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6

Check Noncommutative Geometry and Stochastic Calculus: Applications in Mathematical Finance


5

Well in my opinion a good parallel can be made between sport betting and bookmakers on the one hand and derivative pricing and market makers of those derivative on the other hand. I'll try to explain that if I can. If you are given a set of bookmakers taking bets for let's say one underlying outcome and that they quote this event as a percentage (as for ...


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An insurer might model the filing of claims as a Poisson process, but the cumulative amount of the claims as a compound Poisson process. As an example, suppose a company has issued a large large number of auto liability policies that are geographically dispersed and have identical limits and driver risk profiles. The incidence of claims being made by ...


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If I was in your position I would start to research how I can create a web server is C++ and expose calls to create a REST service. In other words, can you make your code status output to HTTP? From there, the rest should be easy. You would just need to create a GUI that can access REST services, which virtually all modern languages can. You could focus on ...


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There are certain overlaps. One example is the so called favourite-longshot-bias. Some authors like Ziemba, Tomkins and Hodges try to combine both fields: see e.g.: http://en.wikipedia.org/wiki/Favourite-longshot_bias http://www.nccr-finrisk.uzh.ch/media/pdf/ziemba.pdf http://favourite-longshot-bias.behaviouralfinance.net/ Another field is arbitrage ...


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Well the problems where Malliavin Calculus is applicable are mostly regarding greeks of exotic derivatives where some non smoothness in the payoff function creates trouble when trying to get this by finite difference methods. The thing is in my opinion that Malliavin Calculus is only an opening as it gives you basically an infinite number of ways to get ...


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There's a very interesting article about this: http://www.wired.com/magazine/2010/11/ff_midas Wall Street Firm Uses Algorithms to Make Sports Betting Like Stock Trading The cornerstone of the operation is a piece of number-crunching software called Midas. It functions like the predictive computer programs that Amaitis dealt with on Wall Street: Midas ...


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To be precise, its not the application of quant finance, but rather its the general statistics which is used in myriad fields. For example, you could use monte carlo simulation (part of statistics) to determine the chances of which horse could win the horse race. For that we can form distributions of weather conditions, track conditions, horse's success ...


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Stocks in the market can be twisted in braids and knots according to this paper http://arxiv.org/abs/1404.6637 Is a direct way to apply topology in finance.


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I am currently developing a position keeping system and I am very satisfied with my choice of language/libraries: 1) Pure GUI in C#. C# is very pretty language, and Visual Studio Express is a very good free IDE, where you can spawn all the buttons, lists and inputs you need. .NET is otherwise very versatile library for other stuff (built-in data structures, ...


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If your goal is to just send basic commands, and avoid rewriting you models, I suggest you to create a PID server in combination with a web/JavaScript site as GUI. The PID server monitors the PID’s of the strategies running on the server and executes the commands as they come. The server could consist of a webserver listening on port 8888 with a simple JSON ...


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Have you considered socket programming? if you need 'real time' control http://www.codeproject.com/Articles/586000/Networking-and-Socket-programming-tutorial-in-C If you only want to reset the parameter periodically(like end of the day), you can setup a service and communicate via http/rest/soap. "fetch order and trade history" should be done in a separate ...


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You might want to check into Python Mapper, a Python module written by some of the founders of Ayasdi. It can be used to generate simplicial complexes which can be used to construct visualizations like those at Ayasdi. I ended using Gephi, a network visualization software, to visualize the 1-simplexes generated from Mapper. As an example, the image below is ...


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Even if this is maybe a bit off-topic as you ask for an example in the context of insurance I want to give you two different examples: Credit risk: In the Credit Risk Plus model the number of credit defaults in a portfolio is modelled by a Poisson distribution. If you model the loss given default as an independent random sequence then the total loss is ...


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Piterbarg (who's a very smart and no-nonsense guy) looks at the problem from the practitioner's perspective, i.e. "will this make the traders happy?". Academicians tend to answer the question "will this make the journal referees happy?". Two different goals.



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