A Toolkit for the Analysis of Free-Energy Perturbation Calculations | Journal of Chemical Theory and Computation

16 hours ago by paunit

See https://pubs.acs.org/doi/suppl/10.1021/ct300242f/suppl_file/ct300242f_si_001.pdf for the enlightening parts on asymptotics, this is surely very classical cannot put my finger on it

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free
energy
asymptotics
entropy
liu
16 hours ago by paunit

Concentration of measure - Wikipedia

17 hours ago by paunit

Just the wikipedia article, but to recall the idea that high dim normed space are approx defined by quad form (hence the variance in free energy / gaussian distribution)

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math
concentration
measure
dvoretzky
isoperimetric
high
dimension
17 hours ago by paunit

Theory of Systematic Computational Error in Free Energy Differences

18 hours ago by paunit

Asymptotics of the free energy -- related to entropy risk

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risk
management
entropy
free
energy
asymptotics
18 hours ago by paunit

math mode - What is the best symbol for vector/matrix transpose? - TeX - LaTeX Stack Exchange

7 days ago by paunit

Latex and transpose of matrices or vectors, like the French one at the end

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latex
transpose
7 days ago by paunit

floats - Force figure placement in text - TeX - LaTeX Stack Exchange

8 days ago by paunit

Another element in how to integrate svg (or other graphics) into tex document. This is really a nice post

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latex
svg
floating
figure
8 days ago by paunit

graphics - How to include SVG diagrams in LaTeX? - TeX - LaTeX Stack Exchange

8 days ago by paunit

This is a useful pot pourri on how to integrate SVG into a tex document --- not exactly the smoothest integration in the world, but there are 30y between technologies

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latex
svg
inkscape
8 days ago by paunit

Exponential Hedging and Entropic Penalties

14 days ago by paunit

A (very) technical article on the duality between the Merton portfolio optimization (hedging side) and minimum martingale measure (pricing view) for entropy risk. This is mostly mathematics, not very much economics in there.

coink
risk
management
entropy
optimal
portfolio
mathematics
delbaen
14 days ago by paunit

A numerical algorithm for indifference pricing in incomplete markets

14 days ago by paunit

Entropy pricing applied in non linear manner -- with a full convex minimization of the lagrangian of entropy measure serving as the sensitivity computation. duality based

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risk
management
entropy
pricing
numerical
lim
14 days ago by paunit

[1712.04609] QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds

14 days ago by paunit

QLBS as the name indicates. Cool article, not perfectly clear

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risk
management
reinforcement
learning
black
model
14 days ago by paunit

Approximation of the ruin probability using the scaled Laplace transform inversion

18 days ago by paunit

Interesting riff on ging from laplace transform back to space. The model problem here is close to a simple risk question: what level of average losses (in a tail model) correspond to a givne laplace transform of those losses? This is ill posed, naturally, but regularization seems to help.

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risk
management
inverse
laplace
transform
tail
18 days ago by paunit

Update rules for convex risk measures

20 days ago by paunit

A very nice article by Sina Tutsch on the vexing problem of updates to convex risk measures and time consistency -- ie th problem of keeping a time-consistent estimate of risk in a two period model. Simple examples are not made explicit, but i believe a very simple hidden markov chain model shows the problem and solution in terms of mixtures might approach this nicely.

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convex
risk
measures
forward
backward
time
consistency
sina
tutsch
20 days ago by paunit

Convex and coherent risk measures

20 days ago by paunit

Another article from Follmer on convex risk measures, touches on the time consistency even if the formal definitions of consistency are not 100% clear

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risk
management
convex
measure
time
consistency
follmer
20 days ago by paunit

Deep Hedging

21 days ago by paunit

Buehler 2018, not perfectly readable but much of the next article is already present

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financial
reinforcement
learning
buehler
deep
hedging
21 days ago by paunit

The QLBS Q-Learner Goes NuQLear

21 days ago by paunit

Follow up on QLBS with some numerical experiments (not much) and much re-use from original article.

