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February 2nd, 2015, 3:42 am
Forum: Student Forum
Replies: 39
Views: 7564

<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...
January 28th, 2015, 7:47 pm
Forum: Off Topic
Replies: 80
Views: 18438

Cat rises from the grave.
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 ...
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....
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...
January 4th, 2015, 6:33 am
Forum: Student Forum
Replies: 39
Views: 7564

<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. $\frac{\mathrm d\mu}{\... November 28th, 2014, 1:41 am Forum: Student Forum Topic: Radon?Nikodym theorem Replies: 39 Views: 7564 ### Radon?Nikodym theorem <t>QuoteOriginally posted by: CactusManWho here is into this and can talk about it?I am not into this anymore, because it is a part of pure math which I don't do anymore for various reasons.I did use it in my thesis to prove some esoteric results.The theorem states that given two measures$\mu[\$] ...
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...
November 4th, 2014, 3:43 pm
Forum: Off Topic
Topic: RIP
Replies: 1547
Views: 60221

### RIP

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?
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...
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 '...
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...
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 ...
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...
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