SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by platinum
November 29th, 2020, 12:29 pm
Forum: Off Topic
Topic: Cures for Covid-19
Replies: 18
Views: 1330

Re: Cures for Covid-19

 I am happy to see some British parliament members pick up excellent working papers! "This paper hits the nail on the head”      Screen Shot 2020-11-28 at 6.00.46 PM.png Vitamin D and COVID-19: Is There a Lack of Risk/Reward Understanding Among Health Authorities? not a cure, but a good risk/reward...
by platinum
November 15th, 2020, 11:11 pm
Forum: General Forum
Topic: Philosophy of Mathematics
Replies: 394
Views: 53426

Re: Philosophy of Mathematics

should math be read from left to right or from right to left, or read from the direction the math makes most sense, stay inside the other existing rules? one can easily set up nonorthodox equations that are wrong if read wrong direction, so there must be direction rules?  almost any language have r...
by platinum
November 13th, 2020, 6:58 pm
Forum: Brainteaser Forum
Topic: Test your veggie skills
Replies: 20
Views: 1242

Re: Test your veggie skills

Nice!

And broccoli is full of fractals.

How many types of broccoli are there, roughly, and one Latin name?
by platinum
November 13th, 2020, 6:37 pm
Forum: Brainteaser Forum
Topic: Test your veggie skills
Replies: 20
Views: 1242

Re: Test your veggie skills

Allium cepa? Red wing onion

Trying to think of a calculation involving onions.

Maybe like Dutch tulip options - there is an onion story there.
by platinum
November 1st, 2020, 11:19 am
Forum: Off Topic
Topic: Good things that come out of this pandemic...
Replies: 311
Views: 21475

Re: Good things that come out of this pandemic...

In essence I suppose good babies are like good models: fit for purpose, robust, taking in data and conveying information about the world.

looking at the music video - these fully mature examples must have been very good babies - strongly kicking and working at communication!
by platinum
October 31st, 2020, 9:38 pm
Forum: Off Topic
Topic: Good things that come out of this pandemic...
Replies: 311
Views: 21475

Re: Good things that come out of this pandemic...

Maybe see it in terms of the law of comparative advantage. Some are best suited to writing books. Some are best suited to having children. Some can actually manage to do both, under special conditions. Arguably, writing a really good book is even more difficult than producing a really good baby, mea...
by platinum
October 31st, 2020, 9:33 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are the typical assumptions for quant models for each asset class and what distortions do they produce?
Replies: 6
Views: 1279

Re: What are the typical assumptions for quant models for each asset class and what distortions do they produce?

Great - that is a very nice exposition. For the beginners/younger students, I will just lay out the key assumptions/issues with Black Scholes. Noted the thread where some you were going deeper into the terminology and the math, which is also a good exercise, but really it's the breaks on assumptions...
by platinum
October 31st, 2020, 5:48 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are the typical assumptions for quant models for each asset class and what distortions do they produce?
Replies: 6
Views: 1279

Re: What are the typical assumptions for quant models for each asset class and what distortions do they produce?

A good idea for this FAQ, but would be a textbook, and I doubt you'll get a taker at this point in time. To narrow the scope, if there's a troublesome assumption you can't find relaxed/fixed by diligent googling, post a question and maybe somebody will have an answer. To kick things off, I'd say th...
by platinum
October 29th, 2020, 7:15 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are the typical assumptions for quant models for each asset class and what distortions do they produce?
Replies: 6
Views: 1279

What are the typical assumptions for quant models for each asset class and what distortions do they produce?

We all know that there are simplifying assumptions made for many (most?) quant models from Black Scholes onwards. But naturally these assumptions tend to create abstract worlds and many adjustments are needed to bring the models closer to reality. It would be useful to have an orderly table of such ...
by platinum
October 29th, 2020, 6:42 pm
Forum: Brainteaser Forum
Topic: What is the easiest hill to walk up in the world?
Replies: 11
Views: 824

Re: What is the easiest hill to walk up in the world?

possibly a gravity hill, also known as a magnetic hill. But it is kind of an illusion, so a trick question? Still, they do exist; here is a list of gravity hills (not necessarily complete, but a start): https://en.wikipedia.org/wiki/List_of_gravity_hills Some people like to brag about their "peak ba...
by platinum
October 25th, 2020, 11:55 pm
Forum: Trading Forum
Topic: LIBOR transition
Replies: 3
Views: 1170

LIBOR transition

Some of you probably know, the FSB has recently issued a road map for LIBOR transition (October 16): https://www.fsb.org/wp-content/uploads/P161020-1.pdf Obviously this is after many months if not a few years of consultations. But is the industry really ready for it? Doing research now on existing s...
by platinum
October 25th, 2020, 11:46 pm
Forum: The Quantitative Finance Code Library Project
Topic: Including Julia to this Project?
Replies: 0
Views: 1052

Including Julia to this Project?

Curious to know if this library project is still semi-active and if it would make sense to include work on Julia.

Reference here: https://julialang.org/

There are a few mentions on this forum.
by platinum
October 21st, 2020, 3:17 pm
Forum: General Forum
Topic: sigma root (T-t)
Replies: 86
Views: 4775

Re: sigma root (T-t)

Dynamics like that are likely to change over time. One of the most interesting things about JMK is the strong position he took during the negotiations of the Treaty of Versailles.  If he had prevailed, it would have changed the course of history. Not so relevant for this thread, but his reflections ...
by platinum
October 21st, 2020, 1:10 am
Forum: General Forum
Topic: sigma root (T-t)
Replies: 86
Views: 4775

Re: sigma root (T-t)

The farce is strong in this thread. Or at least Commedia dell'arte? An extensive literature review could be enlightening.  Here's a small detail on the path from Bachelier to Samuelson: " Although Bachelier’s work on random walks predated Einstein's celebrated study of Brownian motion  by five year...
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