Being a weblog devoted to a variety of topics. Including Mathematics. And Mathematical Finance. Sometimes with homework.

Friday, September 26, 2008

21-260: Assignment for Week #6

The reading and homework assignments for Week #6 have been posted. You can follow the link from the Schedule page.


Interested in numbers? Then NumberADay is for you!. Every day this MAA blog provides interesting pertinent factual information about a different number.

Well, some of the information is interesting. Do you know the speed limit on the Tulane campus is 23mph? Do you know what a centered heptagonal number is? Read and find out.

UPDATE: link fixed.

Thursday, September 25, 2008

Processes & Representations

Friday, September 26, 2008
4:30 P.M., Wean Hall 7500

The CMU Math Club Presents: Processes & Representations. A Talk by Visual Artist Lun-Yi Tsai

Tsai's art is inspired by his mathematical training. He will talk about his process of making art and present his latest abstract paintings that were recently exhibited in Berlin, Germany.

Here are some examples.

Refreshments at 4:00 Wean Hall 6220.

Sunday, September 21, 2008

21-260: Exam #1 Review Session

The Exam #1 Review session has been confirmed for Monday, September 22 from 6:30-8:00pm in PH 100.

Saturday, September 20, 2008

21-260: xkcd

We won't need to know too much about rotation matrices this semester, but it's nice to know they exist.

Friday, September 19, 2008


I wouldn't kid about something like that.

21-260: Matrix Algebra Notes

I promised to post a set of Matrix Algebra Notes, and now I've done so. You can read these notes to augment the presentation in Sections 7.2 and 7.3.

Wednesday, September 17, 2008

Exam #1

I've posted the Exam #1 Review Page. I'll update it when I have a confirmed date and time for the review session.

Tuesday, September 16, 2008


What you really need to know about the Riemann zeta function.

Nash Lecture: Dark Markets

NASH LECTURE: 4:30 P.M., McConomy Auditorium, University Center, Darrell
Duffie, Dean Witter Distinguished Professor of Finance, The Graduate School
of Business, Stanford University. A reception will follow in the Tepper
Grand Room.

TITLE: Dark Markets

ABSTRACT: Investors do not respond instantly to variation in risk-adjusted
expected returns across financial markets. As a result, asset returns may be
more sensitive in the short run to supply shocks than standard asset-pricing
theories would predict. After initial reactions to supply shocks or changes
in information, expected returns may revert together across markets more
slowly than standard theories would suggest. These lags vary with the
opaqueness of a market, and may reflect the time that it takes to become
aware of an investment opportunity, to find a suitable counterparty, and to
negotiate and execute a trade. This lecture will review evidence of "Dark
Markets" from a growing body of empirical research, citing examples from
insurance markets, bond markets, stock markets, and money markets, and will
suggest some conceptual approaches based on search theory.

Monday, September 15, 2008

Jane Street Capital at TOC

Representatives from Jane Street Capital, LLC will be on campus for the TOC.
Jane Street will also hold an information session in the Dowd Room, University Center, from 5:30 - 7:00 PM on Wednesday, September 17th. Food and beverage will be served:

Put your quantitative skills to work!

Jane Street Capital, LLC is a proprietary trading firm that operates around the clock and around the globe. We bring a deep understanding of markets, a scientific approach, and innovative technology to bear on the problem of trading profitably in the world's highly competitive financial markets, focusing primarily on equities and equity derivatives.

Founded in 2000, Jane Street employs over 190 people in offices in New York, Chicago, London and Tokyo, as well as on the American Stock exchange and the Chicago Board Options Exchange. Our entrepreneurial culture is driven by our talented team of traders and programmers.

The environment at Jane Street is open, informal, intellectual and fun. You can wear a t-shirt and jeans to the office every day, the kitchen is stocked, and discussions are always lively. Teaching and learning are central activities through classes, mentoring and discussion.

To learn more about the opportunities that Jane Street holds, please join us in the Dowd Room, University Center, from 5:30 - 7:00 PM on Wednesday, September 17th. Food and beverage will be served.

For any questions, please contact

Hope to see you there!

It Boggles the Mind

I read this and I have to wonder: how long until my kids are arrested for doing something totally innocuous?

(hat tip: Freeman Hunt)

Saturday, September 13, 2008

21-260: Assignment for Week #4

The homework assignment for Week #4 has been posted. As always, if you have questions or concerns, post them in the comments.

UPDATE: I've removed the problems out of Section 7.3 from this week's assignment. We just haven't covered enough of that material. I'll include them on a short assignment due next Friday.

UPDATE: There have been some problems with the dfield/pplane website over the last couple days. The site is hosted in Houston. I expect the problems are most likely hurricane related. I'll keep an eye on the site, and if it's not up most of the day tomorrow, I'll alter the assignment accordingly.

Friday, September 12, 2008

Thursday, September 11, 2008

Dude, I'm not doing science, I'm just cheating the game!

Do MMORPG's teach kids how to do Science?

Wednesday, September 10, 2008

Giant Robot Dump Trucks

Some of the folks in the Carnegie Mellon community are teaming up with Caterpillar to build giant robotic dump trucks.

My take on this: Giant dump trucks - cool. Robots - cool. Giant robotic dump trucks - totally awesome!

Tuesday, September 9, 2008

BSCF Application Deadline

The Fall 2008 deadline for applications to the Computational Finance major is Monday, October 13. That is the Monday before the Mid-Semester Break.

Sunday, September 7, 2008

21-260: Assignment for Week #3

I've posted the assignment for Week #3. As always if you have questions, or need clarification, feel free to post them in the comments to this thread.

Thursday, September 4, 2008

Engines of Our Ingenuity: Saving Gas

Episode 2394 of Engines of Our Ingenuity discussesSaving Gas. There is no sophisticated mathematics, but the observation that gas savings does not increase linearly with increases in MPG is worth noting.

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