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by Alan
Yesterday, 8:15 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 573

Re: Nonparametric hedging of volswaps with varswaps only

So, you want [$]f(T,V_0) \equiv E[\int_0^T V(t) \, dt][$] for [$]dV = (\omega V - \theta V^2) \, dt + \xi V^{3/2} dW[$], right? There is a closed-form for the mgf: [$]H(T,V_0;c) \equiv E[\exp\{-c \int_0^T V(t) \, dt\}][$],  developed in Chapt 11 of the volume I book you mention. You can take [$]\rho...
by Alan
Yesterday, 7:12 pm
Forum: General Forum
Topic: Impact factor rankings
Replies: 4
Views: 146

Re: Impact factor rankings

I will guess whatever rankers you are looking at arbitrarily exclude, for any field whatsoever, "(trade) magazines" as opposed to "(academic) journals", regardless of the relative quality of the content and/or actual influence/impact.  Might matter if you are an academic up for a tenure decision -- ...
by Alan
January 16th, 2020, 7:56 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 573

Re: Nonparametric hedging of volswaps with varswaps only

Congratulations.

How sensitive is the p/l distribution width to the vol-of-vol? For example, how does it do when the Heston V-process can reflect off the origin?

The mean-reverting SABR case would still be a good test, too. 
by Alan
January 16th, 2020, 5:23 am
Forum: Brainteaser Forum
Topic: BlackJack game
Replies: 8
Views: 282

Re: BlackJack game

Yes, another good answer for the OP next time around: "I like poker and I like to drink" --- you're hired!
by Alan
January 15th, 2020, 8:54 pm
Forum: Off Topic
Topic: Grammar Time!
Replies: 1649
Views: 200861

Re: Grammar Time!

Very true.
Re Trump, at that link I posted, perhaps every 12 letter word fits? -- well, maybe not 'unnoticeable'
by Alan
January 15th, 2020, 8:43 pm
Forum: Off Topic
Topic: Grammar Time!
Replies: 1649
Views: 200861

Re: Grammar Time!

Words that end in  able  are generally the words that can stand-alone without suffix; while words that end in  ible  are words that can not stand alone. If a word ends in a single “ e ” drop the  “e” before adding “able.” I think there are likely exceptions to #2: knowledgeable p.s. wow --  225
by Alan
January 15th, 2020, 8:13 pm
Forum: Careers Forum
Topic: Adding CS to do algo and ML trading
Replies: 15
Views: 585

Re: Adding CS to do algo and ML trading

I think that you just want to stay in school -- not that there's anything wrong with that. Anyway, if you do, go up, not down. Maybe some program like  this . Even if you fail to complete your PhD, you can walk away with a Masters in CS. If you do complete your PhD, you'll be glad you did, and much...
by Alan
January 15th, 2020, 4:56 pm
Forum: Brainteaser Forum
Topic: BlackJack game
Replies: 8
Views: 282

Re: BlackJack game

I suspect the purpose of the question is to see if the candidate has read Thorp's 1966 classic "Beat the Dealer". If so, then the short answer could be: follow his Basic Strategy. This will allow you to hang out at most tables for a while with a (very) small edge, unless the casino gets irritated at...
by Alan
January 15th, 2020, 4:22 pm
Forum: Careers Forum
Topic: Adding CS to do algo and ML trading
Replies: 15
Views: 585

Re: Adding CS to do algo and ML trading

Hi Alan  That's not the case. Going back to school would mean no salary, living off savings, paying for extra education plus tons of other drawbacks. The real reason is simply looking forward and expanding the skill set which cannot be taught/learned at math or economics department.  On the other h...
by Alan
January 15th, 2020, 3:48 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3185
Views: 131949

Re: Trump -- the last 100 days

Wait, you forgot the $37B donated to his ex -- just kidding, MacKenzie!  :D More seriously, I am glad each of these folks gets to make their own decisions here -- rather than Elizabeth W. or Bernie S. The Gates' make smart decisions and give their money to Malaria No More , as one example. In contr...
by Alan
January 14th, 2020, 8:53 pm
Forum: Careers Forum
Topic: Adding CS to do algo and ML trading
Replies: 15
Views: 585

Re: Adding CS to do algo and ML trading

I think that you just want to stay in school -- not that there's anything wrong with that. Anyway, if you do, go up, not down. Maybe some program like  this . Even if you fail to complete your PhD, you can walk away with a Masters in CS. If you do complete your PhD, you'll be glad you did, and much ...
by Alan
January 14th, 2020, 5:25 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3185
Views: 131949

Re: Trump -- the last 100 days

Wait, you forgot the $37B donated to his ex -- just kidding, MacKenzie!  :D More seriously, I am glad each of these folks gets to make their own decisions here -- rather than Elizabeth W. or Bernie S. The Gates' make smart decisions and give their money to Malaria No More , as one example. In contra...
by Alan
January 11th, 2020, 2:34 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 573

Re: Nonparametric hedging of volswaps with varswaps only

Yeah, if you really need to do positive correlation under this type of process, just stick with put options, which have a non-ambiguous value. (See the discussion around Table 8.7 in my Vol II book).
by Alan
January 11th, 2020, 1:56 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 573

Re: Nonparametric hedging of volswaps with varswaps only

You're welcome.  Re MC. For the model form I posted, likely you'll choose some mean-reverting [$]a(\sigma)[$], so the process: (a) lies on [$](0,\infty)[$], (b) never reaches a boundary in finite time, and (c) has a stationary distribution. Given that, I would transform it to [$]d y = \tilde{a}(y) \...
by Alan
January 11th, 2020, 3:00 am
Forum: Book And Research Paper Forum
Topic: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
Replies: 31
Views: 2569

Re: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution

@tw, What bearish said + SEC and CFTC cases indicate scrutiny of trade allocations and 'cherry picking' The SEC gets to see whatever they want, say on a regular inspection (infrequent, in my experience) or a surprise inspection prompted by a whistleblower tip or some other concern.  If you're a mone...
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