Author Archives
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Market completion with Wishart variance
The following page documents the simulation happening in the model described here, i.e. the Wishart based stochastic volatility. The parameters for the Euler-Maruyama simulation are: 1. 1. 0.01. 2 4.8 Example of Arbitrage free volatility surface (dynamics of vol surface)… Read More ›
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Octave meshgrid, surf and video slideshow
Since the release of the splendid GUI, Octave has become again one of my favorite tools. Here is a simple and hopefully useful application. The following code is quite self-explanatory: tx = ty = linspace (-4, 4, 41)’; [xx, yy] = meshgrid… Read More ›
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Bosch’s “The Conjurer” & Nim Chimpsky
The famous painting by Bosch “The Conjurer” depicts an example of a cognitive fallacy of the human being, which is shrewdly used by the “magician”. This is an instance of “Freud’s Problem” to use Noam Chomsky’s very pregnant category, i.e. why do we know… Read More ›
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Practical reason as sorcery (i): Kant reconsidered
It seems to me that the ethical problems are adequately framed by Kant when he says that the domain of the moral code is outside ‘pure reason’, i.e. human behavior is not knowable: there can be no science of it as we… Read More ›
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Il Dio dei matematici
Questa intervista al grandissimo Enrico Bombieri e’ molto profonda. A un certo punto B. dice: “Il Dio che viene dal pensiero di Gauss, così come il riferimento ‘il cielo stellato sopra di me’ di Kant, che pur non essendo un riferimento a Dio… Read More ›
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M. Escher, or breaking the Kantian spell
In Late Middle Age, the position of the stars in navigation maps was programmatically out of sync with the Ptolemaic predictions. Further refinements in observations led to the abandonment of the geocentric picture altogether. Get the priority right: navigation needs… Read More ›
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Deflation of human agency
One of the premier Art Deco buildings in London, the famed Senate House (above) keeps resonating in my mind every time I wander inside it. Especially overnight. Vastly different in concept but equally capable of impressing with its geometry, the… Read More ›
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Ascesa & Declino: “All that is solid melts into air”
In his marvelous study of modernism “All that is solid melts into air“, Marshall Berman claims there is an idea which the human civilization owes to the Germans: the idea that economic development and human expansion are one and the same… Read More ›
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Dialectic of the Enlightenment?
Syncretism is the true currency of our time. Living in London, this is more than an erudite remark, is an everyday experience, as this photo taken in a massive technology store in central London shows. The old complain by Carl Sagan that… Read More ›
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“It is not important what we cover, but what you discover” (Victor Weisskopf)
Otium, in ancient Roman time, was the time productively spent pursuing the agenda of your personal growth – be it the cultivation of your garden or the virtuous studium of arts & science. This concept was clearly coming from the… Read More ›
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