L*******t
发帖数: 2385 | 1 Analysis, Geometry and Modeling in Finance，有人读过吗？
回国的飞机上和这个寒假都有事情做了。。 |
H****g
发帖数: 157 | |
L*******t
发帖数: 2385 | 3 坐飞机会紧张，干点别的不是可以分散注意力嘛。。
【在 H****g 的大作中提到】
: 真用功。。。
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t********t
发帖数: 1264 | |
L*******t
发帖数: 2385 | 5 对的，大牛啊，为啥都是法国人呢。。
【在 t********t 的大作中提到】
: 大金工 of the year
|
l********g
发帖数: 18 | 6 他是大牛，我在法国读书，知道他。楼主有电子版的么？ |
L*******t
发帖数: 2385 | 7 只有纸质啊，花了160刀买了两本书，幸好马上要回国，可以投奔父母了。。。
你去Abebook看看，有没有便宜的版本。。。
你也是读大金工的嘛？
【在 l********g 的大作中提到】
: 他是大牛，我在法国读书，知道他。楼主有电子版的么？
|
s*****u
发帖数: 164 | 8 翻过,个人感觉,不伦不类,没啥意思
【在 L*******t 的大作中提到】
: Analysis, Geometry and Modeling in Finance，有人读过吗？
: 回国的飞机上和这个寒假都有事情做了。。
|
s*****u
发帖数: 164 | 9 电子版,我有...
【在 l********g 的大作中提到】
: 他是大牛，我在法国读书，知道他。楼主有电子版的么？
|
L*******t
发帖数: 2385 | 10 里面的微分几何和expansion吸引了我的眼球
我原来就是搞微分几何的，现在在搞expansion，未来也会搞一些微分几何的金融应用。
所以这本书，对我胃口啊。。
【在 s*****u 的大作中提到】
: 翻过,个人感觉,不伦不类,没啥意思
|
|
|
L*******t
发帖数: 2385 | 11 ┗|｀O′|┛ 嗷~~。。。。。
我花了好多钱买的。。。
【在 s*****u 的大作中提到】
: 电子版,我有...
|
s*****u
发帖数: 164 | 12 搞研究估计看着有点意思，但我怀疑现实交易和银行系统里面真会用到这些比较 fancy
的方法。
用。
【在 L*******t 的大作中提到】
: 里面的微分几何和expansion吸引了我的眼球
: 我原来就是搞微分几何的，现在在搞expansion，未来也会搞一些微分几何的金融应用。
: 所以这本书，对我胃口啊。。
|
s*****u
发帖数: 164 | 13 我老板都知道我有各种电子书，^_^
【在 L*******t 的大作中提到】
: ┗|｀O′|┛ 嗷~~。。。。。
: 我花了好多钱买的。。。
|
L*******t
发帖数: 2385 | 14 现在只图搞点新鲜的研究。。
fancy
【在 s*****u 的大作中提到】
: 搞研究估计看着有点意思，但我怀疑现实交易和银行系统里面真会用到这些比较 fancy
: 的方法。
:
: 用。
|
t********t
发帖数: 1264 | 15 他的bonus有一米拎吗？
【在 L*******t 的大作中提到】
: 对的，大牛啊，为啥都是法国人呢。。
|
L*******t
发帖数: 2385 | 16 母鸡呀
【在 t********t 的大作中提到】
: 他的bonus有一米拎吗？
|
r**a
发帖数: 536 | 17 same feeling here.
If you are interested in the detailed derivation of Hagan's SABR model, it
is helpful. However, if you are trying to apply this kind of tech to other
real models, you will meet many problems. The framework of geometry and
stochastic process had been done long long time ago. The first difficulty
you are facing is the close-form solution of heat equation on manifold
corresponding to the SDE system, if you want to apply this tech in reality.
The close-form solution of heat equation on manifolds is a very hard problem
even for geometry experts.
You may learn it if you are interested. However, I personally do not think
this direction is a good one to follow. My philosophy for the applied
disciplines is no matter what tools you use, as long as you can solve the
problem. Do not try to say I want to apply ... to ... It is not a good
research style in my opinion. I was really like you when i started my master
program. I was thinking that i would like to apply ... to ... But later on
as more knowledge is accumulated, i found this kind of idea is very naive.