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reinforcement
learning
black
model
financial
21 days ago by paunit

Introduction à la Géométrie Riemannienne par l’étude des Espaces de Formes

21 days ago by paunit

A very nice intro to Riemann geometry from MMFAI

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riemann
geometry
21 days ago by paunit

Dynamic convex risk measures: time consistency, prudence, and sustainability

23 days ago by paunit

Mostly interesting in the discussion regarding time consistency, and sequential consistency more generally (ie what is required to apply the Bellman principle to the dual formulation of the hedging problem). Simple case where "greedy" consistency applies (on transition from t to t+1) leads to only entropy measure, this is interesting on its own and kind of mind boggling.

See also in Bartzekas the distinction between sequential consistency and sequential improvement in the context of stochastic DP (a path he does not explore :-))

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convex
risk
measures
time
consistency
sequential
bellman
follmer
See also in Bartzekas the distinction between sequential consistency and sequential improvement in the context of stochastic DP (a path he does not explore :-))

23 days ago by paunit

Convex Risk Measures:Basic Facts, Law-invariance and beyond,Asymptotics for Large Portfolios

24 days ago by paunit

An extension of convex risk measure interpretation. This is a review of sorts, quite well written and with many references. What i was looking for: link with preferences (ordering of bets or stochastic dominance).

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convex
risk
measure
follmer
stochastic
dominance
24 days ago by paunit

Convex and coherent risk measures

24 days ago by paunit

Föllner on convex risk measures, with a focus on what time consistency means (ie the compatibility of the way to measure with the implicit dynamic programming optimization). This is quite related for Föllmer student Penner 2007 (see corresponding PhD thesis)

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convex
risk
measure
follner
time
consistency
24 days ago by paunit

Americans' Trust in Government, Each Other, Leaders | Pew Research Center

28 days ago by paunit

A long essay on public trust and facets of this based on large sample polling.

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sociology
trust
america
political
science
28 days ago by paunit

2020 Democratic primary: The case for Elizabeth Warren - Vox

29 days ago by paunit

Nice artilce from Ezra Klein on Liz Warren, explains a bit why she topped momentarily the polls last year -- impressive candidate, less lucky

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politics
elizabeth
warren
ezra
klein
29 days ago by paunit

Utility Indifference Pricing - An Overview

4 weeks ago by paunit

Large review of utility based pricing -- aka indifference pricing, mostly literature on incomplete markets. This is also related to the hedging with transaction costs

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finance
transaction
cost
incomplete
markets
indifference
pricing
4 weeks ago by paunit

A Discrete Time Equivalent Martingale Measure

4 weeks ago by paunit

Variations on martingale measures without continuous hedging, this is a variation on Girsanov (late 90's). Still actual from a certain perspective.

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banking
incomplete
markets
discrete
time
hedging
girsanov
4 weeks ago by paunit

(PDF) Direct policy search reinforcement learning based on particle filtering

5 weeks ago by paunit

Note directly exploitable but gives state of the art for direct policy search as of the publication (around 2012) + contribution in the form of particle filters (and analogy with MCMC)

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reinforcement
learning
particle
filter
direct
policy
search
5 weeks ago by paunit

Basel IV: Revised trading and banking book boundary for market risk

6 weeks ago by paunit

A presentation from PWC on the regulatory aspects of the trading book/banking book classification; this does not break new ground and mostly reflects the regulatory text but it is nevertheless a good introduction (see in particular p 15)

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regulatory
basel
banking
trading
book
6 weeks ago by paunit

Chernoff bound - Wikipedia

6 weeks ago by paunit

Just to remember the name of the link btw. Laplace transform and tail properties.

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probabilities
chernoff
bounds
tail
estimation
6 weeks ago by paunit

An Explanatory Note on the Basel II IRB Risk Weight Functions

6 weeks ago by paunit

This document from Basel goes into details to explain how the regulatory model that takes the asymptotics of old Merton structural model as replacing "full credit VaR" in credit risk model.

