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by easy
January 8th, 2022, 9:34 am
Forum: Off Topic
Topic: Newton's shell theorem with random density
Replies: 22
Views: 2267

Re: Newton's shell theorem with random density

Yes, that's a fair summary.
by easy
January 7th, 2022, 12:01 pm
Forum: Off Topic
Topic: Newton's shell theorem with random density
Replies: 22
Views: 2267

Re: Newton's shell theorem with random density

I don't understand what 'independent of position' means. Can you give some examples? Hi Alan, by independent of positon I mean that the statistical moments, mean, variance, etc of the probability density function describing the mass density (apologies for the double use of density, but it should be...
by easy
January 6th, 2022, 5:37 pm
Forum: Off Topic
Topic: Newton's shell theorem with random density
Replies: 22
Views: 2267

Re: Newton's shell theorem with random density

No, there's no symmetry assumed. But the mass density distribution can be considered to be independent of position.
by easy
January 6th, 2022, 10:08 am
Forum: Off Topic
Topic: Newton's shell theorem with random density
Replies: 22
Views: 2267

Newton's shell theorem with random density

Does anyone have references for Newton's shell theorem for the case where the mass density is randomly distributed and the point of interest is inside the shell? I am interested in how the statistical moments appear in the gravitational field.
by easy
April 23rd, 2015, 7:21 am
Forum: General Forum
Topic: Issues with maximum entropy implied distributions?
Replies: 1
Views: 3498

Issues with maximum entropy implied distributions?

<r>This approach to generating implied distributions seems to have generated some interest many years ago, eg <URL url="http://www.cmap.polytechnique.fr/~rama/dea/kelly.pdf">www.cmap.polytechnique.fr/~rama/dea/kelly.pdf</URL>, but not a whole lot since. I am wondering if anyone has encountered the p...
by easy
December 17th, 2013, 10:26 am
Forum: Off Topic
Topic: If Elvis had been alive?
Replies: 6
Views: 5804

If Elvis had been alive?

<t>It's christmas time, and We Are The World is back on the radio, which had me thinking:1. If Elvis had been alive, which bits would he have sung in We Are The World?2. If John had been alive which bits would he have sung in We Are The World?All suggestions are welcome.All the ebst for the festive ...
by easy
October 25th, 2012, 9:48 pm
Forum: Technical Forum
Topic: Yield curve evolution via modelling zero rates?
Replies: 4
Views: 11406

Yield curve evolution via modelling zero rates?

<t>We found that the historical correlations and vols for USD zeroes were "discontinuous" particularly in the short end, which caused a lot of grief. Thanks for the market implied tip. I will have a look at that. If this was an internal build we would have done it differently, but expected that the ...
by easy
October 25th, 2012, 8:39 pm
Forum: Technical Forum
Topic: Yield curve evolution via modelling zero rates?
Replies: 4
Views: 11406

Yield curve evolution via modelling zero rates?

The vendor system has log normal mean reverting and normal mean reverting as default models for FX and IR. I haven't seen this discussed anywhere else, so was wondering if other people with vendor systems have encountered this problem.
by easy
October 10th, 2012, 9:02 am
Forum: Technical Forum
Topic: Yield curve evolution via modelling zero rates?
Replies: 4
Views: 11406

Yield curve evolution via modelling zero rates?

<t>I am looking at various vendor risk engine engines and quite a few evolve zero rates as log ornstein-uhlenbeck processes. I haven't seen any academic papers on this, but some simualtion and a bit of analysis shows that the zeroes must be highly correlated to give reasonable forward rates. Using h...
by easy
June 14th, 2012, 1:19 am
Forum: General Forum
Topic: Seasonality for commodity vol and correlation?
Replies: 4
Views: 13671

Seasonality for commodity vol and correlation?

<t>Hi Edouard, The FEA seasonal PCA comes closest to what I have used. One concern I have is with the reliability of the resulting components when you are not applying a functional form or using a filter on the returns before calcualting the covariance matrices. One reason I like it is that it doesn...
by easy
June 7th, 2012, 3:17 am
Forum: General Forum
Topic: Seasonality for commodity vol and correlation?
Replies: 4
Views: 13671

Seasonality for commodity vol and correlation?

<r>I'm wondering what experience other people have had with modelling vol and correlation in commodity markets. I haven't uncovered a concensus from the literature even though the problem looks somewhat similar to interest rates which is well developed. To be clear, I am thinking of no skew for the ...
by easy
October 6th, 2009, 12:10 pm
Forum: General Forum
Topic: Is this a nobel prize in physics or electrical engineering?
Replies: 12
Views: 35983

Is this a nobel prize in physics or electrical engineering?

<r>While CCDs and optical fibres have indeed chanegd the world, the nobel prize for physics in 2009 (<URL url="http://nobelprize.org/nobel_prizes/physics/laureates/2009/"><LINK_TEXT text="http://nobelprize.org/nobel_prizes/phys ... ates/2009/">http://nobelprize.org/nobel_prizes/physics/laureates/200...
by easy
September 10th, 2008, 11:47 am
Forum: Technical Forum
Topic: Heston model
Replies: 17
Views: 67690

Heston model

Have you tried gatheral's approximations for initial guesses? They have worked very well for me.
by easy
December 11th, 2007, 8:59 pm
Forum: General Forum
Topic: Seasonal commodity modelling - MM or HJM?
Replies: 12
Views: 66022

Seasonal commodity modelling - MM or HJM?

<t>Do you have seasonal correlation matrices and do you attempt to calibrate the model to the implied vols, or are you happy to run with historical?I have looked at the parametric HJM approach (I had a paper by Blix which I can't find online these days) and thought a summer and a winter model would ...
by easy
December 11th, 2007, 11:30 am
Forum: General Forum
Topic: Seasonal commodity modelling - MM or HJM?
Replies: 12
Views: 66022

Seasonal commodity modelling - MM or HJM?

This is motivated by the need to model natural gas forward curves, rather than spot prices, but am thinking that corn or wheat could be done in the same framework.
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