SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 273 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 19
by MiloRambaldi
February 2nd, 2015, 3:42 am
Forum: Student Forum
Topic: Radon?Nikodym theorem
Replies: 39
Views: 7564

Radon?Nikodym theorem

<t>QuoteOriginally posted by: CuchulainnQuote I'm doubtful about applications.I think the quote was referring to the Radon-Nikodym *Theorem*.QuoteMaybe it has escaped everyone's attention... but ..RN derivative _is_ the likelihood function in parameter estimation in SDEs.Or am I missing something he...
by MiloRambaldi
January 28th, 2015, 7:47 pm
Forum: Off Topic
Topic: Cats and their "gifts"
Replies: 80
Views: 18438

Cats and their "gifts"

Cat rises from the grave.
by MiloRambaldi
January 20th, 2015, 8:23 pm
Forum: Off Topic
Topic: Lebesque Integration Question
Replies: 6
Views: 2582

Lebesque Integration Question

<t>QuoteOriginally posted by: MiloRambaldiQuoteOriginally posted by: CactusManI was getting back into this for something the other day.Is it true that if h = f + g (pointwise) and h is Lebesque integrable then:int h = int f + int g (under the lebesque itegral)? each is defined and the sum is always ...
by MiloRambaldi
January 17th, 2015, 6:03 pm
Forum: Off Topic
Topic: Lebesque Integration Question
Replies: 6
Views: 2582

Lebesque Integration Question

<t>QuoteOriginally posted by: CactusManI was getting back into this for something the other day.Is it true that if h = f + g (pointwise) and h is Lebesque integrable then:int h = int f + int g (under the lebesque itegral)? each is defined and the sum is always correct, right?The simple answer is no....
by MiloRambaldi
January 17th, 2015, 5:58 am
Forum: Off Topic
Topic: Lebesque Integration Question
Replies: 6
Views: 2582

Lebesque Integration Question

<t>QuoteOriginally posted by: CactusManI was getting back into this for something the other day.Is it true that if h = f + g (pointwise) and h is Lebesque integrable then:int h = int f + int g (under the lebesque itegral)? each is defined and the sum is always correct, right?A reasonable question, b...
by MiloRambaldi
January 4th, 2015, 6:33 am
Forum: Student Forum
Topic: Radon?Nikodym theorem
Replies: 39
Views: 7564

Radon?Nikodym theorem

<t>QuoteOriginally posted by: CactusManWhat is the very simplest example of the Radon-Nikodym derivative you can think of?Perhaps you want to rephrase that as "the simplest non-trivial example"?Otherwise, the RN-derivative of [$]\mu[$] with respect to itself is [$]1[$], i.e. [$]\frac{\mathrm d\mu}{\...
by MiloRambaldi
November 28th, 2014, 1:41 am
Forum: Student Forum
Topic: Radon?Nikodym theorem
Replies: 39
Views: 7564

Radon?Nikodym theorem

<t>QuoteOriginally posted by: CactusManWho here is into this and can talk about it?I am not into this anymore, because it is a part of pure math which I don't do anymore for various reasons.I did use it in my thesis to prove some esoteric results.The theorem states that given two measures [$]\mu[$] ...
by MiloRambaldi
November 14th, 2014, 4:36 pm
Forum: Off Topic
Topic: Research Mathematicians
Replies: 38
Views: 5349

Research Mathematicians

<t>QuoteOriginally posted by: GrenvilleCrollQuoteOriginally posted by: outrunQuoteOriginally posted by: GrenvilleCrollI recently proved explicitly that the sequence of prime numbers is not periodic. Does that make me a bona fide research mathematician? you proved that every next prime number is larg...
by MiloRambaldi
November 4th, 2014, 3:43 pm
Forum: Off Topic
Topic: RIP
Replies: 1547
Views: 60221

RIP

RIP to your cat.
by MiloRambaldi
October 30th, 2014, 10:04 pm
Forum: Off Topic
Topic: Research Mathematicians
Replies: 38
Views: 5349

Research Mathematicians

QuoteOriginally posted by: CactusManPM me please and tell me what original results you have in mathematics.Did you ever read my PM?
by MiloRambaldi
October 28th, 2014, 11:35 am
Forum: Technical Forum
Topic: Volatility smiles in practice
Replies: 1
Views: 3897

Volatility smiles in practice

<t>I've never been in such a position myself, but I believe that e.g. on the sell side, a volatility smile, or more generally a vol surface, is used to price instruments including vanilla options.If yes, then my question is about fitting a vol smile with calls and puts. If they are both European and...
by MiloRambaldi
October 27th, 2014, 9:54 pm
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ normal distribution
Replies: 74
Views: 34876

sitmo C++ normal distribution

<t>QuoteOriginally posted by: CuchulainnQuoteI guess all PRNGs are flawed by definition, since they are deterministicWhy is this bad? Seriously??QuoteQuoteFor serious applications though (e.g. like at CERN), from what I have heard they take unacceptable flaws in PRNG very seriously.What's the most '...
by MiloRambaldi
October 27th, 2014, 9:51 pm
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ normal distribution
Replies: 74
Views: 34876

sitmo C++ normal distribution

<t>QuoteOriginally posted by: Traden4AlphaQuoteFor serious applications though (e.g. like at CERN), from what I have heard they take unacceptable flaws in PRNG very seriously.As well they should although I'd be interested in how they define "unacceptable" and whether different users might have diffe...
by MiloRambaldi
October 27th, 2014, 4:31 pm
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ normal distribution
Replies: 74
Views: 34876

sitmo C++ normal distribution

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: MiloRambaldiQuoteOriginally posted by: Traden4Alpha[How do these systems encode more or less favorable combinations of the generic components? What if some RNGs interact badly with some distribution shaping algorithms so that they ...
by MiloRambaldi
October 27th, 2014, 3:45 pm
Forum: The Quantitative Finance Code Library Project
Topic: sitmo C++ normal distribution
Replies: 74
Views: 34876

sitmo C++ normal distribution

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: MiloRambaldiQuoteOriginally posted by: Traden4Alpha[How do these systems encode more or less favorable combinations of the generic components? What if some RNGs interact badly with some distribution shaping algorithms so that they re...
  • 1
  • 2
  • 3
  • 4
  • 5
  • 19
GZIP: On