simulated annealing must be callibrated too .

<t>Nice intro, thanks. One of my colleges was able to do a little better optimizing at a particular problem, yielding an increase in profit of about 50 M!!! I am stunned about the impact of successful optimization in finance. Usually somebody working on optimization does not get much attention until...

<t>Thanks. In fact I wasn't aware of this book. But also your personal experience is welcome. I checked the index of the book: From this I can take that the methods are explained in its own right, i.e. IP and NLP are discussed apart from each other. But quite often, one finds Mixed-Integer Non-Linea...

<t>I wonder what branches of optimization are the most useful for QF. Of course there are the classical branches LP, IP/MIP, NLP, where the latter can be subdivided into many useful branches like QP, Mixed-Integer-NLP, SDP, ...Do you have any opinions on these? What about hybrids such as Stochastic ...

<t>Am I taking you right, that you are looking for a receipt or a rule of thumg for figuring out future functions to apply Ito's Lemma to. Well, the dropping of the stochastic term may help, as foresaid. But in general there is no receipt. Luckily someone figured the ln-trick out for you. In case of...

I took a course in Machine Learning and we had the classic text of Bishop as course reference.

<t>I think, you should post this in the Student's forum!Nevertheless, I have done tasks like this in the exercise section of Oksendal's Stochastic Differential Equation.First you probably got something wrong: Y is not a Variable as it depends on t, so you have a familiy of random variables. Unfordun...

<t>QuoteOriginally posted by: repomanQuoteOriginally posted by: repomanI have a question about complex positive definite matricies... if x A x* is real for all complex vectors x, then A must be Hermitian. Here's my proof: By induction on n where A is n x n. Take n = 2 for the base case. Then taking ...

<t>QuoteOriginally posted by: repomanQuoteOriginally posted by: trippel@repoman: the thing here that matters is, that you cannot restrict to real vectors - complex is right, even for real matrixes. For a proof see for instance, Golub Van Loan.Do you mean "Matrix Computations"? I did not see anything...

<t>QuoteOriginally posted by: twofishQuoteOriginally posted by: jawabeanforget self-study. those days are gone. it would work 20 years ago, not tomorrowThat's not been my experience or the experience of people that my group has hired recently. A lot depends on the job, and many of the cool jobs are ...

<r>Your description is quite unspecific. You do not state what the sizes of the boxes are (real numbers, are there any restrictions, ...). If you are interested in stuff like that and practice algorithm traning, go for <URL url="http://www.spoj.pl">www.spoj.pl</URL>. It is a good Online Judge, accep...

@repoman: the thing here that matters is, that you cannot restrict to real vectors - complex is right, even for real matrixes. For a proof see for instance, Golub Van Loan.

Thanks for your experience. I would not have anticipated that. But why is that? Is the knowledge of financial markets acquired on the job then?

<t>I like programming (C++, Perl, ...) and I feel very much attracted to Finance (inspired by the Books of Hull, Elliott/Kopp). I study Mathematics and my focus is on Optimization (Semidefinite/Nonlinear) and Stochastics (Probability Theory/Stochastic Calculus).Now I have the opportunity/choice to e...