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credit
risk
asymptotics
merton
regulatory
basel
6 weeks ago by paunit

Online LaTeX Equation Editor - create, integrate and download

6 weeks ago by paunit

A useful site to generate (bits) of equations online into images

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editor
latex
math
6 weeks ago by paunit

Investir voiture collection - Classic Auto Invest

6 weeks ago by paunit

Le site d'Alexandre Guirao (POA!)

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automotive
collection
alexandre
guirao
6 weeks ago by paunit

Reinforcement learning and optimal control

6 weeks ago by paunit

By the author of neuro-dynamic programming, another classic in the field (see Sutton & Barto). A series of course-level slides that are quite good, plus videos of a course at Arizona state university by the same -- really enjoyable.

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machine-learning
reinforcement
optimal
control
bertsekas
6 weeks ago by paunit

Neuro-Dynamic Programming An Overview

6 weeks ago by paunit

By one of the authors of the book "neuro-dynamic programming" a nice survey from mid naughties on learning and optimization. Insists on the pitfalls and partial solutions. Makes reference to reinforced learning (ie Sutton & Barto)

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optimization
machine-learning
neuro-dynamic
programming
bertsekas
6 weeks ago by paunit

QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds

7 weeks ago by paunit

Interesting source in DH for a slightly simpler setting which is viewed as a benchmark for other RL aglos.

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risk
management
hedging
transaction
cost
reinforcement
learning
7 weeks ago by paunit

More Than You Ever Wanted To Know* About Volatility Swaps

7 weeks ago by paunit

Nice article from GS quants on volatility derivatives, mostly on variance swaps and vol swaps are "derivatives" on variance

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risk
management
variance
volatility
swap
goldman
sachs
7 weeks ago by paunit

Optimization of Conditional Value-at-Risk

7 weeks ago by paunit

Article focus on the minimization structure implicit in tail VaR (wrt fixed proba structure in the context of the article) and general application to portfolio optimization. This is indeed not too far from the hedging problem addressed in DH.

More detailed analysis in the convex case (ie where loss is a linear function of position which is part of a convex set)

coink
risk
management
CVaR
dynamic
programming
optimization
coherent
measure
More detailed analysis in the convex case (ie where loss is a linear function of position which is part of a convex set)

7 weeks ago by paunit

Distortion Risk Measures: Coherence and Stochastic Dominance

7 weeks ago by paunit

A riff on stochastic dominance (second order, ie wrt risk aversion) and actuarial view in risk management. Quite clear on the topic.

coink
finance
risk
management
stochastic
dominance
coherence
measure
7 weeks ago by paunit

Stochastic dominance - Wikipedia

7 weeks ago by paunit

Just for reference since this is the central intuition for the modern concepts of risk measure definition

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finance
stochastic
dominance
risk
measures
7 weeks ago by paunit

The minority game: An economics perspective

7 weeks ago by paunit

A variant of El Faro's minority game, that review literature on econophysics and explains differnet points of view on this field

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economics
game
theory
minority
kets
7 weeks ago by paunit

Carbon tax debate: the top 5 things everyone needs to know - Vox

7 weeks ago by paunit

An explainer on carbon tax (carbon pricing) the make reference to the article previously read (see https://energypolicy.columbia.edu/research/report/us-carbon-tax-design-options-and-implications) as well as a few others.

