- February 2nd, 2015, 3:42 am
- Forum: Student Forum
- Topic: Radon?Nikodym theorem
- 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
- Topic: Cats and their "gifts"
- 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**

<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**

<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**

<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
- Topic: Radon?Nikodym theorem
- 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**

<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**

<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...

RIP to your cat.

- October 30th, 2014, 10:04 pm
- Forum: Off Topic
- Topic: Research Mathematicians
- Replies:
**38** - Views:
**5349**

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**

<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**

<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**

<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**

<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**

<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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