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...

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 -- ...

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. 

Yes, another good answer for the OP next time around: "I like poker and I like to drink" --- you're hired!

Very true.
Re Trump, at that link I posted, perhaps every 12 letter word fits? -- well, maybe not 'unnoticeable'

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

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...

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...

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...

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...

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 ...

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...

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).

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) \...

@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...