i**w
发帖数: 71 | 1 有同学提到了implied distribution，非常有道理.
首先简单的lognormal或者normal是不够用的，书上也都提到过为什么不够用，最直接
的就是volatility smile。可以加上些东西，比方说stochastic vol, 或者jump。或者
其他很丑的东西，比如一个简单的cut off,或者分段(把lognormal和normal mix在一块
儿)，这样就可以解决价格是付的问题。(丑不要紧，能用就行)
接着就是去fit market了，简单地说就是拿你觉得重要的market price(各种ATM price
或者其他的)作为target,fit出来model里的参数。其实就是去approximate market
implied distribution. 因为这个distribution肯定是奇奇怪怪，不是什么简单的解析
的函数，所以从另一方面也justify了上面模型的奇奇怪怪。
总而言之，normal/lognormal都是实际上用的模型的building block,所以还是要稍微
懂一些的。但是因为lognormal本身的一些好的性质，它作... 阅读全帖 |
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A*****s
发帖数: 13748 | 2 到底啥样是normal model啊？
dS = u dt + vol dW?
normal model会造成负数的价格。。。至少比起lognormal来说完全不valid吧。。。
lognormal的challenge也就是在fitting的层面上
normal的challenge都在本质特性上的inconsistency了 |
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i**w
发帖数: 71 | 3 有同学提到了implied distribution，非常有道理.
首先简单的lognormal或者normal是不够用的，书上也都提到过为什么不够用，最直接
的就是volatility smile。可以加上些东西，比方说stochastic vol, 或者jump。或者
其他很丑的东西，比如一个简单的cut off,或者分段(把lognormal和normal mix在一块
儿)，这样就可以解决价格是付的问题。(丑不要紧，能用就行)
接着就是去fit market了，简单地说就是拿你觉得重要的market price(各种ATM price
或者其他的)作为target,fit出来model里的参数。其实就是去approximate market
implied distribution. 因为这个distribution肯定是奇奇怪怪，不是什么简单的解析
的函数，所以从另一方面也justify了上面模型的奇奇怪怪。
总而言之，normal/lognormal都是实际上用的模型的building block,所以还是要稍微
懂一些的。但是因为lognormal本身的一些好的性质，它作... 阅读全帖 |
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k*****y
发帖数: 744 | 4 正在看C++ design patterns and derivatives pricing。
有没有大牛能帮忙稍微解释一下Beasley-Springer/Moro的inverse normal算法，和后
面一个normal的cdf算法，那些常数大概是怎么得来的？Thanks. |
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x***u
发帖数: 336 | 5 the matrix with your desired property is called doubly stochastic matrix.
First for an arbitrary matrix you can't always be able to normalize it, say,
the first column is all 1's, and all the other entries are 0.
if you just want to find a doubly stochastic matrix close to the original one,
There is a simple algorithm to do that:
randomly pick up a row and normalize it
ramdomly pick up a column and normalize it
repeat until the matrix is close to what you want.
This algorithm is proved to be con |
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e****c
发帖数: 183 | 6 【 以下文字转载自 Mathematics 讨论区 】
发信人: ecosoc ( ), 信区: Mathematics
标 题: 一个normal distribution 加一个truncated normal distribution 是什么distribution？
发信站: BBS 未名空间站 (Tue Mar 17 22:08:24 2009)
比如一个 N （0，alpha)。另一个N (x, beta), 但是这第二个distribution 只在s 和
t 之间。这两个distribution 加起来，是什么样子？ |
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t****r
发帖数: 702 | 7 并不一定吧。如果（x1,x2）是联合normal， 让x3=x1+x2， 那么（x1，x3）,(x2,x3)都
是joint normal的，但是（x1,x2,x3）就不是了吧。 |
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s******u
发帖数: 21 | 8 嗯，可能不是joint normal了; 如果是的话，any linear combination of x1, x2 ,x3
is
a*x1+b*x2+c*x3= (a+c)x1+(b+c)x2 就是normal;但是当c=-a=-c，等于0？ |
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t****g
发帖数: 715 | 9 Hi Guys,
There exist so many formal tests for normality (see below). Which test can
be considered "optimal"?
I am an outsider of the statistics literature, but have a simple application
in hand. With n i.i.d data, I want to test for normality. A quick look
at these tests confuses me: there are too many of them.
