Tuesday, March 22, 2016

Links for Later 3-22-16

  1. Lessons from the very prolific Isaac Asimov.
  2. Sleek cyberpunk fashion short film by ACRONYM (recommended by William Gibson).
  3. Generic NYT article on Millennials.
  4. Donald Trump is not making a lot of sense.
  5. Ted Cruz is the worst person in the world.
  6. Mapping creativity. Not sure I buy these studies, or the article's conclusions.
  7. Stewart Lee wrote a negative review of his own show.

Thursday, February 25, 2016

Hadrian's Farewell to Life

Little soul, sweet one, wandering one,
Friend and companion of this body,
Out you go from your house,
The pale one, still one, naked one,
Not laughing anymore, funny one.

-Hadrian

Animula, vagula, blandula
Hospes comesque corporis
Quae nunc abibis in loca
Pallidula, rigida, nudula,
Nec, ut soles, dabis iocos

-Hadrian

Saturday, February 06, 2016

History of Japan

Bill Wurtz made a rapid fire, animated, very funny history of Japan. (via Hank Green)

Monday, February 01, 2016

Startup Geometry EP 018 David Heinemeier Hansson


David Heinemeier Hansson is the co-founder (with Jason Fried) of Basecamp (formerly 37signals) , author of Remote and Rework (also with Jason Fried), and creator of the Ruby on Rails framework. He's also a race car driver, having won the 2014 24 Hours of Le Mans endurance race, and an avid photographer.

Today, we talk about why it's best to build products that you would (and do) use, the low-risk approach to building a company, why funding yourself helps to slow the clock, how that approach bleeds over to every aspect of the business (from marketing to management), and why much of his life is lived outside the office.
A photo posted by DHH (@dhh79) on




Show Links and Notes

Basecamp
Ruby on Rails

David Heinemeier Hansson
Website
signal vs noise blog
Twitter: @dhh, @dhhracing
Instagram: @dhh79
Medium: @dhh
Wikipedia

Monday, January 18, 2016

Startup Geometry EP 017 Andrei Codrescu

Long before there were blogs or podcasts, Andrei Codrescu was writing online (much of it through his "hidden literary magazine" Exquisite Corpse) and publishing audio commentary (often as a commentator on NPR). He is the author of many books of poetry, essays and fiction, and has taught literature at Johns Hopkins University, the University of Baltimore and Louisiana State University, where he recently retired as the MacCurdy Distinguished Professor of English.

Codrescu large


Now, he's planning on developing a podcast of his very own. Today, we talk about this upcoming project, which comments on his previous radio work, the importance of peripheral locations, and changes in Romania from the fall of Communism to the present day.


Show Notes and Links
Andrei Codrescu
Website
Twitter: @acodrescu
Exquisite Corpse:Click on the large No to enter site
NPR archive
Ioan Culianu
Mircea Eliade
Lars Iyer
The Original Brothers Grimm translated by Jack Zipes
Lafcadio Hearn

Hollan Holmes - Twilight

Monday, January 11, 2016

Startup Geometry EP 016 Emanuel Derman

Emanuel Derman first had a successful career as a particle physicist, and then an even more  successful career on Wall Street, doing advanced mathematical modeling of financial instrument prices and volatility. Currently, he is a professor at Columbia University, where he directs the program in financial engineering. He's the author of My Life as a Quant and Models.Behaving.Badly.


Today, we talk about the differences between models & theories, finance & physics, and life & experiments. We look under the hood of the Black-Scholes[-Merton] option pricing formula, talk about the gaps in classical and behavioral financial models, and find out what he would change about his life if he could live it again.

Show Notes and Links

Emanuel Derman
emanuelderman.com
Faculty Page
On twitter: @EmanuelDerman
Books: My Life as a Quant, Models.Behaving.Badly

[0.47] Intro. Models & Theories.
[3.45] What differentiates a theory or model in physics from one in finance?
[5.43] How to protect yourself from self-deception.
[6.55]William Blake "If a fool were to persist in his folly, he would become wise."
[7.26] At Goldman, they used models without idolizing them.
[8.40] What do you teach your students at the Columbia Financial Engineering Program?
[10.15] Example: Black-Scholes[-Merton] model for option pricing. Andy Lowes at MIT, "In physics, you have three laws that explain 99% of phenomena. In finance, you have 99 laws that explain 3% of phenomena."
[12.15] Principle of replication (arbitrage pricing theory).
[16.20] What you need to know to price a derivative. How does it fail? Correcting for that. Paul Wilmott.
[22.02] Physics: better to go deep (abstract principles). Finance: sometimes better to stay on the surface. Eugene Fama: "Finance is what doesn't go away after everyone knows about it." Elon Musk: importance of thinking by first principles vs. thinking by analogy.
[24.50] ED's favorite models. Black-Derman-Toy for interest rate. Local volatility model. Extensions of option pricing. Fixing and extending models by relaxing perfect/Platonic assumptions. Mao Tse-tung: "Let a thousand flowers bloom."
[27.07] Nassim Taleb's critiques of financial  modeling. Heuristics.
[29.30] Using the process of model-building to help discipline your thoughts. Quantifying vague intuitions.
[31.50] Institutional problems. Understanding the underlying assumptions.
[33.17] Exciting areas in finance research. Moving from derivatives to the underlying assets. Market microstructure.
[36.00] Behavioral finance. (I'm a bigger fan of finding better psychological bases to economic behavior and economic concepts like risk or utility, rather than disguising social psychology research as economics through the use of math. That's what I'm babbling about in this section. -SG). Subjectivity in economic models: it's actually "How much money do I stand to gain or lose
Hayek: In physics, the macroscopic things are sense data and real...and atoms are the abstractions. In finance, the only things that are real are the people, the markets are the abstractions. Mel Brooks on comedy vs. tragedy.
[44.24] Recommended reading: Justin Fox The Myth of the Rational Market, John Kay Other People's Money, Emanuel Derman Models.Behaving.Badly, Nassim Taleb's Black Swan & Antifragile, Elie Ayache The Blank Swan & The Medium of Contingency.
[48.48] Manfred Eigen
[49.12] More about Emanuel Derman can be found at..., What he would like to do if he could relive his life over again, How you can respond to a model vs. a theory.

The Models
Monte Carlo method
Black-Scholes-Merton
CAPM
Efficient Market Hypothesis
Geometric Brownian motion (random walk, martingale)
Jump diffusion models
Black-Derman-Toy interest rate model
Derman-Kani trees/ volatility smile models