Not a quant, but I have physics training and I’m very curious about stochastic calculus and finance.
Isn’t it implicit in a lot of the work? If you’re modelling volatility you’ll need the rigorous mathematics in the back of your mind while you do so to keep you on track.
Similarly, a webdev isn’t going to use fancy tree algorithms often… but they need to understand the DOM and its structure.
Yes it's behind everything a derivatives quant would do. But I think quite a long way behind. Closed form analytic solutions using calculus only exist for relatively simple models and products. Most of the time you use it to calibrate and discretise a model and afterwards it's all Monte Carlo. What's more you can often just look that part up as models are increasingly commoditised rather than secret sauce.
Stochastic calculus is required to derive closed formulas and approximations used to calibrate SDE models. Similarly to deep learning, the secret sauce lies in the training, less in the inference. The code used by banks is closed source, and the research papers are missing said secret sauce. Calibrating models in a production environment handling correlation, multi-curves, stochastic funding, discrete dividends, etc. is not a solved problem. Interest rate derivatives modeling heavily relies on change of measure, even when using simple models.
Yes you need it, and no it’s not trivial. Not all quants need it on a daily basis though.
The comment above is probably from a bot. You do need an extensive understanding of stochastic calculus to maintain quant models code, let alone explain what it does to regulators.
The parent comment definitely violates the site guidelines.
How can you tell? They're missing the telltale sign — the em dash.
Good point. On a serious note, I probably overreacted, sorry about that. I have been working as a derivatives quant for a decade and thought the claim that stochastic calculus was not used/useful was ridiculous.
You're good bro. This is the internet; we're all here to have a good time.
I hate this em dash meme. Yes, using a totally normal bit of punctuation is a sure sign that something was written by a bot.
How so? A human is more likely to use a hyphen, an AI an em dash. Same with quotes - a human is much more likely to use ", an AI “ and ”. Typography is a differentiating signal when it's used dis-proportionally more by one group than another.
Word processors (less of an issue for Internet comments, but worth keeping in mind) but more significantly iOS (at least) and I assume Android will just swap in an em dash where needed—it is automatic.
There is probably some signal, but be a good Bayesian; we have people saying “oh, this is a bot” when there’s a huge population of mobile users with smart keyboards that are the more likely cause.
Anyway, in general I find bot-hunting annoying. Comments should be handled as comments, if someone has made a bad argument, it should be taken down as a bad argument. If it was bot-generated, it is still there to mislead people. The advantage that bots have is that they have infinite patience and nothing better in their lives to do than argue, but there have always been people like that, so hopefully readers will be able to observe that persistence!=correctness.
I'm using a stock Android keyboard - it doesn't. Perhaps that's were our differing perspectives originate. I'm updating away from AI, and toward iPhone users.
EDIT: I plugged in my prior, hit rate and false alarm rates from before updating and found that my P(AI|fancy-em) = 0.09. After updating my false alarm rate, P(AI|fancy-em) now = 0.016.
Oh wow, it is a convenient feature IMO.
> The comment above is probably from a bot.
Wtf
Is this happening?
People accusing comments they don’t agree with of being bots? Yes it has been happening for decades. Lots of folks are bad at arguing, so they make random accusations to distract from that fact.
Yes, it happens that some people create bots and have them post in these pages. They (some?) do not pass the "naïve Turing Test" though: there is one that tries to speak like an "inspiring lifecoach" and has zero juice squared. Check the shadowed posts around...
And on the other side, I have been accused a few times - writing outside expected canon (of form and content) can be sufficient.
So, bragging I will say, accusations hit both tails of the juice curve ;) .