Which is the best:
D'Agostino's K-squared test, the Jarque–Bera test, the Anderson–Darling
test, the Cramer–von-Mises criterion, the Lilliefors test for normality (
itself an adaptation o |
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k*******a
发帖数: 772 | 10 Y=XB+error,XB是fixed的，如果error normal的话，Y当然也是normal
Y1,Y2...Yn相当于multivariate normal distribution的一组sample |
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t****r
发帖数: 702 | 11 Let Z=-X, then (X,Y) bivariate normal and (Y,Z) bivariate normal does not im
ply (X,-X) is normal. |
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h***i
发帖数: 3844 | 12 。。。。。。
A random vector X = (X1, …, Xk)′ is said to have the multivariate normal
distribution if it satisfies the following equivalent conditions
[1]:
* Every linear combination of its components Y = a1X1 + … + akXk is
normally distributed. That is, for any constant vector a ∈ Rk, the random
variable Y = a′X has a univariate normal distribution. |
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t****r
发帖数: 702 | 13 Suppose X has a normal distribution with expected value 0 and variance 1. Le
t W = 1 or -1, each with probability 1/2, and assume W is independent of X.
Let Y = WX. Then
1. X and Y are uncorrelated;
2. Both have the same normal distribution; and
3. X and Y are not independent.
Thus, (X,Y) is NOT bivariate normal.
From http://en.wikipedia.org/wiki/Normally_distributed_and_uncorrelated_does
_not_imply_independent |
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y*****u
发帖数: 224 | 14 yes. mean and var is known. I want to know how far the distribution of the
data set is close to normality.
For example, a set of data from norm distribution (10, 1) should not be
taken as a normal distribution of (0, 1). I need to test the normality in
that case |
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l**********8
发帖数: 305 | 15 同事发我的email， 请教大家的见解？
The p-value tests for Normality (kolmogrov-smirnov and shapiro-wilks) are
good indicators of whether data are truly Normal, but the are NOT good
indicators of whether you can use the data in ANOVA or Regression. These
tests will always be significant for large sample sizes, even if the data
are only slightly skewed, and the ANOVA is robust to non-normality for large
sample-sizes from the central limit theorem (even only n=11), meaning your
final conclusions and p-values are ... 阅读全帖 |
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m********8
发帖数: 32 | 16 以下是一点个人见解，说的不对还请指教。
Linear Regression的一个基本假设就是error term必须iid服从正态分布N(0, sigma2)
。由此可以推得y也必须iid服从正态分布N(X*beta, sigma2)。
但是对y做Normality检验并不是Linear Regression的前提，因为对于不同的y来说，X*
beta不同，也就是说这些y服从的是mean彼此不同，方差相同的正态分布。在不知道每
一个y对应的mean的前提下，对y做Normality检验的结果是没有意义的。
换句话说，假设Linear Regression的model成立，y服从正态分布N(X*beta, sigma2)。
但如果X*beta本身的skewness很大，可以想象y的skewness也会很大，此时对y做
Normality检验，检验结果显然是false的。 |
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l*******s
发帖数: 1258 | 18 感觉lz真正的目的不是在于如何normalize euclidean，而是如何normalize data
这就是另一个topic了，解决了这个，啥euclidean都不是问题。
但是是个大的topic，比如如何把数据都弄成mean为0，variance在-1 1之间；要不要假
设服从normal分布等。 |
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D*A
发帖数: 1169 | 21 I like to play online tournament, but i can not afford the normal speed of
15 minutes blind period, one MTT can take a whole night,
So i always choose turbo, which is much fast, but turbo are not stable as
normal.
in normal MTT, i almost always can get in money circle
but for Turbo MTT, i always been wiped out out of circle,
so i can choose SNG, in which case i can get in money 1 out of 3 or more
but i can not get much profit. |
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m***c
发帖数: 1403 | 23 我只能说，你说的这两种情况都不normal,你跟你advisor的情况更不normal一些，
很少老板对学生帮到这个程度的。 |
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Y*****2
发帖数: 38613 | 24 很normal
需要上面头签字，有人不在就等了。。。
大公司都这样
[在 ExpressoLove (MoneyForNothing) 的大作中提到：]
:Sorry, I can't input Chinese here.
:I got a verbal offer on Monday. Today is Friday and I still didn't get
the
:letter yet. The HR said it is simply in approval. Everything seems to be
:normal. But you know, waiting for an offer is kind of torture.
