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Eclectic recent math-goodness :

Two nice video talks by Terry Tao on Random Matrices and Additive Combinatorics here

A programmers intro to the practical aspects of Flow Graphs at topcoder algorithm tutorials


Last but not least the superb ‘Princeton Companion to Mathematics‘.

In a nutshell, PCM is a readable survey-guide to modern math by the experts.  Some links –

Should be in print Nov 2008.  Hopefully more articles from Tim Gowers’ and Terry Tao’s blogs will make it out in book form, with the momentum this will generate…

I found some very interesting (promo?) slides from SocieteGenerale discussing WHY the Libor Market Model LMM [aka BGM/J, an instance of HJM] has become so popular, despite its significant imperfections.

But are we fooling ourselves that we can still put “the wrong number in the wrong formula to get the right price”?

I think they miss the point, basically you need some parameters to make a good model fit the environment [to paraphrase Dermans definition of useful ‘model’ is that it allows you to price something from other, somehow related, market observables].  Sure, you need several parameters to get enough flexibility to calibrate to the market.

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