p********0
发帖数: 186 | 1 Assume we are using binomial to derive the short rate lattice
so we can calculate a bond price backward using q=1/2.
The 1/2 is the risk neutral pricing we get, where we get this 1/2,
is the 1/2 risk neutral probability?
===================================================
u 1.3
d 0.9
q 0.5
Short Rate 0.00 1.00 2.00 3.00 4.00 5.00
|
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l*****a
发帖数: 119 | 2 选课问题， 麻烦各位高人帮看看应该选那些。谢谢。
1. Mathematics of Finance
Binomial model of stocks, stochastic calculus, martingales and arbitrage,
Black-Scholes equation and pricing derivative securities, interest rate
modeling, introduction to portfolio risk management.
2. Applied Computational Finance
Overview of equity, fixed income and FX markets; summary of continuous time
financial modelling; pricing of vanilla and exotic derivatives; lattice
methods: binomial trees; Monte Carlo methods; numerical methods for |
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t*******0
发帖数: 33 | 3 考虑做quant,请版上诸位达人指点一下。
先说说我的背景：
Top 20 US university engineering PhD
主要做的 lattice fluid, Monte Carlo 之类 statistical thermodynamics 的东西。
会C++/Matlab, 但是一直以来写的程序都大同小异，所以编程的知识不全面，正在努力
加强。
面过两轮GS。那时候什么都不懂，也不知道该准备什么。Probability, BT, math,
algorithm之类的回答得还可以,后来被问到Greeks,volatility就完全不知道了。
现在在看option pricing. Heard on Street 还有Zhou的书已经看过了。
打算再用两个月的时间把基础好好巩固一下。
现在心里没什么底，我这样的容易拿到面试吗？感觉学校虽然不差，但也不是Top 3的
牛校。也没有修过finance相关的课。我是不是应该争取到business school搞
derivative pricing的教授那里做个volunteer什么的？同时也去旁听一下FE的课？
知道这里牛人 |
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b**********5
发帖数: 51 | 4 1. Which method is the best to price the long-term American put option?
Lattice Models – Binomial/Trinomial Tree (can adjust the change of interest
rate and dividend payments at the nodes). And how to use the Binomial Tree
model (elaborate the whole process of pricing using Binomial Tree model)?
2. For no matter what kinds of reasons we can’t price the one-year American
put. Here we have the prices of 1-month, 3-month, 6 month and 1-year
European put options. Should the price of the one-year Ame |
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w*******x
发帖数: 489 | 5 2. I guess:
(48-2)/48*1000=958
use 3,(3+1),4, or 2,2,2,2,(2+1) lattice to divide groups. we can use one
blank row that is the extra +1 come from. |
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w****g
发帖数: 206 | 6 Mechanical Engineering 的背景，非牛校，现在在一家小公司做Computational Fluid
Dynamic SDE。比较眼红quant，想move on，真诚请求版上牛人的建议。
本人对numerical method,PDE(Partial Differnetial Equations) solver,linear
solver 这些都很熟悉。对Monte Carlo simulation, Lattice Method 等也有一定的了
解（公司的产品有相关的solver，但我的工作还是解传统的PDE）。现在用的是
fortran95，对C++仅仅是书本上的了解。向大家讨教一下问题：
1，象我这样的BG，有多大的可能性上街？
2, 最需要补哪一方面的知识，financial,statistics or CS(C++,Data Structure,
algorithm)? |
|
m*********g
发帖数: 646 | 7 1) Let X and Y be two gaussian random variables with N(0,a) and N(0,b),
respectively. X and Y are correlated with correlation \rho.
What is E (X − Y |2X + Y ) ?
2) For American option, when risk free interest rate increase, will it
increase the possibility of early excises?
(related question: When would people early exercise the American put option?
Increase of
interest rate ?)
3) \sum (N from 0 to infinity) N^2*a^N. a = constant
4) Which method is the best to price the long-term American ... 阅读全帖 |
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k*******d
发帖数: 1340 | 8 If it is a simple binomial model, a vector is enough, you do not need a 2-D
storage just update it backwards.
If it is a more complicated model, then it depends on the model, I guess.
Maybe flatten to a 1D vector, maybe vector of vectors of different sizes.
Note, there is no "matrix" in C++ |
|
D*********Y
发帖数: 3382 | 9 哦，我以为2D的array是matrix，原来不是啊？是不是因为不支持matrix运算？
什么叫“just update it backwards.”？
-D |
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k*******d
发帖数: 1340 | 10 什么是2D array? C++标准里面没有这个东西。 如果是vector >, 里面的
vector的长度是可以不一样的，same for T**.
