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by animeshsaxena
May 15th, 2011, 9:50 am
Forum: Brainteaser Forum
Topic: Cones
Replies: 0
Views: 25032

Cones

<t>Three balls, two of which are the same size, are tangent to the plane P, as well as to each other. In addition, the base of a circular cone lies on the plane P, and its axis is perpendicular to the plane. All three balls touch the cone from the outside. Find the angle between a generatrix of the ...
by animeshsaxena
May 14th, 2011, 2:31 pm
Forum: Trading Forum
Topic: Daily Pnl when delta-hedged and when not
Replies: 4
Views: 23962

Daily Pnl when delta-hedged and when not

<t>You can verify your strategy by a random generation of stock prices rather than actual prices. If still some error....then there is something wrong with ur backtesting. Sample...20% Vol 0.5 Year European Call Stock Price, Option Price Delta Gamma Theta 100 6.8041 0.596 0.0276 -4.65 104 9.409 0.69...
by animeshsaxena
May 14th, 2011, 11:38 am
Forum: Brainteaser Forum
Topic: Differential equation
Replies: 22
Views: 37235

Differential equation

agreed... this looks more elegant
by animeshsaxena
May 14th, 2011, 11:18 am
Forum: Brainteaser Forum
Topic: Differential equation
Replies: 22
Views: 37235

Differential equation

x=0 is a singular point, isin't it simple application of "Method of Frobenius"? So at least one solution of the form y = x^(lambda) Summation(a(n) x^n)
by animeshsaxena
May 14th, 2011, 1:17 am
Forum: Brainteaser Forum
Topic: *puzzle quiz*
Replies: 46
Views: 42257

*puzzle quiz*

again 31 is a problem....so not a pattern!
by animeshsaxena
May 14th, 2011, 1:12 am
Forum: Brainteaser Forum
Topic: *puzzle quiz*
Replies: 46
Views: 42257

*puzzle quiz*

i had thought of all 1's being the pattern but couldn't make 15 and 63...C-numbers...i guess all numbers with all 1's are C-numbers. (2 is an exception)
by animeshsaxena
May 13th, 2011, 10:26 pm
Forum: Brainteaser Forum
Topic: *puzzle quiz*
Replies: 46
Views: 42257

*puzzle quiz*

<t>QuoteOriginally posted by: outrunOne more:A C-number is a number that can be created from it's own digits with the following rules: * you can use the four operators: + - * /* you can use brackets ( )* you need to use each digit exactly twiceExample:144 = (4-1) * (4-1) 4 * 4For 2 points. How many ...
by animeshsaxena
May 13th, 2011, 9:57 pm
Forum: Trading Forum
Topic: Daily Pnl when delta-hedged and when not
Replies: 4
Views: 23962

Daily Pnl when delta-hedged and when not

Your carry pnl is due to convexity in the option. How can it be equal to something linear like delta pnl?
by animeshsaxena
May 13th, 2011, 9:31 pm
Forum: Brainteaser Forum
Topic: The quant bread baker
Replies: 8
Views: 26251

The quant bread baker

<t>Question is a bit ambiguous... What does it mean by next "Smallest" piece. If you just say next piece then if first piece is of size X then next must be of size X/2 to satisfy the constraint. if it's just "Smallest" (next smallest can occur at the end) then I will cut all pieces of equal size exc...
by animeshsaxena
May 9th, 2011, 7:01 am
Forum: Brainteaser Forum
Topic: *puzzle quiz*
Replies: 46
Views: 42257

*puzzle quiz*

I think it's a square
by animeshsaxena
May 8th, 2011, 10:06 pm
Forum: Brainteaser Forum
Topic: *puzzle quiz*
Replies: 46
Views: 42257

*puzzle quiz*

<t>Made a very very silly mistaker = tan[45/2]tan[63/2]/(1+tan[45/2]tan[63/2])should have beenr = tan[45/2]tan[63.43/2]/(tan 45/2 + tan [63.43/2]) = 0.248instead of writing 1 + in the denominator....must be slope formula swirling in my head....Had verified the answer...but instead of typing it...wro...
by animeshsaxena
May 8th, 2011, 8:01 pm
Forum: Brainteaser Forum
Topic: *puzzle quiz*
Replies: 46
Views: 42257

*puzzle quiz*

so who gets the two points....answers match
by animeshsaxena
May 8th, 2011, 7:55 pm
Forum: Brainteaser Forum
Topic: *puzzle quiz*
Replies: 46
Views: 42257

*puzzle quiz*

<t>From the diagram I guess it's an incircle for the smaller triangle.The angle bisectors will hit the incenter, so first I need to find the two angles.One of them is obviously 45degree. Other one after some trig...can be found to be 63.43(approx)Tan[45/2] = r/xTan[63/2] = r/[a-x]a-x + x = r/tan[45/...
by animeshsaxena
May 7th, 2011, 1:49 pm
Forum: Trading Forum
Topic: Multi-underlying Stochastic volatility
Replies: 6
Views: 23844

Multi-underlying Stochastic volatility

<t>if I assume dS1 = r1 dt + sig1 dX1dS2 = r2 dt + sig2 dX2Similarly for sig1 and sig2 we have brownian motions dX3, dX4. then E[dX1dX2] = rho1 dt(or correlation between two stocks]E[dX2 dX4] = rho3 dt (correlation between stock and vol of other stock)E[dX1 dX4] => What you need to calculate ....Mul...
by animeshsaxena
May 7th, 2011, 12:12 pm
Forum: Brainteaser Forum
Topic: More circles
Replies: 26
Views: 30080

More circles

<t>QuoteOriginally posted by: PaulI always wonder with these brainteasers whether to just give the answer, answer plus explanation, or hint at how it's done. I find that my default is to take the educational route in which there's no spoon feeding, just gentle prodding in the right direction.P100% A...
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