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January 26th, 2020, 10:39 pm
Forum: Off Topic
Topic: How good or bad are the pandemic warning models?
Replies: 288
Views: 55778

### Re: How good or bad are the pandemic warning models?

I don't think he has specifically described one, but this about a store in Tokyo:  " You could buy a burrito there, a lottery ticket, batteries, tests for various diseases. You could do voice-mail, e-mail, send faxes. It had occurred to Laney that this was probably the only store for miles that sol...
January 26th, 2020, 8:59 pm
Forum: Numerical Methods Forum
Topic: About solving a transport equation
Replies: 151
Views: 52770

### Re: About solving a transport equation

Let me just address 1. for now. I just followed the prescription in my Vol I book, pg 33. That is, the characteristics $\xi$ are the solutions to the ODE: $\frac{d \xi}{dt} = b(\xi) \equiv (1 - \xi)^2$ for this problem, with $\xi(t=0) = y$. Since the solutions $\xi(t)$ also depend u...
January 26th, 2020, 4:37 am
Forum: Off Topic
Topic: How good or bad are the pandemic warning models?
Replies: 288
Views: 55778

### Re: How good or bad are the pandemic warning models?

Deadly coronavirus finds a breeding ground in China's food markets BEIJING/HONG KONG/SHANGHAI – Leaning over a metal cage stuffed with live hens in Shanghai, Ran looked for just the right specimen for her chicken soup. The 60-year-old was shopping at one of China’s wet markets, where sales of fresh...
January 26th, 2020, 4:20 am
Forum: Student Forum
Topic: Practice to theory (Students)
Replies: 11
Views: 573

### Re: Practice to theory (Students)

January 24th, 2020, 9:45 pm
Forum: Student Forum
Topic: Dimensionality of Monte Carlo
Replies: 14
Views: 577

2d pdes are easier to solve than 1.4999 pde! Very true. Sometimes you can treat 1.4999 as 2 - $\epsilon$, where $\epsilon$ is a  perturbation Same as Hausdorff dimension? https://en.wikipedia.org/wiki/Hausdorff_dimension More akin to having various d-dimensional integrals, for example $\i... January 24th, 2020, 5:06 am Forum: Numerical Methods Forum Topic: About solving a transport equation Replies: 151 Views: 52770 ### Re: About solving a transport equation I'll play a little. For 2, I get$ u(y,t) = f \left( \xi(y,t) \right)$where the characteristic$\xi(y,t) = \frac{y + t - t y}{1 + t - t y}$. January 24th, 2020, 4:24 am Forum: Student Forum Topic: Dimensionality of Monte Carlo Replies: 14 Views: 577 ### Re: Dimensionality of Monte Carlo 2d pdes are easier to solve than 1.4999 pde! Very true. Sometimes you can treat 1.4999 as 2 -$\epsilon$, where$\epsilon$is a perturbation January 24th, 2020, 3:42 am Forum: Brainteaser Forum Topic: BlackJack game Replies: 25 Views: 1070 ### Re: BlackJack game and for Infinite decks: A drawing of someone playing at such a table would make an amusing cartoon. So, I googled for it, but all I found was this. Not quite what I had in mind, but what the heck .. :D https://wizardofodds.com/wizfiles/articleimages/35/blackjack5-large.jpg Source: wizardofodds.... January 23rd, 2020, 9:56 pm Forum: Student Forum Topic: Dimensionality of Monte Carlo Replies: 14 Views: 577 ### Re: Dimensionality of Monte Carlo Yeah, both Asian options under GBM and simple GARCH models pose similar issues. From the point of view of sources of randomness, they are 1D. From the point of view of the simplest Markov process representations, they are 2D. Let's call them 1.5D January 21st, 2020, 10:25 pm Forum: Student Forum Topic: Dimensionality of Monte Carlo Replies: 14 Views: 577 ### Re: Dimensionality of Monte Carlo Personally, I would count the dimensionality as the number of distinct spatial factors (so ignoring time) in the transition density, So a 1D problem with a spatial factor S would have a transition density$p(t', S' | t, S)$. If your Monte Carlo gets from t to t' in one time step or numerous time... January 20th, 2020, 8:57 pm Forum: Book And Research Paper Forum Topic: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution Replies: 34 Views: 3208 ### Re: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution Medallion Fund: The Ultimate Counterexample? I finally got around to reading this piece. The fascinating thing is how Medallion's results substantially dominate those of a visitor from the future who already knew (over various horizons) whether or not the market would beat Treasury bills. I think w... January 20th, 2020, 8:22 pm Forum: General Forum Topic: Impact factor rankings Replies: 19 Views: 1092 ### Re: Impact factor rankings January 18th, 2020, 8:15 pm Forum: Book And Research Paper Forum Topic: Nonparametric hedging of volswaps with varswaps only Replies: 10 Views: 732 ### Re: Nonparametric hedging of volswaps with varswaps only So, you want$f(T,V_0) \equiv E[\int_0^T V(t) \, dt]$for$dV = (\omega V - \theta V^2) \, dt + \xi V^{3/2} dW$, right? There is a closed-form for the mgf:$H(T,V_0;c) \equiv E[\exp\{-c \int_0^T V(t) \, dt\}]$, developed in Chapt 11 of the volume I book you mention. You can take$\rho...
January 18th, 2020, 7:12 pm
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 1092

### Re: Impact factor rankings

I will guess whatever rankers you are looking at arbitrarily exclude, for any field whatsoever, "(trade) magazines" as opposed to "(academic) journals", regardless of the relative quality of the content and/or actual influence/impact.  Might matter if you are an academic up for a tenure decision -- ...
January 16th, 2020, 7:56 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 732

### Re: Nonparametric hedging of volswaps with varswaps only

Congratulations.

How sensitive is the p/l distribution width to the vol-of-vol? For example, how does it do when the Heston V-process can reflect off the origin?

The mean-reverting SABR case would still be a good test, too.

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