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by frolloos
January 23rd, 2020, 4:18 pm
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 931

Re: Impact factor rankings

ah, ok, I didn't sleep much last night, everything a bit of a blur. I am not going to understand string theory today either.

Tonight's lullaby:

https://www.youtube.com/watch?v=rQnNoR0ZWOA
by frolloos
January 23rd, 2020, 10:38 am
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 931

Re: Impact factor rankings

What is not even wrong?
by frolloos
January 22nd, 2020, 5:37 pm
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 931

Re: Impact factor rankings

> but remember that it was long before science established its (to us, the only correct and obvious one) modern method - with all the good and bad (and the ugly) habits... Such "tampering" with data was quite popular in Kepler's times, Even now there could be some tampering going on, perhaps not in ...
by frolloos
January 22nd, 2020, 5:20 pm
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 351

Re: how exactly do traders determine prices

@lePiddu - thanks for the colour, I wasn't aware that HW1F is used for bermuda swaptions, good to know. Good point on competition, which is another factor to take into account, and can distort the 'true' model price. I have seen trades (in eqd) where some parties try to initially buy themselves into...
by frolloos
January 21st, 2020, 2:28 pm
Forum: Technical Forum
Topic: SABR backbone
Replies: 1
Views: 167

Re: SABR backbone

It gives you part of the delta you need in order to delta hedge the option as the backbone is essentially how the implied volatility moves as the forward moves (all else constant). See and read also the paragraphs at equations (3.9) and (3.10) in Hagan et al paper introducing the SABR model. 
by frolloos
January 21st, 2020, 12:08 pm
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 351

Re: how exactly do traders determine prices

Sorry I don't have sufficient IRD experience to give you a sound answer - maybe others can help you. My background is more EQD, and specifically var/vol swaps.

And actually, I doubt whether the market uses HW1F to price / hedge Bermudan swaptions, but I may be wrong.
by frolloos
January 21st, 2020, 6:37 am
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 351

Re: how exactly do traders determine prices

This is hard to answer in full generality. It will depend on the type of exotic, if there is already a natural approximate offset to the risks of the exotic on the existing book or whether it will need to hedged, and if so how simulations of the hedge error depend on the model parameters used to hed...
by frolloos
January 21st, 2020, 6:18 am
Forum: Technical Forum
Topic: option delta
Replies: 3
Views: 143

Re: option delta

Thanks a lot.  The deeper I go into models, the more I ask myself, "how do we know our models derivations/results" are correct.  Sometimes getting confused between real financial markets and mathematical models Define "correct". Aren't all models approximations? Some are good/realistic approximatio...
by frolloos
January 21st, 2020, 6:12 am
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 931

Re: Impact factor rankings

>Done in 1609,  Kepler's  fakery is one of the earliest known examples of the use of false  data  by a giant of modern science. So Kepler practised fake news. Disappointing. I'm willing to wager one Higgs boson that CERN's CMS results are irreproducible too.  On another topic, I tend to shun away f...
by frolloos
January 20th, 2020, 7:51 am
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 931

Re: Impact factor rankings

Such as journals where some of their most cited papers have been proved to be based on garbage statistics.
Which journal(s) /paper(s)?

There seems to be a general irreproducibility crisis in scientific research: https://www.nature.com/collections/prbfkwmwvz
by frolloos
January 19th, 2020, 8:50 am
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 931

Re: Impact factor rankings

Yes the Journal of Risk has an impact rating, but Risk magazine, the one I meant I believe doesn't. It would be silly that if something is called a "magazine" instead of a "journal" it is not included in impact ratings, but that may be the reason. It's hard to argue that SABR and local volatility, j...
by frolloos
January 18th, 2020, 2:14 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 643

Re: Nonparametric hedging of volswaps with varswaps only

Thanks Alan. I actually want to try the 3/2 model with mean reversion - as in your book volume I. At first I thought that I would need to recalculate the whole smile at each time step (which is a Monte Carlo in a Monte Carlo), find the new (adjusted) zero vanna IV and varstrike and then update the h...
by frolloos
January 18th, 2020, 10:45 am
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 931

Impact factor rankings

Why isn't Wilmott included in impact factor rankings for quant finance journals? Neither is Risk. Not sure how these things work and how relevant rankings are.
by frolloos
January 16th, 2020, 2:20 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 643

Re: Nonparametric hedging of volswaps with varswaps only

Update: I derived a more accurate formula for the hedge ratio, and I will update the arXiv paper accordingly. See the formula below and also a histogram of the hedge p/l in volatility points. I.e. if final value of volatility swap is 20% and the hedge is 20.2%, then p/l is 0.2%. I ran 500 simulation...
by frolloos
January 14th, 2020, 11:38 am
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 643

Re: Nonparametric hedging of volswaps with varswaps only

I think actually the section on hedging needs revision because I overlooked something subtle (as usual). The end conclusion though that you need 1/(2[$] \Sigma_- [$]) of varswaps to hedge volswaps I believe remains true. The subtlety is as follows: given two functions [$] F(x) [$] (the volswap) and ...
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