SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by SWilson
June 4th, 2020, 3:07 pm
Forum: Off Topic
Topic: Who should take the blame?
Replies: 34
Views: 3605

Re: Who should take the blame?

I've been thinking a lot about this and I think the philosophical elements and hazards are many.  We're conducting an experiment to change a natural process like the hand of god based on .....what exactly?  Models are great at predictions, but now we're trying to change the process and prediction i...
by SWilson
June 2nd, 2020, 7:01 pm
Forum: Numerical Methods Forum
Topic: Physicists, Stop the Churlishness
Replies: 19
Views: 3226

Re: Physicists, Stop the Churlishness

And what do you benefit if you gain the whole world but lose your own soul?
by SWilson
June 2nd, 2020, 3:22 pm
Forum: Technical Forum
Topic: LIBOR Sunset
Replies: 3
Views: 2538

Re: LIBOR Sunset

Yeah, I'm just wondering how all of the existing contracts are going to terminate/switch to SOFR/readjust?  Once SOFR is the new underlying, that's the easy part.  Plus, there are some considerations around discounting but I don't see much fuss over that.  
by SWilson
June 2nd, 2020, 3:20 pm
Forum: General Forum
Topic: Average Vol in Turnbull Wakeman
Replies: 6
Views: 3560

Re: Average Vol in Turnbull Wakeman

I'm going to re-visit this and go through your paper. Thanks Espen.
by SWilson
May 28th, 2020, 9:17 pm
Forum: Technical Forum
Topic: LIBOR Sunset
Replies: 3
Views: 2538

LIBOR Sunset

Anyone doing anything to get ready?
by SWilson
May 4th, 2020, 6:11 pm
Forum: Technical Forum
Topic: Negative forward futures prices
Replies: 10
Views: 2014

Re: Negative forward futures prices

A long time ago, I was encouraged to take on a leading quant role in one of the major financial players in the commodities market, with a particular strength in energy derivatives. I demurred on account that it would seem to be crazy to apply simple financial market models (that I knew something ab...
by SWilson
May 1st, 2020, 8:46 pm
Forum: General Forum
Topic: Delta contribution to an options premium in terms of BSM
Replies: 14
Views: 2867

Re: Delta contribution to an options premium in terms of BSM

Pilgrim, the reason people are getting frustrated is that your question is meaningless. The delta does not "affect" the MTM value, it is a derivative of the MTM value. If the MTM (option premium, in your words) changes between T0 and T1 - which it is likely to do, for a whole host of possible reaso...
by SWilson
April 22nd, 2020, 5:23 pm
Forum: Technical Forum
Topic: Negative forward futures prices
Replies: 10
Views: 2014

Re: Negative forward futures prices

Thanks.  Yeah we will probably toggle to Bachelier when the situation arises.  
by SWilson
April 22nd, 2020, 3:34 pm
Forum: Technical Forum
Topic: Negative forward futures prices
Replies: 10
Views: 2014

Re: Negative forward futures prices

Shifted Lognormal with lower bound = max storage cost?
That's an interesting thought provoking approach.  Luckily, we're not looking at any more negative prices for future deliveries, so for now, threat neutralized,  but I would like to update my model for this if it happens again. 
by SWilson
April 20th, 2020, 8:30 pm
Forum: Technical Forum
Topic: Negative forward futures prices
Replies: 10
Views: 2014

Negative forward futures prices

It may be probable that we will have a forward month for Oil with a negative futures price, Black cannot compute the time value of an option due to the log of a negative being undefined.  Please help.    
by SWilson
April 20th, 2020, 7:28 pm
Forum: General Forum
Topic: How to select the IR curve to discount cash flows?
Replies: 5
Views: 2506

Re: How to select the IR curve to discount cash flows?

Without getting into too much detail, search for OIS discounting framework.  That seems to be the most generally accepted method for now.  I'm assuming you're discounting cash flows from a financial instrument.  If you're discounting an enterprise cash flow then there are other more generally accept...
by SWilson
March 26th, 2020, 2:48 pm
Forum: Off Topic
Topic: Good things that come out of this pandemic...
Replies: 243
Views: 13312

Re: Good things that come out of this pandemic...

7.  Excuse to stay away from in-laws
by SWilson
March 24th, 2020, 5:40 pm
Forum: Off Topic
Topic: Is the cure worse than the disease?
Replies: 35
Views: 1940

Re: Is the cure worse than the disease?

Deep Learning will save us.
How?
by SWilson
March 24th, 2020, 3:22 pm
Forum: Off Topic
Topic: Is the cure worse than the disease?
Replies: 35
Views: 1940

Re: Is the cure worse than the disease?

Paul, I'm assuming you're referring to the collateral damage to the economy.  I don't want to contract the virus, but maybe I do, so when the next one comes around my immune system will have some defenses?  Are we not allowing nature to take its course so then it will be much worse next time?  I don...
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