Binomial tree运算过程从后向前，算过的不需要保留到最后 |
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D*********Y
发帖数: 3382 | 11 比如说int arrayname[2][4]. 这算啥？ |
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k*******d
发帖数: 1340 | 12 hmm.....这的确是C的2D array,不过实际中基本不用，我都忘了C里面还有这东西了 |
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D*********Y
发帖数: 3382 | 13 嗯，觉得可能是vector of vector的结构。俺去研究研究。
看的是duffy的书，可是买的书没有带CD。没有source code。很多都要自己修补。看能
不能补起来。 |
|
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h****e
发帖数: 2125 | 15 内幕交易获利超过2900万，怎么可能不被发现呢请问？？
“
As Comcast last year conducted secret talks about a potential acquisition of
DreamWorks Animation, five Chinese investors — including an elderly couple
in Beijing — acquired an enormous stake in the storytelling studio.
Over a three-week period ending on April 25, those five accounts purchased
more than 2.1m DreamWorks shares, amounting to nearly 17 per cent of all
trading in the stock, according to the Securities and Exchange Commission.&#
160;
When news of Comcast... 阅读全帖 |
|
c*****t
发帖数: 1879 | 16
learning X-Ray Crystallography? :)
Informations can be obtained are:
1. crystal unit cell dimensions. They can be easily calculated using
Braggs' law. Usually you take the smallest distance between dots
(for primary lattice).
2. The intensities of the dots. The variations in intensities for these
dots are influenced by what are in the cell. A simple view is that
the intensities are the Amplitude of the waves w/o the phase.
The real space image determines the reciprocal space :) |
|
f*x
发帖数: 7 | 17 Photonic crystals are three-dimensional dielectric structures with lattice
parameter on the order of the wavelength of light. This has a similar
influece on the propagation of light as atomic crystals have on electrons.
Thus, the dispersion relation of light can be desribed with band structures
in a Brillouin zone in recipocal space. Photonic crystals are being pursued
to obtain a range of forbidden frequncies--a photonic bandgap - in the
optical range. This has important quantum optical consequ |
|
s***e
发帖数: 911 | 18
你在国内没有上果量子力学吧. 这个进展应该说是合理的.
上统计物理的话, 这个进度也是很正常的. 而且到这部分结束的时候,
肯定已经有很多关于量子gas的计算, 高温低温展开, 维里展开了吧.
把二维的Ising model计算也上完了吗? 现在是半个学期吧. 要是半学期连2-d模型的
严格计算都上完了, 倒是挺快的. 平均场近似和朗道相变理论上了没有?
一年就多了. 应该是到基础系综理论+经典量子气体+Ising model+朗道相变理论+应用
性的project合起来一个学期(我们这里这部分算561).
你们这老师可能讲得不怎么好. 你同学们的反应怎么样? 我的体会是统计物理
一定要多作题才比较有体会.
Comfort. 关于经典系综理论, 可能任何一本教科书都介绍得很清楚.要说landau的上
册特别好, 但是作为匆忙的复习可能比较花时间. A.ISIHARA的Statistical Physics
的3,4,5章是经典系综理论+量子气体+cluster展开; 8章是lattice gas, 说不定有题目
要考; 关于Ising模型, 我推荐几本书:
1. Introducti |
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w***s
发帖数: 61 | 19 there is a metal lattice of unlimited size, you can think of it as many
squares connected with each other and with sides shared. the resistance of the
side of each small square is R, and the resistance of every side of squres is
equal. Now if you add voltage to one side, what's the measured resistance? |
|
s********k
发帖数: 107 | 20 suppose u wanna measure the resistance between A and B. First, imagin current
I flow into lattice through A, but no current flow out through B. Since
symmetry property, I(AB) = I/4. Similar, when only current I flow out B,
I(AB)=I/4.
Add 2 condition together, we know, I(AB)=I/2 |
|
g**h
发帖数: 15 | 21 In self-assembly semiconductor quantum dots, the literal size is around
10~50 nm and height around 5~10 nm. But it's very difficult to measure
the exact dot size and shape experimentally. The areal dot density is
around 10^9 cm-2 to 10^11 cm-2, you can use this data to estimate the
average separation between different dots. I don't know electron diffusion
length, give me some clue.
