd when examined at any length. The debt any single individual owes to the society is impossible to overestimate - no matter how original or creative you are, in complete isolation from "society" fro...
by dvse
January 22nd, 2009, 2:20 pm
Forum: General Forum
Topic: Financial Modelers' Manifesto
Replies: 126
Views: 76802

Financial Modelers' Manifesto

<t>QuoteOriginally posted by: FermionThat depends on how much, who from and how spent. In effect taxes are just another intended band-aid that turn into another battleground between the already-rich and the never-going-to-be-rich.I largely agree - beyond certain level property simply ceases to be a ...
by dvse
January 16th, 2009, 3:31 am
Forum: Careers Forum
Topic: Is machine learning useful in finance?
Replies: 32
Views: 51011

Is machine learning useful in finance?

<t>QuoteOriginally posted by: londonerSounds like Berkeley is not very demanding. I learnt Lebesgue measure theory in the first term of my second undergrad year in Hong Kong.As far as I understand, undergrad maths in US is pretty useless (e.g. the pure brain damage that is the Calculus sequence), al...
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