【在 s*****u 的大作中提到】
: 翻过,个人感觉,不伦不类,没啥意思
|
L*******t
发帖数: 2385 | 18 欧克，你是说除了SABR以外这个方法很难应用对吧。
我已经develope了一个方法，基本上所有大家喜欢的模型我都可以做expansion了。
而且不是small time expansion。如果我理解没错，Labordere的方法就是small time
expansion。。
看着本书其实就是想沙里淘金，一方面以前没接触过你说的几何和SDE的关系，觉得比
较有趣，还有一个就是想看看能不能contribute一些ideas。。
我现在能想到一些拓展Heat kernel expansion的方法，不过还需要试一试。
曾经想过，在博士研究的初级阶段，develop一些tools，等成熟以后就开始逐一去解那
些前人没有解决的问题，现在看来，光是develop tools就能把剩下的2年半全花掉。哎
。。。
一个月写一篇文章不难，但是要让导师满意，难上加难。。
.
problem
【在 r**a 的大作中提到】
: same feeling here.
: If you are interested in the detailed derivation of Hagan's SABR model, it
: is helpful. However, if you are trying to apply this kind of tech to other
: real models, you will meet many problems. The framework of geometry and
: stochastic process had been done long long time ago. The first difficulty
: you are facing is the close-form solution of heat equation on manifold
: corresponding to the SDE system, if you want to apply this tech in reality.
: The close-form solution of heat equation on manifolds is a very hard problem
: even for geometry experts.
: You may learn it if you are interested. However, I personally do not think
|
r**a
发帖数: 536 | 19
time
You missed the point. If Hagan or Labordere's method is only small time
expansion, how can you imagine the formulas can be applied to 30Y swaption?
You should read paper and books more carefully and think more deeply. Hagan'
s method is operator perturbation. But you need to find what operator he is
perturbing and why the perturbation works.
The heat kernel expansion heavily depends on what heat equation you are
talking about. Based on your words, I may naively guess that you are talking
about the heat kernel on the flat Euclidean space, which is much easier
than what Hagan or Labordere did. That's the difficulty i am talking. Ask
yourself how to expand the heat kernel based on curved manifolds.
Although I doubt your words "我已经develope了一个方法，基本上所有大家喜欢的
模型我都可以做expansion了。而且不是small time expansion", I choose to trust
you here and not to argue anything about your words and work. (The modern
physics is actually based on perturbation of operator and asymptotic
expansion. If you can find a way to extend this thing, you will gain lots of
awards.) However, again, ask yourself why you want to do some research on
expansion. What kind of problems you want to solve. For doing research,
motivation is the most important thing than the tech.
哎
【在 L*******t 的大作中提到】
: 欧克，你是说除了SABR以外这个方法很难应用对吧。
: 我已经develope了一个方法，基本上所有大家喜欢的模型我都可以做expansion了。
: 而且不是small time expansion。如果我理解没错，Labordere的方法就是small time
: expansion。。
: 看着本书其实就是想沙里淘金，一方面以前没接触过你说的几何和SDE的关系，觉得比
: 较有趣，还有一个就是想看看能不能contribute一些ideas。。
: 我现在能想到一些拓展Heat kernel expansion的方法，不过还需要试一试。
: 曾经想过，在博士研究的初级阶段，develop一些tools，等成熟以后就开始逐一去解那
: 些前人没有解决的问题，现在看来，光是develop tools就能把剩下的2年半全花掉。哎
: 。。。
|
L*******t
发帖数: 2385 | 20 俺的方法，不能透露更多了。现在还在finalize这个文章，在这个领域有哪些奖可以申
请的呀？
?
Hagan'
is
talking
【在 r**a 的大作中提到】
:
: time
: You missed the point. If Hagan or Labordere's method is only small time
: expansion, how can you imagine the formulas can be applied to 30Y swaption?
: You should read paper and books more carefully and think more deeply. Hagan'
: s method is operator perturbation. But you need to find what operator he is
: perturbing and why the perturbation works.
: The heat kernel expansion heavily depends on what heat equation you are
: talking about. Based on your words, I may naively guess that you are talking
: about the heat kernel on the flat Euclidean space, which is much easier
|
L*******t
发帖数: 2385 | 21 行家啊。。。
我先仔细把书看完，再和大牛讨论
?
Hagan'
is
talking
【在 r**a 的大作中提到】
:
: time
: You missed the point. If Hagan or Labordere's method is only small time
: expansion, how can you imagine the formulas can be applied to 30Y swaption?
: You should read paper and books more carefully and think more deeply. Hagan'
: s method is operator perturbation. But you need to find what operator he is
: perturbing and why the perturbation works.
: The heat kernel expansion heavily depends on what heat equation you are
: talking about. Based on your words, I may naively guess that you are talking
: about the heat kernel on the flat Euclidean space, which is much easier
|
