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**** you, method of characteristics

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  • #16
    Plan for the next 2.25 days:

    1) PDEs:
    a) Classical analytic methods, esp. as applied to heat equation. Free boundary conditions. Fundamental solutions. Tie in with BSM PDE.
    b) Numerical methods, esp. FD (crank-nicholson and upwind differencing)

    2) Numerical matrix algebra (LU decomp, SVD, Cholesky decomp)

    3) Stochastic processes, Ito calculus, Kolmogorov equation/Feynman-Kac formula. Application to BM and GBM

    4) Monte Carlo methods. RNGs, importance sampling, antithetic variables, other variance reduction methods(?). Tie-in with Radon-Nikodym deriv. and Girsanov. Skim original paper on VEGAS. Markov chains (Gibbs sampling, Metropolis-Hastings algorithm). Current state of research on MC methods in options pricing.

    5) Statistical methods. PCA, GARCH, EWMV etc.

    6) Finance crap. Skim through Hull for definitions/conventions. CAPM, interest rate derivatives, yadda yadda.

    7) C++. Skim Eckel for key points.
    12-17-10 Mohamed Bouazizi NEVER FORGET
    Stadtluft Macht Frei
    Killing it is the new killing it
    Ultima Ratio Regum

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    • #17
      chances are 50%, knowing his background, that he asks me to solve heat equation on a cylinder.
      12-17-10 Mohamed Bouazizi NEVER FORGET
      Stadtluft Macht Frei
      Killing it is the new killing it
      Ultima Ratio Regum

      Comment


      • #18
        I do that every morning while making my coffee.
        "The issue is there are still many people out there that use religion as a crutch for bigotry and hate. Like Ben."
        Ben Kenobi: "That means I'm doing something right. "

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        • #19
          Either that was extremely clever, or you got very lucky.
          12-17-10 Mohamed Bouazizi NEVER FORGET
          Stadtluft Macht Frei
          Killing it is the new killing it
          Ultima Ratio Regum

          Comment


          • #20
            Ah, young Grashoffer... take the cylinder from my hand and enter the evil empire you will.

            (seriously, heat transfer needs more puns..)
            Monkey!!!

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            • #21
              Originally posted by chequita guevara View Post
              Death to all Goldman Sachs employees!
              Is this some new meme that I missed out on?
              John Brown did nothing wrong.

              Comment


              • #22
                Originally posted by Asher View Post
                I do that every morning while making my coffee.
                Originally posted by KrazyHorse View Post
                Either that was extremely clever, or you got very lucky.
                "My nation is the world, and my religion is to do good." --Thomas Paine
                "The subject of onanism is inexhaustable." --Sigmund Freud

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                • #23
                  So Goldman Sachs is looking to hire a physicist who is boning up on his math in case he gets asked about "heat equation on a cylinder"! Something smells fishy here, where are these financial types located, area 51?
                  We need seperate human-only games for MP/PBEM that dont include the over-simplifications required to have a good AI
                  If any man be thirsty, let him come unto me and drink. Vampire 7:37
                  Just one old soldiers opinion. E Tenebris Lux. Pax quaeritur bello.

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                  • #24
                    Solving a heat eq. on cyl. = easy. The hard part comes when he starts throwing in curveballs.

                    BTW, the process is as follows:

                    Stock/commodity/interest rates/etc. prices are random -> They follow brownian motion -> They obey the diffusion/heat equation (sort of) -> All other claims BASED on those prices also obey some version of the heat equation, or can be made to look like they do if you squint hard enough -> The solution to the heat equation in a cylinder is bessel functions -> This guy did research on numerical methods involving bessel functions -> He will ask me to solve the heat eqn on a cylinder
                    12-17-10 Mohamed Bouazizi NEVER FORGET
                    Stadtluft Macht Frei
                    Killing it is the new killing it
                    Ultima Ratio Regum

                    Comment


                    • #25
                      Originally posted by chequita guevara View Post
                      Why can't KH use his knowledge for good, instead of evil?
                      The economy doesn't plan itself. A commie should know that.
                      12-17-10 Mohamed Bouazizi NEVER FORGET
                      Stadtluft Macht Frei
                      Killing it is the new killing it
                      Ultima Ratio Regum

                      Comment


                      • #26
                        He could use his knowledge to help solve the mysteries of the universe. Instead, he's going to help the capitalists rape America.
                        Christianity: The belief that a cosmic Jewish Zombie who was his own father can make you live forever if you symbolically eat his flesh and telepathically tell him you accept him as your master, so he can remove an evil force from your soul that is present in humanity because a rib-woman was convinced by a talking snake to eat from a magical tree...

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                        • #27
                          I'm going to do far more social good in finance than in a physics department.

                          12-17-10 Mohamed Bouazizi NEVER FORGET
                          Stadtluft Macht Frei
                          Killing it is the new killing it
                          Ultima Ratio Regum

                          Comment


                          • #28
                            Originally posted by KrazyHorse View Post
                            Solving a heat eq. on cyl. = easy. The hard part comes when he starts throwing in curveballs.

                            BTW, the process is as follows:

                            Stock/commodity/interest rates/etc. prices are random -> They follow brownian motion -> They obey the diffusion/heat equation (sort of) -> All other claims BASED on those prices also obey some version of the heat equation, or can be made to look like they do if you squint hard enough -> The solution to the heat equation in a cylinder is bessel functions -> This guy did research on numerical methods involving bessel functions -> He will ask me to solve the heat eqn on a cylinder
                            That's what he wants you to think. Bone up on spherical harmonics too.
                            "Beware of the man who works hard to learn something, learns it, and finds himself no wiser than before. He is full of murderous resentment of people who are ignorant without having come by their ignorance the hard way. "
                            -Bokonon

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                            • #29
                              Spherical harmonics are fine. I will Wigner 3j symbol his ass.
                              12-17-10 Mohamed Bouazizi NEVER FORGET
                              Stadtluft Macht Frei
                              Killing it is the new killing it
                              Ultima Ratio Regum

                              Comment


                              • #30
                                I wrote a gaussian smoothing kernel in a basis of Ylm about 3-4 years ago. It was awesome. Then I found out that everybody just uses flat space kernels.
                                12-17-10 Mohamed Bouazizi NEVER FORGET
                                Stadtluft Macht Frei
                                Killing it is the new killing it
                                Ultima Ratio Regum

                                Comment

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