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emac
Posts: 89
Joined: July 7th, 2009, 7:15 pm

### Finite difference and control variates

What is the spurious input?The standard error is usually quoted as a root mean square error, i.e.$\sqrt{E |X_M - \mu|^2} \leq \frac{std(X)}{\sqrt{M}}$But this is an average error. For a given realisation of $X_M$ you don't know a priori how close to $\mu$ it actually is, you only know that ON AVERAGE it is close. I was just telling you how to get a bound on the probability that $X_M$ is actually close to $\mu$.

Cuchulainn
Posts: 63251
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
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### Finite difference and control variates

Details aside, this is a discussion between a pure mathematician and a numerical analyst. In the sense they have different views of formulae.
Last edited by Cuchulainn on July 2nd, 2015, 10:00 pm, edited 1 time in total.
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mutley
Topic Author
Posts: 745
Joined: February 9th, 2005, 3:51 pm

### Finite difference and control variates

emac, by spurious inputs I meant things like implied vol and some of the more heroic models. Wasn't referring to your work aboveAlas, I don't think I could claim to be either of those two professions. Am just a poor structurer with a healthy dose of cynicism for absolutes.