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Paul
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What are the most important unsolved problems in finance today?

January 11th, 2004, 11:39 am

Suggested by ExotiqP
 
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Ond
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What are the most important unsolved problems in finance today?

January 11th, 2004, 11:43 pm

It would be interesting if we could agree on a list a la Hillbert
 
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gatarek
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What are the most important unsolved problems in finance today?

January 12th, 2004, 10:53 am

Last edited by gatarek on February 24th, 2004, 11:00 pm, edited 1 time in total.
 
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linuscarey
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What are the most important unsolved problems in finance today?

January 13th, 2004, 12:04 pm

A model that describes the volatility well!
 
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StanleyC
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What are the most important unsolved problems in finance today?

February 16th, 2004, 2:52 pm

Volatility structure
 
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andym
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What are the most important unsolved problems in finance today?

February 17th, 2004, 5:49 am

All problems in finance are unsolved!
Last edited by andym on February 16th, 2004, 11:00 pm, edited 1 time in total.
 
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ASSetStudent
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What are the most important unsolved problems in finance today?

February 22nd, 2004, 6:32 pm

The cross-section of expected stock returns.
 
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reza
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What are the most important unsolved problems in finance today?

February 26th, 2004, 2:36 pm

closed form for American Put
 
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exotiq
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What are the most important unsolved problems in finance today?

February 27th, 2004, 12:15 am

QuoteOriginally posted by: rezaclosed form for American PutDoes this mean that is has not been proven that such a closed-form solution does not exist to that PDCP, or better yet, proven to exist but has not yet been discovered? With the number of Mathematicians I can imagine to have been pouring in this are for the past one billion seconds, I certainly wouldn't have thought it had you not brought it up...
 
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granchio
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What are the most important unsolved problems in finance today?

February 27th, 2004, 11:13 am

QuoteOriginally posted by: rezaclosed form for American Putout of curiosity: why would you consider this important, instead of just a formula saving some cpu time?
 
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reza
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What are the most important unsolved problems in finance today?

February 27th, 2004, 4:11 pm

true, from a practical point of view it is not that importantit's more from a theoretical point of view
 
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granchio
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What are the most important unsolved problems in finance today?

March 2nd, 2004, 8:00 am

here's anothere one, which is the daily bread and butter of many traders:how to price a vanilla 120% one year european call, (or 80% EP, whatever), on a liquid european stock with exitsting but illiquid option market (there are many of those).Please assume that:- there is one dividend expected, but neither date nor amount are officially confirmed-similar instruments trades infrequently, it is sometimes possible to get quotes but they will be say 5 volpoints wide, and for very small size- you either have to quote for a) only bid or ask, but for 10 times the daily volumeb) both side, for 1/3 the daily volume,and you have real political pressure from your bosses to win the trade or at least look good vs the competion, i.e. in (a) you have to be within 1 volpoint of the competition, in (b) you have to be 2 volpoint wide.this is just to point out that our academic work remain focused on the need to fit our volsurfaces to the market, and predict the market smile dynamics, but in reality very often the problem is that there is no such thing as a market.
Last edited by granchio on March 1st, 2004, 11:00 pm, edited 1 time in total.
 
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Droplet
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What are the most important unsolved problems in finance today?

November 29th, 2004, 12:28 pm

granchio, interesting topic.. do you know any papers in that area? Thanx, DROPlet
 
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Pasargad
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What are the most important unsolved problems in finance today?

December 16th, 2004, 12:05 am

I doubt any paper will explain how to do what granchio describes: that is precisely the trader's job!The only thing I can think of is that old paper from GS, where historical distributions are risk-neutralized by relative-entropy minimization (in other words, you find the "closest" risk-neutral distribution to the historical distribution of the stock). How good that method works in practice, I do not know...
 
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bertstein
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What are the most important unsolved problems in finance today?

December 16th, 2004, 9:27 pm

"Nothing's done. We know nothing. The theory doesn't work."- Steve Ross on asset pricing(cribbed from someone's website)
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