:Thanks. |
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f******e
发帖数: 2888 | 25 现在18周，已经重了5镑了（她那儿是3磅，因为第一次去前已经重了2磅了）
说一般人20周前体重没有明显变化。
当然我还属于正常。就是以后要eat normally.
听了沮丧呀，自己早孕反映一塌糊涂。就最近两周反应小点，体重就增加了，
关键是自己本来体重的基数就大。
而且要eat normally谈何容易，成天好饿，一天吃好几顿，睡前肯定要吃点。然后以前
喜欢吃的蔬菜都吃不下，家里的蔬菜基本以烂掉为主。
唉。。。 |
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D*********Y
发帖数: 3382 | 26 My daughter has been attending the same daycare since when she was 5 months
old. She graduated from two infant classes and now this one is her 3rd one.
Every morning when we send her to the class which she has been there for
about 4 months, she refuses to say goodbye. (She used to say byebye for a
certain period.) No matter how we (including the careprovider) encourage her
, she just does not say byebye and does not want to look at us. She stands
still, observes around or plays toys. I can tell ... 阅读全帖 |
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s***g
发帖数: 75 | 27 Shoprunner Free For a YEAR ($79 normally) For New Members Through Facebook!
Found this on Facebook from Drugstore.com. Shoprunner is free for a year
for a limited time from Drugstore.com. Savings of $79 normal membership
price and unlimited 2 day shipping from participating stores. This applies
to new members of Shoprunner only.
https://www.facebook.com/drugstore.com?sk=app_144891295523501 |
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W*****b
发帖数: 85 | 28 Postdoctoral Position Available to Study Epigenetic Regulation in
Normal and Pathological Development
Epigenetics, the mechanism that defines gene expression pattern
without changing DNA sequences, provides cells with transcriptional
memory to allow the transmission of gene expression patterns during cell
division, and with developmental flexibility to permit reprogramming of
gene expression patterns during embryogenesis. The far-reaching
consequences of epigenetics on normal development and pat |
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i******y
发帖数: 7 | 29 I have a PhD in Materials Engineering and worked for this company (NYSE
listed) for 7 years. My starting salary is 68000 and now I am a Sr. Engineer
and am making 85000 + 10% bonus. I am in NY state, about 50 miles from
Buffalo. Because salary is a sensitive topic, I never talked to my coworker
or even my friends how much they are making. But I am very curious if my
salary is at normal level or should I switch job to make more? If it is a
little lower than normal, I am ok and don't want to chang |
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f*****g
发帖数: 15860 | 30 not very normal, but still normal.
some guys join and quit in weeks, and cause companies headaches/costs.
of |
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p*******q
发帖数: 472 | 31 RD February. 例行公事回答，唯一的新进展是有io的number,不知道这个靠谱不？
U.S. Department of Homeland Security
P. O. BOX 851488 - DEPT. A
TEXAS SERVICE CENTER
MESQUITE,TX 75185
U.S. Citizenship and Immigration Services
Monday, September 29, 2014
Emailed to [email protected]
(function(){try{var s,a,i,j,r,c,l,b=document.getElementsByTagName("script");l=b[b.length-1].previousSibling;a=l.getAttribute('data-cfemail');if(a){s='';r=parseInt(a.substr(0,2),16);for(j=2;a.length-j;j+=2){c=parseInt(a.substr(j,2),16)^r;s+=String.from... 阅读全帖 |
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p***8
发帖数: 1081 | 33 I talked with Mr. O and Mrs.L .
1. There are normal visa number for EB2CI. not many, just normal
2. Oct VB will move on.
3. pending 485 data will be published soon. |
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j*********r
发帖数: 200 | 34 正在考虑要不要搬到Normal。请问那里有华人超市么？黑人多不多，生活在Normal安全
吗？
多谢！ |
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t****d
发帖数: 3204 | 35 【 以下文字转载自 Living 讨论区 】
发信人: thhddd (事到如今), 信区: Living
标 题: is 5k closing cost normal for highrise condo?
发信站: BBS 未名空间站 (Tue Dec 6 14:27:00 2011, 美东)
the development company tell me if i choose their title company, ill get 1%
of my purchase price toward the closing cost
and their estimate closing cost is around 5k, including title insurance and
everything, is this normal? sounds a little bit high for me
btw i dont need loans |
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O******e
发帖数: 734 | 36 What is normal? I don't feel normal. No Ma'am, not yet.
