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by RDiamond
August 17th, 2017, 9:33 pm
Forum: Student Forum
Topic: rough volatility
Replies: 10
Views: 1834

Re: rough volatility

Simulations with fBM with Hurst exponent >0.8 respect the long-term memory feature in the process.  That is high autocorrelation for months at a time (simulated).  The whole autocorrelation profile changes from exponential decay  exp(t2 - t1) to power law  (t2 - t1)^(...). This fits the behaviour of...
by RDiamond
August 17th, 2017, 4:12 pm
Forum: Trading Forum
Topic: Volatility Trading And Predicting
Replies: 30
Views: 26335

Re: Volatility Trading And Predicting

This does remind decomposition by Sebastien Bossu of delta hedging into the sum of Gamma-weighted MtM payoffs (daily).
by RDiamond
December 20th, 2012, 2:30 am
Forum: General Forum
Topic: Will Co-Integration Match Volatility?
Replies: 3
Views: 9446

Will Co-Integration Match Volatility?

Why don't you look at correlations of ATM-constant implied volatilities. Options that would represent current ATM vol. will change depending on asset price but Bloomberg shows such implied vol. (at least) for market indices.
by RDiamond
December 20th, 2012, 2:24 am
Forum: General Forum
Topic: ICAP, Vols Using Displaced Diffusion?
Replies: 6
Views: 11905

ICAP, Vols Using Displaced Diffusion?

I saw ICAP as a provider of cap/floor quotes on Thompson Reuters (Eikon).
by RDiamond
May 13th, 2012, 1:18 am
Forum: The Quantitative Finance FAQs Project
Topic: What is change of numeraire and why is it useful in finance?
Replies: 13
Views: 242382

What is change of numeraire and why is it useful in finance?

<t>An example from the new (2012) book, Red-Blooded Risk, by Aaron Brown. It's about the statistics on scratches on bombers during WWII. The underside and leading edges of the plane took more than other parts. Air Force sent the data to a statistician, Abraham Wald, asking to point out areas where a...
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