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by frolloos
April 6th, 2020, 8:50 am
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 11
Views: 3932

Re: Nonparametric hedging of volswaps with varswaps only

Nobody cares, or should care these days, I know I don't, but update of paper including a generalisation of Gatheral's formula for varswaps: https://arxiv.org/abs/2001.02404 And here is another scribble, which I think simplifies Carr-Lee's correlation immunisation for vol derivs valuation: https://pa...
by frolloos
March 2nd, 2020, 12:32 pm
Forum: Numerical Methods Forum
Topic: Geo dispersion
Replies: 2
Views: 3915

Re: Geo dispersion

Volswap or varswap?

Well, that really killed the conversation...
by frolloos
February 25th, 2020, 12:46 pm
Forum: Programming and Software Forum
Topic: The Julia Programming Language
Replies: 23
Views: 5075

Re: The Julia Programming Language

I currently use Octave / Matlab for writing pricing/calibration scripts. Can't call what I do 'programming'. For scripting purposes, in what ways is Julia better than Octave/Matlab? 
by frolloos
February 25th, 2020, 11:43 am
Forum: Numerical Methods Forum
Topic: Geo dispersion
Replies: 2
Views: 3915

Re: Geo dispersion

Volswap or varswap?

Btw, probably not a numerical methods forum question.
by frolloos
February 21st, 2020, 5:22 pm
Forum: Politics Forum
Topic: FSU, Toby Young, Eugenics & Wilmott.com
Replies: 70
Views: 9307

Re: FSU, Toby Young, Eugenics & Wilmott.com

There is no such thing as defamation in free speech. Is it free or not free? Whether what you say is legal or not is a different matter. Free speech allows opinions, insults, lies, etc. but not threats, harming reputations, etc. So defamation out, facts in. Saying someone went to a neo-Nazi confere...
by frolloos
February 21st, 2020, 10:35 am
Forum: Politics Forum
Topic: FSU, Toby Young, Eugenics & Wilmott.com
Replies: 70
Views: 9307

Re: FSU, Toby Young, Eugenics & Wilmott.com

What about the silent majority (like me and a few other comrades) who just want to talk about maths and PDE?
Free-Boundary Union.

Even Paul may want to join that union :)
by frolloos
February 21st, 2020, 9:57 am
Forum: Politics Forum
Topic: FSU, Toby Young, Eugenics & Wilmott.com
Replies: 70
Views: 9307

Re: FSU, Toby Young, Eugenics & Wilmott.com

There is no such thing as defamation in free speech. Is it free or not free?

Whether what you say is legal or not is a different matter.
by frolloos
February 14th, 2020, 6:37 am
Forum: Technical Forum
Topic: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form
Replies: 9
Views: 2972

Re: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form

2) there should be some kind of relationship,  but specifying it is the core question of this thread. Writing [$] \{ x^i \} = (x,y) [$] and [$] \{ \tilde{x}^i \} = (\xi,\eta) [$]. I am assuming the non-canonical boundary condition can be written as [$] B_i u(x,y) = 0 [$] with [$] B_i = v(x,y) \frac...
by frolloos
February 12th, 2020, 4:33 pm
Forum: Technical Forum
Topic: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form
Replies: 9
Views: 2972

Re: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form

This is likely too simplistic but [$] \xi [$] can be written as [$] \xi = \log (x^{\rho\sigma} / e^y) [$], so [$] e^y [$] will dominate the limit behaviour? I think there are four limits to consider for [$] \xi [$] and also whether the correlation is positive or negative, but in all cases I think th...
by frolloos
February 12th, 2020, 2:59 pm
Forum: Forum and Website Bugs and Suggestions
Topic: Wish list for www.wilmott.com V2.0
Replies: 92
Views: 41162

Re: Wish list for www.wilmott.com V2.0


Wow, trackstar, you found the thread :)


il_1588xN.944892462_5dhs.jpg
by frolloos
February 12th, 2020, 2:47 pm
Forum: Technical Forum
Topic: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form
Replies: 9
Views: 2972

Re: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form

I think I posted while you were still editing your question, in particular regarding the boundary condition, so pls ignore my post. But to clarify: partial derivatives are vectors, the cross term imply the vectors are not orthogonal. You can always do a local coordinate transform such that the cross...
by frolloos
February 12th, 2020, 1:58 pm
Forum: Technical Forum
Topic: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form
Replies: 9
Views: 2972

Re: Transforming Two-Factor PDEs containing Mixed Derivatives to Canonical Form

Orthogonalization cannot be bad.

Could you also use Gram-Schmidt?

Btw, are you not missing a drift term for the variance?
by frolloos
February 12th, 2020, 11:01 am
Forum: Off Topic
Topic: A Differential Geometric Question for all of you geometers out there.
Replies: 31
Views: 191542

Re: A Differential Geometric Question for all of you geometers out there.

Thanks for the notes Cuch, does look like a good set of notes. Quickly read it and lost it towards the end: Ricci flow is weakly parabolic and then using a trick it becomes strongly parabolic (??). Need to spend more time on it. I am actually reading a book on heat kernel expansions and, well, thing...
by frolloos
February 12th, 2020, 9:16 am
Forum: Off Topic
Topic: A Differential Geometric Question for all of you geometers out there.
Replies: 31
Views: 191542

Re: A Differential Geometric Question for all of you geometers out there.

Rcci flow -> heat equation was the main ingredient of Richard Hamilton "program" to advance the studies on Poincaré conjecture. Perelman completed Hamilton program to prove the conjecture. But what does Ricci flow *mean*? Specifically, is it a process that occurs in nature, or is it purely a constr...
by frolloos
February 12th, 2020, 8:55 am
Forum: Technical Forum
Topic: Var swap and Vol swap
Replies: 2
Views: 3347

Re: Var swap and Vol swap

Why do two different products trades as vol swap and var swap. Are these products not inter-convertible?  I know Var swap has convexity and vol swap does not have but i don not understand how it helps in risk management. Can we calculate Vol of Vol if we know about vol swap and var swap? Is there a...
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