The most common growth technique for QDs is the strain-driven self-
assembly technique. For example, the lattice co |
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i*****u
发帖数: 26 | 22 Of course N~A^2 is not correct (I have tested for 1D case). The key point is
how the average repeat times at each trajectory depends on L, if the
relation is like: repeat times~A^b then your conclusion will not hold.
This problem is actually pretty difficult, you can make a search to see if it
is already solved by those statistics professionals but I think the
possibility is not high (they are not so interested in the lattice).
I suggest you first have a look on 1D case. This case is very simple |
|
d******w
发帖数: 164 | 23 各位朋友大家好，现在申请绿卡急需审稿机会，我的方向是Transport phenomena and
fluid dynamics, inkjet, CFD, additive manufacturing, Lattice Boltzmann,
printed electronics. 工程方向博士毕业两年，发过相关方向的文章二十来篇，审稿
一直都认真负责。
万分感谢。 |
|
d******w
发帖数: 164 | 24 各位朋友大家好，现在申请绿卡急需审稿机会，我的方向是Transport phenomena and
fluid dynamics, inkjet, CFD, additive manufacturing, Lattice Boltzmann,
printed electronics. 工程方向博士毕业两年，发过相关方向的文章二十来篇，审稿
一直都认真负责。
万分感谢。 |
|
q**j
发帖数: 10612 | 25 的主要优势在于哪些方面？因为statguy的问题完全可以用普通的命令解决。请问latti
ce的优势在于哪些方面？多谢。 |
|
l*****k
发帖数: 587 | 26 Thanks.
seems it worked like this:
library(lattice)
bwplot(x~factor(y), data=X,
panel = function(x,y) {
panel.xyplot(x,y, pch=, jitter.x=T, factor=1.5)
panel.bwplot(x,y, horizontal=F, notch=T, fill=c("green", "
red"))
}
)
The issues now are:
1. fill is not transparent, so the dots in box region are covered.
2. I am not sure about the xyplot's col, when I give it col=c("red", "green"
),
it seems to color dots randomly, instead of based on groups in |
|
b*******g
发帖数: 513 | 27 R lattice? I do not know.
14 |
|
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f*****r
发帖数: 70 | 29 gplot2 with heatmap function with tweak
ggplot2 with a lot manually tweak
lattice can do this too, but I am not very familar with.
For this heat map, you need at least:
length of chrome
segment info
density of each seg |
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t****a
发帖数: 1212 | 30 I think you can use sapply(1:100, function(i) {}) or for (i in 1:100) {...}
to implement your idea.
However, I don't understand the request of "然后把选的这100组数据作在一张图
里。". If you want to put everything in one figure, that is called "overplot
" since the figure would be totally not readable.
If you want to put them into different "panel" (for example, 10 rows x 10
cols panels), you probably want to try "lattice" package to do this. My
suggestion is: why not use some descriptive statistics (such as mea... 阅读全帖 |
|
t****a
发帖数: 1212 | 31 You cannot put all histogram into one figure.
If you try to put them into one jpg file or one pdf page, use jpeg() or pdf(
), and then layout(matrix(1:100,10,10)) before the loop and use dev.off()
after the loop. Take a look at layout(), jpeg(), pdf() function before start
doing this.
If you want to put all figures in 100 separated pages, simply use pdf()
before loop and dev.off() after loop.
You may want to try more advanced techniques such as histogram() in lattice
package. It would simply gen... 阅读全帖 |
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g**c
发帖数: 84 | 32 你说得对，用hist没法把所有得线画到一张图里。 我现在用plot然后par(new=T)最后
加个循环画线就可以了。谢谢！
pdf(
start
lattice |
|
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B******5
发帖数: 4676 | 34 lattice里面的cloud或者wireframe |
|
l*******h
发帖数: 151 | 35 Maybe you can try ggplot2 and Lattice graphic packages in R. Those packages
can generate beautiful graphs. Let me know if you have any further question. |
|
t*********e
发帖数: 112 | 36 lattice plot or ggplot2 package? |
|
y*****w
发帖数: 1350 | 37 I was running the JM package in R for a joint model for longitudinal and
survival data. I could successfully run the lme() function (for the mixed
model) and the coxph() function (for the Cox model) separately, but when I
ran the JointModel() function, the program returned the following error
message:
Error in fitter(X, Y, strats, offset, init, control, weights = weights, :
Can't fit a Cox model with 0 failures
I double checked my data and there was no any irregular point. What's the
meaning ... 阅读全帖 |
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t****a
发帖数: 1212 | 38 刚刚看了一下这个链接，想说一下我的感觉。事先申明，我不太懂SAS图形系统，如果
有错误，请指出，谢谢。
1、那些图中缺少展示高维数据的办法。而data mining过程中常常很需要使用这种技术
来快速找到突破口。R的grid based graphics系统就是做这个的。具体可以参考
lattice graphics的书。
2、没有看到The grammar of graphics理论的应用。这种理论把绘图分为多个层次，比
如data, geom, facet, axis, etc。通过这种理论可以制作出信息含量很高的图，比如
在SAS里需要多个图才能说明的问题用一个图说明。具体可以参考hadley的ggplot2书。 |
|
h***i
发帖数: 3844 | 39 learn something about lattice package would be helpful! |
|
e*****s
发帖数: 273 | 40 par(mfrow=c(2,5))
或者用楼上说的lattice |
|
t*****w
发帖数: 254 | 41 When I had my job interview, they always tested my SAS skill.However I use R
all the time. To help your preparation, read my R codes to see how much you
can understand it.
