Tags » Convexity

Nathan Rubin Improved the Bound for Planar Weak ε-Nets and Other News From Ein-Gedi

I just came back from a splendid visit to Singapore and Vietnam and I will write about it later. While I was away, Nathan Rubin organized a lovely conference on topics closed to my heart   687 more words

Combinatorics

Sell Convexity Strategy

Recall that the price of a bond with higher convexity increases more if interest rates decrease, and decreases less if interest rates increase, than does the price of a equal-duration but lower-convexity bonds. 39 more words

Useful

Understanding convexity of zero-coupon bonds heuristic

  • Macaulay durations increase linearly with maturity.
  • Convexity is approximately proportional to duration squared.
  • Coupon-paying bonds have more convexity than zero-coupon bonds of the same duration. The more widely dispersed a bond’s cash flows are around the duration point the more convexity.
Useful

Basic Notions Seminar is Back! Helly Type Theorems and the Cascade Conjecture

Kazhdan’s Basic Notion Seminar is back!

The “basic notion seminar” is an initiative of David Kazhdan who joined the Hebrew University math department  around 2000. People give series of lectures about basic mathematics (or not so basic at times). 753 more words

Combinatorics

Jensen's Inequality

The modern philosopher Nassim Nicholas Taleb says that one should never cross a river that is on average 4 feet deep. The intuition is clear: Averages are a borderline useless metric when the payoff structure (i.e. 196 more words

The Douglas-Rachford method for convex-concave saddle point problem without ever solving a linear system

Consider the saddle point problem

(where I omit all the standard assumptions, like convexity, continuity ans such…). Fenchel-Rockafellar duality says that solutions are characterized by the inclusion… 494 more words

Math