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Because, mathematics should never be like that... (source:http://lovestats.wordpress.com/dman/) |
Pricing of a financial product : A pricer of a call option.
The financial market is not only made of stock options. Other financial products enable market actors to target specific aims. For example, an oil buyer like a flight company may want to cover the risk of increase in the price of oil.
Temporal network model - Barabási-Albert model with the library igraph
I found a golden website. The blog of Esteban Moro. He uses R to work on networks. In particular he has done a really nice code to make some great videos of networks. This post is purely a copy of his code. I just changed a few arguments to change colors and to do my own network.
3How to plot a network (package network) - Tip 2
As you have certainly seen now, I like working on artificial neural networks. I have written a few posts about models with neural networks (Models to generate networks, Want to win to Guess Who and Study of spatial segregation).
1Have you tried to understand your network? - Random generation of network models
I already talked about networks a few times in this blog. In particular, I had this approach to explain spatial segregation in a city or to solve the Guess Who? problem. However, one of the question is how to generate a good network.
Function apply() - Tip 1
The function apply() is certainly one of the most useful function. I was scared of it during a while and refused to use it. But it makes the code so much faster to write and so efficient that we can't afford not using it.
1Want to win "Guess who?" - Have an institutional neural network approach
Have you ever played the board game "Guess who?".
How to choose your next holidays destination - Uniform distribution on a sphere
If you want to choose randomly your next holidays destination, you are likely to process in a way which is certainly biased. Especially if you choose randomly the latitude and the longitude.
4Generation of a normal distribution from "scratch" - The box-muller method
My previous post is about a method to simulate a Brownian motion. A friend of mine emailed me yesterday to tell me that this is useless if we do not know how to simulate a normally distributed variable.
Generate stock option prices - How to simulate a Brownian motion
The Brownian motion is certainly the most famous stochastic process (a random variable evolving in the time). It has been the first way to model a stock option price (Louis Bachelier's thesis in 1900).
1The consequence of merging insurance companies - Risk simulation and probability of ruin
The merge of two insurance companies enables to curb the probability of ruin by sharing the risk and the capital of the two companies.
For example, we can consider two insurance companies, A and B.
Estimation of the number PI - A Monte Carlo simulation
How to estimate PI when we only have R and the formula for the surface of a circle (Surface = PI * r * r)?
The estimation of this number has been one of the greatest challenge in the history of mathematics. PI is the ratio between a circle's circumference and diameter.
The movement of a drunk guy - Random Walk and exponential regression
I was in a party last night and a guy was totally drunk. Not just the guy who had a few drinks and speaks a bit too loud, but the one who is not very likely to remember what he has done during his night, but who is rather very likely to suffer from a huge headache today.
A post about greater blogs
I'm very glad if you use or at least read sometimes my blog. However, I'd like to give you a list of wonderful blogs which are useful if you are interested in applied mathematics and programming for simulation.
My favorite one is written by Arthur Charpentier, a French mathematician.
How does my computer know what language I am using? – An approach of statistical learning (Language, Computer Science)
I am currently doing an internship in England. Therefore, I keep alternating between French and English in my different emails and other forms of communication on the Internet. I have been surprised to see that some websites are able to recognize when I use French or when I use English.
The fear-index: is the VIX efficient to be warned about high volatility? (Finance & Systematic Processus)
The VIX (volatility index) is a financial index which measures the expectation of the volatility of the stock market index S&P 500 (SPX). The higher is the value of the VIX the higher are the expectations of important variations in the S&P 500 during the next month.
Who is the most complete athlete? – An insight with the Mahalanobis distance (sport & data analysis)
The Olympic Games have finished a couple of days ago. Two entire weeks of complete devotion for sport. Unfortunately I hadn’t got any ticket but I didn’t fail to watch many games on TV and internet.
ProbaPerception: Introduction
Hello (New World!),
My name is Edwin, I’m a 22 year-old French student in applied mathematics. In particular, I study probability, statistics and risk theory.
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