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co2
carbon
climate
environment
policy
7 weeks ago by paunit

Columbia | SIPA Center on Global Energy Policy | US Carbon Tax Design: Options and Implications

7 weeks ago by paunit

An interesting paper of the design questions to answer to get an efficient carbon tax -- although very US centric the design questions apply to other economies. The principle is to look at the way the physical economy works and decide where to tax based on a mix of convenience and fairness -- taking onto account imports or exports. Accounting for the tax as production/consumption based varies depending on the ability to tax

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co2
carbon
climate
tax
design
policy
economics
environment
7 weeks ago by paunit

The brave new world of carbon trading

7 weeks ago by paunit

A wonderful paper by Pr Spash on the strange dominance of polluting permits (article is rather terse, but two comparison points allude to a more quirky spirit, and make for a lighter reading: indulgence traffic in medieval church, and soma in Brave New World :-)

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trading
emissions
ETS
carbon
pricing
7 weeks ago by paunit

Donald Trump has the Design Taste of a Dictator - POLITICO Magazine

7 weeks ago by paunit

Nice article on nouveau riche dictator style vs traditional

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interior
style
dictator
trump
7 weeks ago by paunit

« CumCum », « CumEx » : le scandale des dividendes expliqué simplement

7 weeks ago by paunit

The basic (and apparently simple) mechanics of dividend heist in Europe 2008-2012

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banking
heist
dividend
cum-ex
7 weeks ago by paunit

Implementing a stamp duty on sterling to finance international development

8 weeks ago by paunit

An interesting riff on a Tobin-like tax for FX and implementation questions (based on specifics of settlement of FX cash trades)

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finance
tobin
tax
FX
settlement
8 weeks ago by paunit

Why innovation in economics should build on success: the case of the financial crisis | Cairn.info

9 weeks ago by paunit

James K. Galbraith on the field of macro, a nice article in reaction to the Great Recession.

coink
macro
krugman
godley
keynes
great
recession
9 weeks ago by paunit

Copulas for Finance A Reading Guide and Some Applications

9 weeks ago by paunit

A very readable introduction to copulas in finance, pre-crisis though

coink
probabilities
copula
finance
math
9 weeks ago by paunit

On the singular components of a copula

9 weeks ago by paunit

Decomp of proba on square into ac wrt lebesgues and singular, shows that this can be non trivial, leads to simultaneous defaults

coink
probabilities
copula
absolute
continuity
credit
risk
9 weeks ago by paunit

A family of transformed copulas with singular component

9 weeks ago by paunit

Same topic as "Simulating from a Family of Generalized Archimedean Copulas" from Durante, more details on the topic

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copula
stats
credit
risk
9 weeks ago by paunit

Patchwork copulas

9 weeks ago by paunit

A way to build piece together bits of copulas (no joke) to approximate any given copula "uniformly" in a certain sense. Great measure intuition behind this stuff.

coink
copula
probabilities
math
measure
durante
9 weeks ago by paunit

Simulation of copulas

9 weeks ago by paunit

Various methods for sampling more or less directly from copulas based on conditioning (select first uniform, then the second conditioned to partial derivative of copula, assuming it can be differentiated). Part of the appendix of a book the name of which escapes me

coink
copula
montecarlo
conditional
9 weeks ago by paunit

An importance sampling approach for copula models in insurance

9 weeks ago by paunit

Inspired from financial risk analysis, how to sample from given copula in a monte carlo setting (where the goal is to evaluate some expectation over multivariate X, where the the copula of X's components is given as well as their margins)

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copula
importance
sampling
montecarlo
9 weeks ago by paunit

Understanding Relationships Using Copulas

9 weeks ago by paunit

Actuarial oriented view of copula, explains concisely the frailty model and relation with the copula. This is more statistics oriented, and quite readable.

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stats
copula
actuarial
9 weeks ago by paunit

Proba cheat sheet -- mostly convergence criteria

9 weeks ago by paunit

Everything is the title

coink
probabilities
math
cheat
sheet
9 weeks ago by paunit

Where Is the New Keynes? | The New Yorker

9 weeks ago by paunit

Interesting review of post crisis state of the macro world

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macro
financial
crisis
keynes
economics
9 weeks ago by paunit

The frailty model

10 weeks ago by paunit

Theoretical & empirical literature on frailty model (survival, context usually biology or insurance) with censorship of right survival tails

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survival
frailty
model
10 weeks ago by paunit

probability - Could someone explain conditional independence? - Mathematics Stack Exchange

