SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 431 matches

by EBal
May 5th, 2007, 3:15 pm
Forum: General Forum
Topic: point vortices in heat conduction/finance
Replies: 10
Views: 72854

point vortices in heat conduction/finance

<t>It's been a long time since I last touched this, but I believe that In 2D any analytic function of is a solution of the Laplace equation. Logarithm of z is the solution which corresponds to both vortex and sink for potential incompressible 2 dimensional flow, because both vorticity and potential ...
by EBal
May 5th, 2007, 9:40 am
Forum: General Forum
Topic: point vortices in heat conduction/finance
Replies: 10
Views: 72854

point vortices in heat conduction/finance

BS is one-dimensional, isn't it?
by EBal
April 29th, 2007, 11:48 am
Forum: General Forum
Topic: Managing a Short Gamma Position
Replies: 14
Views: 121734

Managing a Short Gamma Position

Not sure if it is what you need, but Taleb's "Dynamic Hedging" has some advice about that, in particular end of chapter 4.
by EBal
April 27th, 2007, 11:18 pm
Forum: Programming and Software Forum
Topic: Black Scholes
Replies: 7
Views: 73581

Black Scholes

How about this one?
by EBal
March 14th, 2007, 11:31 pm
Forum: Careers Forum
Topic: salary for Market Risk Analyst, IB- urgently need help !
Replies: 4
Views: 77454

salary for Market Risk Analyst, IB- urgently need help !

Maybe this site will be helpful: payscale.com
by EBal
February 24th, 2006, 11:48 am
Forum: Careers Forum
Topic: Housing near Greenwich CT
Replies: 3
Views: 117277

Housing near Greenwich CT

I am going to start a new job in Greenwich CT. I am not familiar with the area, so I will appreciate any advice about places nearby where one could find affordable housing.Thanks.
by EBal
February 22nd, 2006, 4:53 pm
Forum: Technical Forum
Topic: stochastic volatility model
Replies: 3
Views: 117817

stochastic volatility model

You might want to check the paperA. Dragulescu and V. YakovenkoQuantitative Finance, Volume 2 (2002) 443-453
by EBal
February 22nd, 2006, 4:45 pm
Forum: Technical Forum
Topic: Visual C++ MFC Display a number
Replies: 3
Views: 117754

Visual C++ MFC Display a number

CString s;s.Format("%lf plus %lf = %lf", a, b, c);AfxMessageBox(s);That should do it.
by EBal
February 6th, 2006, 3:36 pm
Forum: Careers Forum
Topic: Why do they still want to do a Ph.D?
Replies: 115
Views: 125171

Why do they still want to do a Ph.D?

An intersting article on the subject
by EBal
September 2nd, 2005, 10:28 am
Forum: Technical Forum
Topic: probability question
Replies: 4
Views: 137219

probability question

<t>Make the Fourier transform of all three PDFs and express it in terms of the transform of pdf(x, y), and you will see.If P(k, l) is the transform of pdf(x, y), the transform of the first will be P(k, 0), the second P(0, k) and the third P(k, k). Can you restore P(k, l) via these three? Probably no...
by EBal
August 23rd, 2005, 11:47 am
Forum: Technical Forum
Topic: Inversion of slowly decaying Characteristic Functions
Replies: 11
Views: 138851

Inversion of slowly decaying Characteristic Functions

<t>Concering your example, since the function is a quadratic polynomial, it is easy to modify the integration contour so it goes on both sides of the imaginary axis. Doing everything properly you'll get the integral of the formThe exponential is decaying, so your problem disappears. Also, I think th...
GZIP: On