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By Tai, August 23, 2010 12:01 am

Proving of Fundamental Lemma by Fields Medalist Professor Ngo Bao Chau, or more generally, a breakthrough B in Mathematics theory does have direct impact on everyday life:

1. Research B’, B”, Bⁿ ‘ will spawn
2. Academic components will be composed en masse basing on B, B’…
3. (2) generates billions of revenue for education service providers
4. (2) generates revenue for book composers, sellers and distributors
5. Non-B research will likely cease and research budget will be saved
6. Scientists from other disciplines (Physics, Chemistry, Biology, Computer Science, Anthropology…) will benefit from B
7. Quants will use B to build new financial models, instruments, institutional models… which will lead to new cycles of fund flows, transfer of wealth, job creation, excessive expansions… All will feed up bubbles which test limits of economic systems. When the limits are smashed, markets will crash and economies will collapse (Ho 2010). A few extraordinary quants (Doan 2010) equipped with mathematics beyond normal human comprehension and possess real understanding of behavioral economics will make fortune; hundreds of thousands will lose their jobs and assets; billions will suffer crises.
8. Perhaps the most well-known example of (7) in Finance world is Ito’s lemma and Wiener process, used for Derivatives valuation ⁽ⁱ⁾ (Ho 2010). Derivatives market beyond control is one reason which had lead to 2007-present global financial crisis ⁽ⁱⁱ⁾ (Friedman & Friedman 2009).

B might be rooting it all. At this very present.

(i) John Hull - Options, Futures, and Other Derivatives, Seventh Edition http://www.rotman.utoronto.ca/~hull/ofod/

(ii) Hershey H. Friedman & Linda W. Friedman - The Global Financial Crisis of 2008: What Went Wrong? http://ssrn.com/abstract=1356193

Image from Wolfram’s demonstration of Ito’s Lemma

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By Tai, August 21, 2010 8:33 pm

A = 1;
x0 = 0; y0 = 0;

sigma_x = 1;
sigma_y = 2;

for theta = 0:pi/100:pi
a = cos(theta)^2/2/sigma_x^2 + sin(theta)^2/2/sigma_y^2;
b = -sin(2*theta)/4/sigma_x^2 + sin(2*theta)/4/sigma_y^2 ;
c = sin(theta)^2/2/sigma_x^2 + cos(theta)^2/2/sigma_y^2;

[X, Y] = meshgrid(-5:.1:5, -5:.1:5);
Z = A*exp( - (a*(X-x0).^2 + 2*b*(X-x0).*(Y-y0) + c*(Y-y0).^2)) ;
surf(X,Y,Z);shading interp;view(-36,36);axis equal;drawnow
end

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By Tai, July 22, 2010 7:58 pm

FINS3640 Investment Management Modeling, Semester 2, 2010

Dear Students,

Session preparation

In week 2 (27/7/2010) we’re starting with the statistical package Stata. I’d advise you to revise the following knowledge:

• Discrete return, holding period return calculation from stock price
• Arithmetic and geometric return calculation
• Stock indices, particularly the DJIA and S&P 500
• Statistics
• Calculation of mean, variance, standard deviation, covariance, correlation
• Hypothesis testing
• Normal distribution
• Cumulative distribution
• Histogram
• Linear regression
• p-value, t-statistics and their interpretation
• R² and adjusted R²
• How to perform all of the above on paper and using spreadsheet, particularly Microsoft Excel 2007

Administrative

Please also click here to update the timetable and location of your session.

Tai

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By Tai, May 18, 2010 1:16 am

• Change focus from doing (mega)deals to operations
• Focus on strengths i.e. printer
• Separated printer and PC businesses
• Cost saving
• Manage supply chain and turn Intel and AMD against each other
• Develop distribution network with retailers

Results

1. Overtook Dell
2. Shareholder value
3. A smart deal with Palm
4. HP with Plate is currently in best position against Apple in the tablet segment