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 Talk on Alternative Factor Investing
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 New Paper on Bond Portfolio Dynamics
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 My Letter to the Wall Street Journal
 Quarter the Cross: An Elegant Construction
 Quarter the Cross
 My FT Alphaville Commentary on Managing U.S. Treasury Debt
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 Puzzle #2: Weighted Average LTV
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Category Archives: Math
September in Paris
In a previous post, I described a paper on sovereign debt by Mattia Landoni (Cox School of Business – Southern Methodist University), Christopher Cameron (US Treasury), and me. Our paper gives a simple way to relate debt management policies and … Continue reading
Posted in Bonds, Economics, Math
Tagged OECD, Public Debt Management, U.S. Treasury Debt
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Bond Talk on May 23
If you’re in Denver on May 23 and you’re interested in the bond market, join us for a QWAFAFEW* talk: Predicting the Supply of LongTerm Bonds. The talk will be based on a new paper by Mattia Landoni, Chris Cameron, … Continue reading
Posted in Bonds, Economics, Math
Tagged Debt Management, Economics, Federal Reserve, QWAFAFEW, US Treasury
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New Paper on Bond Portfolio Dynamics
Mattia Landoni (SMU Cox School of Business) and I recently completed a paper on bond portfolio dynamics (now under review at an academic journal). We offer a new theory on the evolution of the maturity structures for rolling bond … Continue reading
Posted in Bonds, Economics, Math, Optimization
Tagged Bonds, Debt Management, National Debt, U.S. Treasury Debt
2 Comments
Quarter the Cross: An Elegant Construction
Last month, I presented an infinite pattern of nested crosses as a response to the #QuarterTheCross challenge on Twitter. The idea is to find interesting ways to shade onequarter of the area of the cross built from five squares.Now David Butler, a math lecturer … Continue reading
Quarter the Cross
Yesterday, I noticed that some of the math teachers I follow on Twitter were challenging their students, and themselves, with the #quarterthecross problem. The problem is simply to find interesting regions of a fivesquare cross that take up exactly onequarter of … Continue reading
Happy 5 2 0 1!
Last year, in Happy 0 0 1 0 0 1 0 0 0 0 1!, I discussed an interesting way to represent numbers based on their prime factorization. For example, 63 is represented by 0 2 0 1 because 63 = 20 … Continue reading
Fast Formulas #6: Finding the Time
The Fast Formulas on this blog provide shortcut calculations for financial instruments such as mortgages and bonds. Most formulas involve the symbol n to represent the number of periods (e.g. years or months) until the end of the instrument. Usually … Continue reading
Posted in Bonds, Fast Formulas, Math
Tagged Bond Math, Fast Formulas, Math, Mortgage Math, Time Value of Money
2 Comments
A Mathematical Family Tree
I am delighted by what I just learned about my mathematical family tree. It started with this tweet by scientist and writer Paul Halpern: More than 120,000 mathematicians can trace their scholarly heritage back to Byzantine thinker Manuel Bryennios: http://t.co/ejlzX2AO3K … Continue reading
Posted in Fun, Math
Tagged H.S.M. Coxeter, Mathematics Genealogy Project, Nicolo Tartaglia, Roger Penrose, William Shaw
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Happy 0 0 1 0 0 1 0 0 0 0 1!
Most systems for representing numbers are a combination of the visible and invisible. In the familiar baseten system, we represent numbers by linking visible digits to an invisible scaffold of powers of ten. For example, 534.08 implies the respective multiplication … Continue reading
Posted in Fast Formulas, Math, Music
Tagged Fundamental Theorem of Arithmetic, Prime Numbers, Pure Math, Representing Numbers, WellTempered
3 Comments
Puzzle #9 (Followup): Melting Fractals
The song “Let it Go” from the movie Frozen celebrates “frozen fractals.” I suppose a frozen fractal is something like the Koch snowflake. Lately, though, one of my puzzles has made me more interested in melting fractals. The challenge of Puzzle … Continue reading
Posted in Fun, Graphic Presentation, Math, Puzzles, Visualization
Tagged Big Data, Fractals, Latin Hypercube Sampling, Latin Squares, MATLAB, Sierpinski Tetrahedron
2 Comments