Marc Henrard - Multi-curve framework

La question de l'indexation des salaires en Belgique provoque bien des débats. Certains soutenant qu'elle nuit à la compétitivité belge et d'autres qu'elle est partie intégrante de paysage belge et que sa disparition causerait plus de troubles que de bénéfices. La première remarque à faire est que la spécificité belge n'est pas l'indexation des salaires proprement dite mais son indexation automatique et réglementée. Partout les salaires augmentent plus ou moins avec l'inflation, les grandes questions sont: " Quand? " et " Comment? " Pour le " Quand? ", les salaires sont-ils augmentés avant – une protection –, avec – une indexation automatique – ou après – un rattrapage – l'inflation. Pour la Belgique, la réponse aujourd'hui est simple et nous était déjà donnée par le grand Jacques: "avec". Pour le reste du monde (qui n'utilise pas l'indexation automatique), la réponse est plus vague et est: "Cela...

“ So much or so much sigma, that is a mathematical impossibility. ” I have seen this sentence many times on LinkedIn or similar places. The supposed meaning of this sentence is that the probability of an event corresponding to x — with x being 3 or 6 or similar — standard deviations has a probability so small that it can be consider for all practical matter as impossible. These comments are based on a misunderstanding of what “ sigma ” represents together with a confusion between “normal distribution” and “any distribution”. I write this post with a discrete distribution notation but it can be extended easily — with a little bit of extra notations — to continuous distribution. Suppose that my distribution has n points with values a i and probabilities p i = 1/n ( i = 1, … , n ). The mean is m = sum i=1 n a i p i = 1/n sum i=1 n a i To simplify further my notations, I suppose that the mean is 0. The standard deviation is the square root of variance, with variance V = 1...

I was told recently that I was a " conspiracy theorist ". I was surprised, as this was delivered as an accusation while I took those words as a compliment and agree with them. Theorist : To define this term I need the comfort of a superior authority in definition: the Oxford dictionary.  Theorist : "A person concerned with the theoretical aspects of a subject"  Theory : "A set of principles on which the practice of an activity is based. I would certainly not deny that I'm a theorist, I embrace it. I do theories as a permanent activity: how to price a FRA? How to transition benchmarks? How to hit a draw? How to hole puts? (Those two last items, with limited success) When to buy biscuits? As a mathematician, an (honorary) academic, quant, how can any one think that I'm not a theorist or I would deny it? I cannot imagine a theory that would explain such thinking! Also I'm principled based (not rules based) and a practitioner, so a set of principle...