daleroberts

10 ms·

61.
by daleroberts 12y ago
Contributions generally accepted if anyone wants to play...
62.
Mathematical finance cheat sheet(github.com)
1 points by daleroberts 12y ago|1 comments
63.
by daleroberts 14y ago
The key point you are glossing over is: under what probability measure? You are calculating an expected value in the sense of 'mathematical operation E' under some measure not in the sense of 'I expect the price to be...' I don't want to pi
64.
by daleroberts 14y ago
Yes, Black-Scholes is a good benchmark model, i.e., something to compare other models to. For example, through the implied volatility surface.
65.
by daleroberts 14y ago
I think the author of the article hasn't really grasped the concept of option pricing. You are not calculating an 'expected value'. The whole point of the theory is there is a correspondence between a 'no-arbitrage argument' and calculating
66.
by daleroberts 14y ago
Do you think there is a market for teaching this? I've taught a couple of courses on this stuff "professionally" and have been debating for a while if I should create some nice online course on the topic.
67.
by daleroberts 14y ago
I think you're seriously underestimating the amount of work we need to do...
68.
by daleroberts 14y ago
I don't get that TED talk. For example, how are you meant to properly understand the ubiquitous Gaussian distribution without learning Calculus first?
69.
by daleroberts 14y ago
True, but they don't offer a machine that can run OpenCL well. On my current Mac Pro (6-Core Xeon 3.33Ghz) the CPU runs most of my codes at the same speed as the ATI Radeon 5870. An ATI 7970 would have been a nice (minimal) addition but I r
70.
by daleroberts 14y ago
Again, no Nvidia CUDA support for scientific computing. Not even faster ATI cards... I think my next workstation is going to be Linux on Dell or HP.
71.
by daleroberts 14y ago
Maybe I can add some context. I was the OP that started this whole discussion about posing math problems / Brainteasers at interviews. Out of the blue I got a call from a recruiter saying that bank X would like to interview me for a quant r
72.
by daleroberts 14y ago
Good points. That is probably why people are often not successful on their first interviews. It takes a few to get into "interview mode" where you have good answers for common questions about your CV. I was quite dismayed when I called them
73.
by daleroberts 14y ago
Brainteasers and problems are fun and I love doing them. I just think it's not appropriate for an interview, especially when you catch an interviewer presenting you with questions that are simply taken from known 'problem banks'. I could ha
74.
by daleroberts 14y ago
Apparently, even Erdös did not believe the solution to that problem. Imagine saying no to him because he failed to come up with the correct solution.
75.
Just say No to brainteaser questions at interviews(wilmott.com)
105 points by daleroberts 14y ago|114 comments