Recent content by NeedOPT

1) Take the log and transform it to a regular old brownian motion 2) Apply the Feynman-Kac formula 3) ??? 4) Profit!

Anybody asking specifically for Unix skills probably wants you to be comfortable with: sed, awk, grep etc. bash/csh scripting the whole standard *nix directory structure, installers, makefiles etc Playing around for a couple of hours with a Linux box won't cut it if they're going to ask you...

Agreed with GoIllini on the benefits and the limitations of financial innovation. Emphasis must be placed on the playoff between diminishing returns and the secular growth of specialization/complexity/scale/integration of the global economy.

The "study" cited in the article is a joke from a joke think tank. First off, in order to assess the "social value" of the work of bankers, they lay the entire cost (output gap, I'm guessing) of the current/recent recession at the feet of bankers. Because, of course, recessions wouldn't occur...

Your question simply doesn't make any sense. An "expectation" is ONLY defined under some probability measure. If you want the expectation of the number of shares under P then use P. If you want it under Q then use Q. If you want it under some third measure R which you've decided is appropriate...

No, you just got through talking about collateral. I'm not talking about collateral. I'm talking about about offsetting positions. Counterparty risk is limited to the positive value is the SUM TOTAL OF CONTRACTS WITH THAT COUNTERPARTY. It's not just the sum of positive valued contracts. The...

I don't mean the one which tells you assets, liabilities and broken up by class. I mean the master list of every single position held with every single counterparty. I don't know that Goldman would have remained solvent, but I also don't think it's obvious they would have been driven into the...

You do realize that if a counterparty goes bankrupt and cannot pay its debts to Goldman then Goldman doesn't have to pay its debts to the counterparty, right? You can't simply look at liability ratio and assume that all of the creditors were different than all of the debtors. I don't know...

How did GS have 10 bill in counterparty risk with AIG? As far as the assets involved in the Maiden Lane III transaction, they had 1.2 bill in counterparty risk with AIG (according to Goldman's calculations; according to AIG's calculations there was no counterparty risk because they'd provided...

Excel's default RNG is terrible. If you're limiting to a few thousand (?) iterations then it's probably okay. I believe there are macros available which will give you a less retarded RNG, but in general Excel is not built to do MC. I suggest using MatLab or C/C++ for any serious MC work.

I hope you're kidding.

Cholesky decomposition - Wikipedia, the free encyclopedia

The key point behind a statement of purpose is to ensure that the students they receive are not only academically qualified, but also motivated. Tell an anecdote about how you got interested in mathematical finance, explain what reading you've done on the subject, and tell them why you think...

Differentiation under the integral sign - Wikipedia, the free encyclopedia Using their notation, x = B, t = V, f(B,V) = (1.5V-B)p(V), a(B) = 0, b(B) = B Applying the chain rule formula + FTC (they give the answer in the above link) (d(E(P))/dB = (1.5B-B)p(B) - \int_{0}^{B}p(V)dV) I suggest...

Algebra 3 (group theory)