%in%
?keyword
a<-matrix(0,nrow=3,ncol=3,byrow=T)
a1 <- a1/(t(a1)%*%spooled%*%a1)^.5 #standadization in discrim
a1<- a>=2; a[a1]
abline(h = -1:5, v = -2:3, col = "lightgray", lty=3)
abline(h=0, v=0, col = "gray60")
abs(r2[i])>r0
aggregate(iris[,1:4], list(iris$Species), mean)
AND: &; OR: |; NOT: !
anova(lm(data1[,3]~data1[,1... 阅读全帖 |
|
p***r
发帖数: 920 | 42 1. dplyr is not as fast as data.table.
2. ggplot2 is not as efficient as lattice, and one single plots consumes a
lot of memory |
|
l***y
发帖数: 4671 | 43 去做实际的项目。R 不是靠学的。
而且R的精髓之一是各种包。比如说，d3.js就有还不错的R包可以用。做图论的经典C包
，在R下面的igraphy就支持的相当好。
画图更是博大精深，传统的三个流派，basic，ggplot，lattice，各有千秋又对数据的
格式要求很不一样。
还有网页内嵌，也是若干个流派。
大规模并行计算也是好几个流派。
还是那句话，去做实际的项目。我的学生学R，从来都是二十分钟搞定，剩下的时间都
是在实际课题中学习如何地道的用包做东西。换个课题，又是有大量的R编程的东西要
重新学起。没有做过项目的，根本不算会用R。 |
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p***r
发帖数: 920 | 44 Like any other language, the best way is learn by use it. Be creative in
thinking of a practical project and solve it using R and try to optimize the
code then. You will learn a lot fast in this way.
From a biology background, you there is a lot of stuff you can do using R.
The same if you are interested in other topic (trading, finance etc). The
key is you need to be created and use imagination.
I would recommend you focus on two packages to start with.
1. data.table: very quick and fast in han... 阅读全帖 |
|
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S********a
发帖数: 1163 | 46 材料成本 $70。post 2x3, plank 1x2。本来想买 4x4 post，太沉了，虽然稳，但是太不好 handle. vinyl lattice 4x8
先 build the frame, free standing;
prime then paint;
then install screen, side screen just screw it up, front screens 做成两扇门
，front frame 上钉两钉子，然后门挂上去，省去弄 hook/eye hardware 了。
没有 bolt 到墙上去，怕弄坏墙壁，就 free standing 的，screen 用锁和邻居的栏杆
锁在一起，就不怕偷啦。 |
|
e******a
发帖数: 176 | 47 looks great.
are you using interior paint for outdoor?
太不好 handle. vinyl lattice 4x8 |
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w*******y
发帖数: 60932 | 48 Link:
http://www2.jcpenney.com/jcp/XGN.aspx?DeptID=70735&CatID=72559&SO=0&Ne=904 1031 4&x5view=1&shopperType=G&N=4294953072&Nao=0&PSO=0&CmCatId=70735|72559&mscssid=61e9865e0363e4106bd7a8888cc8b220fxMnVNoV5a3oxMnVNoV5a3W200B601EE1AFD3B16FD3674E21F7AA1E26231035612
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w*******y
发帖数: 60932 | 49 DOTD - should go all weekend, as the Friday DOTDs usually do.
Twin, Full/Queen,
Link:
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w*******y
发帖数: 60932 | 50 Thanksgiving Day Deal - Just got this in an email and I've already picked up
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