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by Alan
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...
by Alan
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...
by Alan
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...
by Alan
January 26th, 2020, 4:20 am
Forum: Student Forum
Topic: Practice to theory (Students)
Replies: 11
Views: 573

Re: Practice to theory (Students)

Start with the classics
by Alan
January 24th, 2020, 9:45 pm
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 Same as Hausdorff dimension? https://en.wikipedia.org/wiki/Hausdorff_dimension More akin to having various d-dimensional integrals, for example [$]\i...
by Alan
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  [$]\xi(y,t) = \frac{y + t - t y}{1 + t - t y}[$].
by Alan
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
by Alan
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....
by Alan
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   :D
by Alan
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...
by Alan
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...
by Alan
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...
by Alan
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 -- ...
by Alan
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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