430 reputation
34
bio website zoonek.free.fr
location Hong Kong
age
visits member for 2 years, 7 months
seen Aug 17 at 4:02

After studying algebraic geometry, algebraic topology and category theory, after teaching mathematics and computer science in university and high school, after studying bioinformatics and implementing image analysis algorithms in a biotech start-up, I have since been working in finance, in London, Tōkyō and Hong Kong.

My preferred programming languages are R and Perl, but I try to use the best language and tools to solve the problem at hand. I also like to learn more marginal languages, such as Haskell or Oz/Mozart. I am interested in human languages, too.

Here is a selection of my answers.


May
7
revised How to implement Maximum Diversification in R?
Correct formula (the documentation is typographically ambiguous, but b' D b is in the numerator)
Jun
24
revised Any thoughts on how Warren Buffet's B of A warrants might be “marked-to-market” by either counterparty?
Escape the $ signs
May
5
revised MPT: Adding constraint on minimum asset weight
Use the same bounds as in the question
May
4
revised Analytical relationship between a covariance matrix and cross-sectional dispersion
Simplify the result: the Choleski matrix is not really needed.
Mar
1
revised How to fit probability density function from sample moments?
Explain what the GMM is. Note that it is overkill, here.