6. Is the equal sovereignty of other people and their governments recognized?

Every country sticks its nose into other countries' businesses. It's annoying. One thing you can say about North Korea is they don't interfere. If you can ignore the occasional missile.Statistics: Posted by Paul — Today, 2:53 am

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non-technical exploration of the world of algorithmic trading strategies

Looks like this is just an overview of the subject (?).Statistics: Posted by tagoma — Yesterday, 9:11 pm

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Statistics: Posted by ExSan — Yesterday, 4:15 pm

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The SABR model has been around for a long-time and it often studied via a small-maturity power series. In fact, all stochastic volatility models have a double power series expansion, for the Black-Scholes implied volatility, in the time-to-maturity T and the log-moneyness. With my coauthor Dan Pirjol, we prove that this series (taking the lognormal SABR model at the at-the-money point) is strictly asymptotic: non-convergent for any [$]T>0[$]. Paper is here

For some background, the non-analyticity of the diffusion kernel factor, [$]e^{-d^2/T}[$] at [$]T=0[$] leads many to believe strict asymptotics in [$]T[$] is the only possibility for option values and related solutions for diffusion models. As we explain in the paper, that's not correct. For example, a simple case is the at-the-money Black-Scholes option value [$]V_{BS}(T) = \mbox{Erf}(2^{-3/2} \sqrt{T})[$]. If you divide the right-hand-side by a [$]\sqrt{T}[$], you get an entire function of [$]T[$], and so an associated power series in [$]T[$] that converges for any [$]|T| < \infty[$]. In principle, that or analyticity for [$]|T| < R[$], where [$]R>0[$] is a convergence radius, could hold in the SABR model. We prove it doesn't.

As always, any comments on the paper are appreciated.

For some background, the non-analyticity of the diffusion kernel factor, [$]e^{-d^2/T}[$] at [$]T=0[$] leads many to believe strict asymptotics in [$]T[$] is the only possibility for option values and related solutions for diffusion models. As we explain in the paper, that's not correct. For example, a simple case is the at-the-money Black-Scholes option value [$]V_{BS}(T) = \mbox{Erf}(2^{-3/2} \sqrt{T})[$]. If you divide the right-hand-side by a [$]\sqrt{T}[$], you get an entire function of [$]T[$], and so an associated power series in [$]T[$] that converges for any [$]|T| < \infty[$]. In principle, that or analyticity for [$]|T| < R[$], where [$]R>0[$] is a convergence radius, could hold in the SABR model. We prove it doesn't.

As always, any comments on the paper are appreciated.

This paper has now been published online at Quantitative Finance and will appear in their print edition in due course.

For limited (first 50 clicks) free access to the published version, follow this link and look for the sentence "The final published version ..."

Statistics: Posted by Alan — Yesterday, 3:25 pm

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Except when the property in question is a uterus, of course.

Another one:

5. Are all people under the authority of government expected to have the same (a) protection of inviolable rights; and (b) the same say in what benefits them?

Statistics: Posted by Marsden — Yesterday, 11:24 am

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Democracy is not the same as being able to decide what is best for oneself and one's family. The nuances therein is the story of America! Being self sufficient is one of the best things about Americans...although it leads to e.g. the worst healthcare in the world outside lots of Africa and North Korea.

Statistics: Posted by Paul — Yesterday, 2:40 am

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As a first take

1. Whether it is successful at it or not, is there an expectation that the government should work to benefit the people under its authority? (Most of the world -- including I think even China -- gets a "yes" on this; Russia and some other kleptocracies get a "no”)

2. Is it held that the people themselves are the ones who decide what benefits them? (Democracies -- and the people who support democracy -- get a "yes" on this; theocracies and ideology-centered governments -- and the people who support these -- get a "no")

3. Is the government expected to protect certain inviolable rights of individuals, regardless of popular sentiment?

4. Are property rights held to be of a stature equivalent to that of universal human rights?

Statistics: Posted by Marsden — Yesterday, 1:37 am

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QUANT INSIGHTS CONFERENCE: PORTFOLIO MANAGEMENT

19th May 2022

14:30 - 22:30 SGT

07:30 - 15:30 BST

Globally Live-Onlin

It was a great conference. Thank you.19th May 2022

14:30 - 22:30 SGT

07:30 - 15:30 BST

Globally Live-Onlin

And it is nice recording was made available (for now I'm seeing only part 1 but I assume the rest will be posted later on).

Statistics: Posted by tagoma — May 19th, 2022, 9:31 pm

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Russia + satellites

China + satellites

Religious nut cases

Pursuers of life, liberty and PB&J sandwiches

Statistics: Posted by Paul — May 19th, 2022, 12:44 am

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Or how many Kurds...

I’m thinking maybe they’d settle for kicking Turkey out of Kurdistan, but that’s another festering conflict I don’t know quite enough about.Statistics: Posted by bearish — May 18th, 2022, 10:26 pm

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