10 weeks ago by paunit

Nice stack exchange conversation on conditional independence -- with examples that present some intuition of hidden knowledge (slightly more relevant that the biased coin examples in e.g. https://www.ism.ac.jp/editsec/aism/pdf/061_2_0441.pdf although this is naturally the same thing)

coink
probabilities
conditional
independence
10 weeks ago by paunit

Conditional independence, conditional mixing and conditional association

10 weeks ago by paunit

On the concept of conditional independence and the consequences for law of large numbers: an intrinsic view (generalizations of Borel Cantelli, Kolmogorov and friends) that works well for instance for credit risk aggregation

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probabilities
conditional
independence
central
limit
10 weeks ago by paunit

Prevalence, Comorbidity and Heritability of Hoarding Symptoms in Adolescence: A Population Based Twin Study in 15-Year Olds

10 weeks ago by paunit

Hoarding disorder (aka syllogomanie in french) in teenagers, twins studies

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hoarding
disorder
syllogomanie
twin
studies
10 weeks ago by paunit

Regulatory Capital Modelling for Credit Risk

11 weeks ago by paunit

Mathematized Basel aka the mathematics of the basic Merton model used in Basel II IRB -- risk weights.

coink
banking
basel-2.5
credit
portfolio
risk
11 weeks ago by paunit

One bad apple: default risk at CCPs - Risk.net

11 weeks ago by paunit

An interesting article on the modeling of default of a member where default is correlated to the market move that caused the IM call to be missed (a Merton-like model in a sense).

coink
XVA
CCP
LCH
clearing
counterparty
risk
11 weeks ago by paunit

Swap Default Funds at the CME & LCH |

11 weeks ago by paunit

Basic pragmatics of the default fund at LCH & CME. Interestings factoids:

- Default fund by simulation of the whole portfolio (all accounts) and worst case (picture slightly different from https://www.risk.net/cutting-edge/banking/7324271/one-bad-apple-default-risk-at-ccps in fact)

- Order of bids on default conditions the use of default fund -- this is an interesting play on the participants incentives

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LCH
clearing
auction
default
fund
- Default fund by simulation of the whole portfolio (all accounts) and worst case (picture slightly different from https://www.risk.net/cutting-edge/banking/7324271/one-bad-apple-default-risk-at-ccps in fact)

- Order of bids on default conditions the use of default fund -- this is an interesting play on the participants incentives

11 weeks ago by paunit

Hidden Markov map matching through noise and sparseness - 6.pdf

december 2019 by paunit

Very well written article on the HMM for map matching problem ("pure" on road model) that represents the state of the art from 2010's -- without the switching between on- and off-road states.

Also presents empirical results with an actual GPS traces and different subsampling strategies to expose the limits of the inference noisy GPS -> position based on map information.

coink
map
matching
GPS
HMM
Also presents empirical results with an actual GPS traces and different subsampling strategies to expose the limits of the inference noisy GPS -> position based on map information.

december 2019 by paunit

[1303.1883] Real-time On and Off Road GPS Tracking

december 2019 by paunit

An ingredient for the map matching feature of maps project. Did not read the article yet, but abstract seems quite close.

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map
matching
routes
GPS
tracks
december 2019 by paunit

Calculating Position from Raw GPS Data – Telesens

december 2019 by paunit

A very nice article on GPS technology and the path from celestial mechanics to obtaining actual position. Includes some discussion on the source of error and why z is generally worse than horizontal coordinates (which is intuitive from a geometric perspective). Matlab code + references to the technical/engineering sources.

