josedoug的博客

High dimensional parameter space means : p>>np>>np>>n. Sparsity: the parameter vector has many zero elements. It means the parameter resides in a subspace. When the ...

趁看GH在Risk.net发表的有关quanto skew文章的契机写这篇文章介绍衍生品定价的基本理论。 我们从大家都会的一则公式开始： S0=∑ST⋅DT⋅P{S_0} = \sum {S_T\cdot D_T\cdot \mathbb{P}} S0​=∑ST​⋅DT​⋅P 其中STS_TST​是未来价格，DTD_TDT​是折现系数，P\mathbb{P}P是概率。引入概率就说明未来价格是可以是...

(From Diary March 11, 2017) reading a paper while at a banquet tonight (Bates 1993) The paper starts with marking a distinction between SR and NLP. SR is a well defined problem and effectiveness of me...