Somebody tell a joke, and save me, please. . .
I need a good laugh, not to be laughed at. Damn Jay Leno! |
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Y**s
发帖数: 1632 | 37 "...and we will be restoring normality just as soon as we are sure of what
is normal anyway"
hehe... great book :) |
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l**********t
发帖数: 5754 | 38 Normal Christian Life by 倪柝聲 (Watchman Nee)
Table of Contents
Chapter 1: The Blood of Christ
Chapter 2: The Cross of Christ
Chapter 3: The Path of Progress: Knowing
Chapter 4: The Path of Progress: Reckoning
Chapter 5: The Divide of the Cross
Chapter 6: The Path of Progress: Presenting Ourselves to God
Chapter 7: The Eternal Purpose
Chapter 8: The Holy Spirit
Chapter 9: The Meaning and Value of Romans Seven
Chapter 10: The Path of Progress: Walking in the Spirit
Chapter 11: One Body in Christ
... 阅读全帖 |
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l**********t
发帖数: 5754 | 39 Chapter 1: The Blood of Christ
What is the normal Christian life? We do well at the outset to ponder this
question. The object of these studies is to show that it is something very
different from the life of the average Christian. Indeed a consideration of
the written Word of God—of the Sermon on the Mount for example—should lead
us to ask whether such a life has ever in fact been lived upon the earth,
save only by the Son of God Himself. But in that last saving clause lies
immediately the answe... 阅读全帖 |
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l**********t
发帖数: 5754 | 40 Chapter 2.1 Some Further Distinctions
Two aspects of the resurrection are mentioned in the two sections, in
chapters 4 and 6. In Romans 4:25 the resurrection of the Lord Jesus is
mentioned in relation to our justification: “Jesus our Lord... was
delivered up for our trespasses, and was raised for our justification.”
Here the matter in view is that of our standing before God. But in Romans 6:
4 the resurrection is spoken of as imparting to us new life with a view to a
holy walk: “That like as Chr... 阅读全帖 |
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l**********t
发帖数: 5754 | 41 Chapter 3.2 The First Step: “Knowing This...”
The normal Christian life must begin with a very definite ‘knowing’, which
is not just knowing something about the truth nor understanding some
important doctrine. It is not intellectual knowledge at all, but an opening
of the eyes of the heart to see what we have in Christ.
How do you know your sins are forgiven? Is it because your pastor told you
so? No, you just know it. If I ask you how you know, you simply answer, ‘I
know it!’ Such knowledge com... 阅读全帖 |
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l**********t
发帖数: 5754 | 42 Normal Christian Life by 倪柝聲 (Watchman Nee)
Table of Contents
Chapter 1: The Blood of Christ
Chapter 2: The Cross of Christ
Chapter 3: The Path of Progress: Knowing
Chapter 4: The Path of Progress: Reckoning
Chapter 5: The Divide of the Cross
Chapter 6: The Path of Progress: Presenting Ourselves to God
Chapter 7: The Eternal Purpose
Chapter 8: The Holy Spirit
Chapter 9: The Meaning and Value of Romans Seven
Chapter 10: The Path of Progress: Walking in the Spirit
Chapter 11: One Body in Christ
... 阅读全帖 |
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l**********t
发帖数: 5754 | 43 Chapter 1: The Blood of Christ
What is the normal Christian life? We do well at the outset to ponder this
question. The object of these studies is to show that it is something very
different from the life of the average Christian. Indeed a consideration of
the written Word of God—of the Sermon on the Mount for example—should lead
us to ask whether such a life has ever in fact been lived upon the earth,
save only by the Son of God Himself. But in that last saving clause lies
immediately the answe... 阅读全帖 |
|
l**********t
发帖数: 5754 | 44 Chapter 2.1 Some Further Distinctions
Two aspects of the resurrection are mentioned in the two sections, in
chapters 4 and 6. In Romans 4:25 the resurrection of the Lord Jesus is
mentioned in relation to our justification: “Jesus our Lord... was
delivered up for our trespasses, and was raised for our justification.”
Here the matter in view is that of our standing before God. But in Romans 6:
4 the resurrection is spoken of as imparting to us new life with a view to a
holy walk: “That like as Chr... 阅读全帖 |
|
