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by Alan
Yesterday, 7:30 pm
Forum: General Forum
Topic: GBM
Replies: 3
Views: 81

Re: GBM

There is a related theorem called "Levy's characterization of Brownian motion", with lots of sources online. It requires two assumptions: (i) same as yours on the variance and (ii)  that the process is a continuous martingale. Whether or not it can be extended to "drifting Brownian motion" by droppi...
by Alan
November 22nd, 2020, 8:46 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4140
Views: 226525

Re: Trump -- the last 100 days

by Alan
November 20th, 2020, 9:43 pm
Forum: Student Forum
Topic: Black volatility from SABR
Replies: 1
Views: 327

Re: Black volatility from SABR

I am not an interest rate product person (the likely setting for your question), but I will take a shot at it anyway. The Black model is a one parameter model. Once you calibrate it to a given option price with a strike and term, you have one parameter: the implied volatility. Then, what? That one p...
by Alan
November 20th, 2020, 6:30 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4140
Views: 226525

Re: Trump -- the last 100 days

Good brainteaser: who are the hottest women named Sidney, Robin, or Leslie?
by Alan
November 20th, 2020, 6:13 pm
Forum: Off Topic
Topic: trackstar's Needle Exchange
Replies: 358
Views: 41139

Re: trackstar's Needle Exchange

Sci-fi that became real - a movie for the weekend: Alpha Go - The Movie Happy to take movie recs for the winter and I'm not like Paul; one mistake and you're done. Haha. : ) Amazon Prime Originals I have enjoyed (so all are series):  1. The Man in The High Castle 2. The Marvelous Mrs. Maisel 3. Fle...
by Alan
November 20th, 2020, 5:16 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4140
Views: 226525

Re: Trump -- the last 100 days

Speaking of Fox News. WaPo promotes Tucker Carlson segment -- did pigs just fly?

Tucker Carlson bashes Trump attorney Sidney Powell for lack of evidence in fraud claims: ‘She never sent us any’
by Alan
November 20th, 2020, 12:03 am
Forum: Off Topic
Topic: Bad things that come out of this pandemic
Replies: 115
Views: 12080

Re: Bad things that come out of this pandemic

We got new rules this week, can max have 5 visitors private in Norway now. I was planning a party with ten, 5 women and 5 men. I unfortunately had to send out cancelations to the men now! Australia was loosening on their corona restrictions now, spring there I guess! here in the northern hemisphere...
by Alan
November 19th, 2020, 2:59 pm
Forum: Technical Forum
Topic: Arbitrage Free Interpolation of Implied Volatility on Time Dimension
Replies: 1
Views: 157

Re: Arbitrage Free Interpolation of Implied Volatility on Time Dimension

You might try Fengler's method and see if it's smoother in the time direction.
by Alan
November 18th, 2020, 10:14 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4140
Views: 226525

Re: Trump -- the last 100 days

In what year did these alleged frauds occur?
by Alan
November 18th, 2020, 8:41 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4140
Views: 226525

Re: Trump -- the last 100 days

If Biden appoints an attorney general who prosecutes Trump criminally for whatever, then here we go again! The next 4 four years will be all about Trump, too! The media and Bill Maher will love it. Trump might even relish it, if he thinks it's a fight he can win, and sees his speaking fees skyrocket...
by Alan
November 18th, 2020, 3:18 pm
Forum: Off Topic
Topic: trackstar's Needle Exchange
Replies: 358
Views: 41139

Re: trackstar's Needle Exchange

Yeah, I get it, but I think you are taking it too personally!
by Alan
November 18th, 2020, 4:24 am
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 4140
Views: 226525

Re: Trump -- the last 100 days

The Clintons, and I'm sure many others, earned an average of $210,000 per speech when out of office. I will guess Trump will earn similarly. And how long is an oft-repeated speech -- an hour?  LeBron James earns $435,000 per, let's say 2.5 hr basketball game -- about the same rate as the Big Cheese ...
by Alan
November 17th, 2020, 9:19 pm
Forum: Off Topic
Topic: trackstar's Needle Exchange
Replies: 358
Views: 41139

Re: trackstar's Needle Exchange

1500 pages sounds about right. You'll live ... unless .. well, that would be a spoiler!
by Alan
November 17th, 2020, 5:55 am
Forum: Off Topic
Topic: trackstar's Needle Exchange
Replies: 358
Views: 41139

Re: trackstar's Needle Exchange

Gardner Dozois edited a great Year's best SF collection from 1984-2018. Unfortunately he has passed away. Of all those stories, my all time favorite is "Story of Your Life" by Ted Chiang. If you only read one more sf story before you die, I recommend that one. It's in Chiang's collection "Stories of...
by Alan
November 16th, 2020, 8:21 pm
Forum: Off Topic
Topic: trackstar's Needle Exchange
Replies: 358
Views: 41139

Re: trackstar's Needle Exchange

I read every year "The Best Science Fiction of the Year" (Neil Clarke, ed) and "The Best Horror of the Year" (Ellen Datlow, ed). Both of the latest volumes have a story based on knitting!  A good brainteaser would be to guess the plot: Hints:  SF: disabled spaceship Horror: small town  Interesting,...
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