SERVING THE QUANTITATIVE FINANCE COMMUNITY

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

Finite difference and control variates

July 2nd, 2015, 12:01 pm

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 [$]\mu[$].
 
User avatar
Cuchulainn
Posts: 63251
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Finite difference and control variates

July 3rd, 2015, 8:34 am

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.
Chips chips chips Du du du du du Ci bum ci bum bum Du du du du du Ci bum ci bum bum Du du du du du
http://www.datasimfinancial.com
http://www.datasim.nl
 
User avatar
mutley
Topic Author
Posts: 745
Joined: February 9th, 2005, 3:51 pm

Finite difference and control variates

July 3rd, 2015, 11:53 am

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.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On