SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Alan
Yesterday, 7:58 pm
Forum: Off Topic
Topic: Gallows humour
Replies: 59
Views: 2696

Re: Gallows humour

I used to live quite close, At the weekends on LI Expy.. And Dinosaur Playground ... I bet ppauper hangs out there. My Mom and I took the train from Arizona to the 1964 World's Fair there. (Flushing Meadows) 1920px-New_York_World's_Fair_August_1964.jpg Here's the  Corona bug landing in the same loc...
by Alan
Yesterday, 6:57 pm
Forum: Off Topic
Topic: Random photo's
Replies: 1856
Views: 94158

Re: Random photo's

 … agrees to stop kicking the cat.
by Alan
Yesterday, 6:35 pm
Forum: Off Topic
Topic: Gallows humour
Replies: 59
Views: 2696

Re: Gallows humour

Not so humorous, really, but ironically, one of the worst hit neighborhoods in NYC:
corona-queens-map.jpg
by Alan
April 8th, 2020, 11:35 pm
Forum: Off Topic
Topic: Good things that come out of this pandemic...
Replies: 136
Views: 3250

Re: Good things that come out of this pandemic...

I get it now. I was liking on IMHE; you guys were hating on ICL. OK, I'm done with #50. 
by Alan
April 8th, 2020, 11:04 pm
Forum: Off Topic
Topic: Good things that come out of this pandemic...
Replies: 136
Views: 3250

Re: Good things that come out of this pandemic...

Well, I was talking about this group. Who's the 'one guy'?
by Alan
April 8th, 2020, 10:25 pm
Forum: General Forum
Topic: Nobel prize contributions and the birth of implied volatility
Replies: 10
Views: 445

Re: Nobel prize contributions and the birth of implied volatility

Re 'laughable', I think that might go too far. Here's a thought experiment. Pretend you are trading and also tasked with providing ballpark theoretical option values to support trading. It's a two-person shop: you and your boss. So, you can't pass the buck.  :D Your boss gives you the following assi...
by Alan
April 8th, 2020, 9:03 pm
Forum: Off Topic
Topic: Good things that come out of this pandemic...
Replies: 136
Views: 3250

Re: Good things that come out of this pandemic...

How is that an answer to 'has anyone done better than the IMHE models'?? It's an ill-posed question. You should ask who got funding to do it (easily better) :-) OK, let me rephrase the question(s). You've spent a lot of time on the modelling.  1. What modelling group do you like the best for any re...
by Alan
April 8th, 2020, 8:21 pm
Forum: General Forum
Topic: Nobel prize contributions and the birth of implied volatility
Replies: 10
Views: 445

Re: Nobel prize contributions and the birth of implied volatility

1. Black and Scholes looked at Thorp & Kassouf's 'Beat the Market', which had a fair amount of warrant data, the dominant type of tradeable option at the time. They also followed up with comparisons of their formula with market data. So, you perhaps mis-characterize their work as 'math only'. My poi...
by Alan
April 8th, 2020, 8:01 pm
Forum: Off Topic
Topic: Good things that come out of this pandemic...
Replies: 136
Views: 3250

Re: Good things that come out of this pandemic...

How is that an answer to 'has anyone done better than the IMHE models'??
by Alan
April 8th, 2020, 7:16 pm
Forum: Off Topic
Topic: Good things that come out of this pandemic...
Replies: 136
Views: 3250

Re: Good things that come out of this pandemic...

What's your issue with 'respect'?
by Alan
April 8th, 2020, 7:01 pm
Forum: Off Topic
Topic: Good things that come out of this pandemic...
Replies: 136
Views: 3250

Re: Good things that come out of this pandemic...

50. When was the last time mathematical modelling of a semi-social-science nature became this important and got this much respect? The last significant crisis was, to a significant degree, blamed on the modelers!   Pet peeve. Many of the tv critics fail to acknowledge the uncertainty intervals in t...
by Alan
April 8th, 2020, 5:06 pm
Forum: General Forum
Topic: Nobel prize contributions and the birth of implied volatility
Replies: 10
Views: 445

Re: Nobel prize contributions and the birth of implied volatility

I think you have a very good practical understanding. Everything you say from "Here's the rub" and below is widely accepted . I think what you don't appreciate is that all the practical limitations of the BSM formula were also well-appreciated early on by just about everybody, including the inventor...
by Alan
April 7th, 2020, 8:52 pm
Forum: Off Topic
Topic: How good or bad are the pandemic warning models?
Replies: 786
Views: 77639

Re: How good or bad are the pandemic warning models?

The stock market is a pandemic warning model of sorts. But, remember the famous quip from Paul Samuelson (slightly adapted):
The stock market has predicted nine of the past five COVID-19 subsidences.
by Alan
April 7th, 2020, 6:36 pm
Forum: Off Topic
Topic: How good or bad are the pandemic warning models?
Replies: 786
Views: 77639

Re: How good or bad are the pandemic warning models?

Cured virus patients might have tested positive due to virus reactivation: KCDC "More than 50 people who recovered after contracting COVID-19 have tested positive again, but the results might have been due to the reactivation of the novel coronavirus, health authorities here said Monday." Interesti...
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