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by Alan
May 26th, 2021, 7:54 pm
Forum: Off Topic
Topic: The Wilmott Bible Study Thread
Replies: 624
Views: 120864

Re: The Wilmott Bible Study Thread

Gulianosaurus?
Was thinking this one:
  
by Alan
May 26th, 2021, 3:58 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4502
Views: 280908

Re: Trump -- the last 100 days

So, with a special grand jury convened ...
Could be amusing if Deutsche Bank actually testifies for Trump. After all, the more Trump/Trump organization is fined, or loses licenses or whatever, the less money to pay them back. Also, has a fishy political smell to it (see photo above)  :D
by Alan
May 26th, 2021, 2:43 pm
Forum: Off Topic
Topic: The Wilmott Bible Study Thread
Replies: 624
Views: 120864

Re: The Wilmott Bible Study Thread

sad for the man, but a different version would also be interesting: 
"T-rex fossil found with man in stomach", suspected to be a lawyer.   
by Alan
May 25th, 2021, 6:42 pm
Forum: Off Topic
Topic: those belligerent Belarusans
Replies: 38
Views: 23448

Re: those belligerent Belarusans

15 years. If he survives... It's an act of international terrorism! Lukashenko is enough of an idiot to do that, but is there more to it? Some suspect that Russia was helping him. Another potential trigger to the outbreak of WW3. Many say that the European conflict (WW1+WW2) has never been resolved...
by Alan
May 22nd, 2021, 12:52 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1573

Re: PWOQF, expected hitting time

Of course, you find (probability of) hitting time by solving a pde and/or MC, yes?
Not necessarily. There are also martingale arguments: see the link in my last post.
by Alan
May 21st, 2021, 2:59 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 828
Views: 121360

Re: End of bitcoin?

Unlike mainstream traditional currencies, bitcoin is virtual and not made from paper or plastic, or even metal. Bitcoin is virtual but power-hungry as it is created using high-powered computers around the globe. At current rates, such bitcoin "mining" devours about the same amount of ener...
by Alan
May 19th, 2021, 2:26 pm
Forum: Numerical Methods Forum
Topic: One-liner questions of a numerical kind
Replies: 45
Views: 14646

Re: One-liner questions of a numerical kind

1) Cox et al 1985 have analytical solutions for zcb and options. Can we differentiate them wrt a parameter to get sensitivities (how to differentiate a non-central chi^2 beast wrt a parameter?) >> Yes. Can always get a parameter derivative numerically, although there may be simplifications; lots of...
by Alan
May 18th, 2021, 5:22 pm
Forum: Off Topic
Topic: How should we deal with the coronavirus pandemic?
Replies: 241
Views: 18615

Re: How should we deal with the coronavirus pandemic?

BTW, have you seen this research? https://health.ucsd.edu/news/releases/Pages/2020-11-30-study-reveals-connection-between-gut-bacteria-and-vitamin-d-levels.aspx  "As expected, men who lived in San Diego, California got the most sun, and they also had the most precursor form of vitamin D."...
by Alan
May 18th, 2021, 4:55 pm
Forum: Student Forum
Topic: Worthwhile companies, do they exist?
Replies: 5
Views: 466

Re: Worthwhile companies, do they exist?

In general, agree that finance has a perpetual "where are the customers' yachts?" problem.  My advice: make a list of companies you admire. Personally, the ones I admire are very consumer-oriented. In finance in the US: Vanguard Group, Charles Schwab. Beyond finance: amazon, apple. Anyway,...
by Alan
May 17th, 2021, 5:56 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1573

Re: PWOQF, expected hitting time

You're welcome.

Looks like the expected hitting time of a std BM to a sloping line is always finite, as per here
I thought this might lead to a simple example where the expected exit time was +infinity, but it doesn't.
by Alan
May 17th, 2021, 2:27 pm
Forum: Student Forum
Topic: Silly questions
Replies: 119
Views: 37446

Re: Silly questions

Chain rule (no sde) says [$]y = F^{1-\beta}/(1 - \beta)[$] works. 
by Alan
May 16th, 2021, 8:54 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1573

Re: PWOQF, expected hitting time

For 2, express the hitting time density as the negative t' derivative of a complementary distribution func. Since, by assumption in that case, the expected hitting time is finite, the hitting time density must decay at large t' like [$] 1/(t')^{2 + \epsilon}[$] or faster, where [$]\epsilon > 0[$]. U...
by Alan
May 16th, 2021, 8:17 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1573

Re: PWOQF, expected hitting time

At first I thought it was ok, but now I think that you have to distinguish the case where the expected exit time is +infinity from the case where it's finite. In the latter case, by introducing the complementary density, you can show the claimed relation is correct. In the former case, the last inte...
by Alan
May 16th, 2021, 7:51 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 42
Views: 1573

Re: PWOQF, expected hitting time

deleted -- later
by Alan
May 15th, 2021, 4:56 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 828
Views: 121360

Re: End of bitcoin?

Unlike mainstream traditional currencies, bitcoin is virtual and not made from paper or plastic, or even metal. Bitcoin is virtual but power-hungry as it is created using high-powered computers around the globe. At current rates, such bitcoin "mining" devours about the same amount of ener...