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GPS
celestial
mechanics
engineering
geometry
december 2019 by paunit

Using readable streams - Web APIs | MDN

december 2019 by paunit

Javascript readable stream -- mostly browser side here coming from Mozilla

coink
programming
javascript
readable
stream
december 2019 by paunit

Computational Turbulent Incompressible Flow

december 2019 by paunit

Applied Mathematics: Body & Soul Vol 4 (Navier Stokes & Euler equations, with galerkin style discretization) by Johan Hoffman and Claes Johnson

coink
fluid
mechanics
navier
stokes
galerkin
adaptive
december 2019 by paunit

Le nouveau système réglementaire Lambert 93

december 2019 by paunit

New Lambert 93 system (article from IGN presentation) quite detailled, explains the order of magnitude of longitudinal aberration

coink
geography
IGN
lambert
projection
december 2019 by paunit

GitHub - Leaflet/Leaflet.markercluster: Marker Clustering plugin for Leaflet

december 2019 by paunit

Nice plugin to cluster markers and provide showy animations

coink
leaflet
marker
clustering
plugin
december 2019 by paunit

More than you ever wanted to know about GeoJSON - macwright.org

december 2019 by paunit

A simple resource on geojson (with a bit of historical context, which i find interesting)

coink
geojson
json
geography
history
december 2019 by paunit

Ionicons: The premium icon pack for Ionic Framework

december 2019 by paunit

Just another SVG icon library that can be used in wep apps

coink
design
icons
svg
december 2019 by paunit

Simulation of Simplicity

december 2019 by paunit

Subtitled: A Technique to Cope with Degenerate Cases in Geometric Algorithms.

Referenced in S2 implementation (google's geometric library) to handle the polygon and ray-tracing mechanics.

This deals with a kind of symbolic perturbation technique to cast degenerate cases back into the regular cases -- an interesting technique. Also references in discrete Morse's theory (when dealing with Smale complex) so the technique had some posterity.

coink
computational
geometry
simulation
simplicity
Referenced in S2 implementation (google's geometric library) to handle the polygon and ray-tracing mechanics.

This deals with a kind of symbolic perturbation technique to cast degenerate cases back into the regular cases -- an interesting technique. Also references in discrete Morse's theory (when dealing with Smale complex) so the technique had some posterity.

december 2019 by paunit

Line Simplification

december 2019 by paunit

A variant of Douglas Peucker for line simplification in the context of maps

coink
computer
vision
algorithm
geography
visvalingam
december 2019 by paunit

Country Codes

november 2019 by paunit

A useful reference site from a doux illuminé that keeps tabs on admin unit across the world

coink
geography
stats
administrative
codes
ISO
statoid
november 2019 by paunit

GitHub - golang/geo: S2 geometry library in Go

november 2019 by paunit

A bit of computational geometry, including spherical (and not spherical...) case. Port of equivalent C++ library

coink
golang
s2
port
computational
geometry
november 2019 by paunit

Intersections of a Set of Segments

november 2019 by paunit

Description of classical algorithm in computer graphics, mostly interested in the test for simplicity of polygons -- as "jordan curves" and the Bentley-Ottmann algorithm, clearly explained

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computer
vision
geometry
simple
polygon
bentley
ottmann
november 2019 by paunit

GitHub - tmcw/awesome-geojson: GeoJSON utilities that will make your life easier.

november 2019 by paunit

A series of geoJson resources (both code and data) quite up to date and useful

coink
geography
geojson
november 2019 by paunit

Natural Earth

november 2019 by paunit

An essential source for many vector data (countries, regions, cities, etc). Data is open (public domain actually), but technically in shapefile format. Translation of some of this onto goejson exists see eg https://datahub.io/core/geo-countries

coink
open-data
geography
countries
natural
earth
november 2019 by paunit

Country Polygons as GeoJSON - Dataset - DataHub - Frictionless Data

november 2019 by paunit

A country level data set in open data

coink
open-data
geojson
countries
november 2019 by paunit

GeoZones - data.gouv.fr

november 2019 by paunit

An open data set that covers multi-level zones in France and the rest of the world (completion depends on the country)

coink
open-data
geojson
countries
zones
november 2019 by paunit

Bigslice - cluster computing in Go

november 2019 by paunit

An go-centric boutique Spark clone that seems quite easy to use for simple pipeline designs

coink
distributed
golang
spark
november 2019 by paunit

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