∫ntegrabℓε ∂iﬀerentiαℓs · unorganised notes, code, and writings of random topics

Das & Stein (2011) Differences in Tranching Methods

December 31, 2018 paper

There are two methods the rating agencies used to evaluate credit worthiness. S&P and Moody’s in particular, uses the probability of default (PD) and the expected loss (EL) respectively. This paper compares these two methods in the context of CDO. [more]

Koutras (1996) On a waiting time distribution in a sequence of Bernoulli trials

December 28, 2018 paper

Consider a Bernoulli trial with success probability , this paper is interested in the problem of the number of trials needed to see the -th occurrence of seeing 2 successes within a window of no more than trials. Windows are non-overlapping. [more]

Using pgfplotstable in LaTeX

December 11, 2018 blog code

pgfplotstable allows you to typeset a table in LaTeX without really typing out the table. The following is a simple example, that converts a CSV into a table: [more]

Multiprocessing behaviour of Python in Windows vs non-Windows

November 16, 2018 blog code

Recently some interesting behaviour of Python implementation is found. Indeed, it is mentioned in StackOverflow some time ago already. [more]

Kriegel et al (2010) Outlier Detection Techniques

November 13, 2018 paper

Outlier: definition by Hawkins (1980), an observation which deviates so much from other observations as to arouse suspicions that it was generated by a different mechanism mechanism: statistical process Example: Hadlum v Hadlum (1949), birth of a child happened 349 days after Mr Hadlum left for military service while average... [more]