should math be read from left to right or from right to left, or read from the direction the math makes most sense, stay inside the other existing rules? one can easily set up nonorthodox equations that are wrong if read wrong direction, so there must be direction rules? almost any language have r...
Maybe see it in terms of the law of comparative advantage. Some are best suited to writing books. Some are best suited to having children. Some can actually manage to do both, under special conditions. Arguably, writing a really good book is even more difficult than producing a really good baby, mea...
Great - that is a very nice exposition. For the beginners/younger students, I will just lay out the key assumptions/issues with Black Scholes. Noted the thread where some you were going deeper into the terminology and the math, which is also a good exercise, but really it's the breaks on assumptions...
A good idea for this FAQ, but would be a textbook, and I doubt you'll get a taker at this point in time. To narrow the scope, if there's a troublesome assumption you can't find relaxed/fixed by diligent googling, post a question and maybe somebody will have an answer. To kick things off, I'd say th...
We all know that there are simplifying assumptions made for many (most?) quant models from Black Scholes onwards. But naturally these assumptions tend to create abstract worlds and many adjustments are needed to bring the models closer to reality. It would be useful to have an orderly table of such ...
possibly a gravity hill, also known as a magnetic hill. But it is kind of an illusion, so a trick question? Still, they do exist; here is a list of gravity hills (not necessarily complete, but a start): https://en.wikipedia.org/wiki/List_of_gravity_hills Some people like to brag about their "pe...
Some of you probably know, the FSB has recently issued a road map for LIBOR transition (October 16): https://www.fsb.org/wp-content/uploads/P161020-1.pdf Obviously this is after many months if not a few years of consultations. But is the industry really ready for it? Doing research now on existing s...
Dynamics like that are likely to change over time. One of the most interesting things about JMK is the strong position he took during the negotiations of the Treaty of Versailles. If he had prevailed, it would have changed the course of history. Not so relevant for this thread, but his reflections ...
The farce is strong in this thread. Or at least Commedia dell'arte? An extensive literature review could be enlightening. Here's a small detail on the path from Bachelier to Samuelson: " Although Bachelier’s work on random walks predated Einstein's celebrated study of Brownian motion by five...