Gregory Gundersen is a researcher in New York.
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Imagine we want to compute the square root of a number n n n . The basic idea of Heron’s method , named after the mathematician and engineer, Heron of Alexandria, is to find a number g g g that is close to n \sqrt{n} n and to then average that with the number n / g n/g n / g , which corrects for the fact that g g g…
The Black–Scholes formula is the crown jewel of quantitative finance. The formula gives the fair price of a European-style option, and its success can ultimately be measured by its impact on option markets. Before the formula’s publication in 1973 (Black & Scholes, 1973; Merton, 1973) , option markets were relatively…
A dimension is a physical quantity that can be measured, while a unit is a specific amount of a physical quantity. For example, time is a dimension, which can be measured in temporal units such as hours or seconds.
The existence claim for the singular value decomposition (SVD) is quite strong: “Every matrix is diagonal, provided one uses the proper bases for the domain and range spaces” (Trefethen & Bau III, 1997) . MIT professor Gilbert Strang has a wonderful lecture on the SVD, and he includes an existence proof for the SVD…