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by SWilson
January 26th, 2020, 5:47 am
Forum: General Forum
Topic: Is it Fair for ML to judge us all?
Replies: 2
Views: 292

Is it Fair for ML to judge us all?

Something to think about while we scatter all of our personal data points and dimensions out there.  I'm a fan of ML for a lot of applications, but this one???  Oh the (lack of) humanity!

https://www.standard.co.uk/tech/airbnb-software-scan-online-life-suitable-guest-a4325551.html
by SWilson
October 28th, 2019, 9:19 pm
Forum: General Forum
Topic: XVA; X = cost of busted limits + PL predict failure
Replies: 2
Views: 2070

Re: XVA; X = cost of busted limits + PL predict failure

What's wrong with re-entering into trades with another counterparty?  What if you had a liability balance to that counterparty?  Counterparty valuation adjustments or CVA is common to factor in credit ratings for just such a thing.
by SWilson
October 22nd, 2019, 8:47 pm
Forum: General Forum
Topic: (The Math of) Stones Gambling Hall Cheating Allegations
Replies: 13
Views: 2581

Re: (The Math of) Stones Gambling Hall Cheating Allegations

A likely albeit undramatic outcome
by SWilson
October 22nd, 2019, 2:27 am
Forum: General Forum
Topic: (The Math of) Stones Gambling Hall Cheating Allegations
Replies: 13
Views: 2581

Re: (The Math of) Stones Gambling Hall Cheating Allegations

https://lh3.googleusercontent.com/iqMbexnON27aYYzRPnMpEtgs9u_WWgBnl-p5EnJW4Kbik_s9aGBZLJTyTMg75KRUkh4oUYm-Q_hZgmT4KtzS6ZEiTOWtcoXl2KCG31xQ6vJeIpjUm4wwCFRsLZ6be3QqEE5e5vQfWKNJba5TDJ_j6HnFxyavAfV-l12FCPpVv-TsVZ7YKFB_G1V8zPfVYkIWFM_D-Kqk8Iy1GT714J5hPhhItoqAAIJyFf7d-aW90yIdk5agakv3NB4uH1_-lFoG6jMTxPCYy...
by SWilson
October 22nd, 2019, 1:07 am
Forum: General Forum
Topic: (The Math of) Stones Gambling Hall Cheating Allegations
Replies: 13
Views: 2581

Re: (The Math of) Stones Gambling Hall Cheating Allegations

Did the rumours start before the lawsuit? What was his reputation previously? Results from non-televised games? All alleged.   #1.  Yes.  One of the live commentators Veronica Brill is considered the whistle-blower.  When she initially brought it up to a person in management she was told that it wa...
by SWilson
October 21st, 2019, 9:49 pm
Forum: General Forum
Topic: (The Math of) Stones Gambling Hall Cheating Allegations
Replies: 13
Views: 2581

Re: (The Math of) Stones Gambling Hall Cheating Allegations

If someone is exceptionally brilliant then they should lose occasionally on purpose? Probably psychologically more difficult to lose on purpose if you are brilliant than if you are cheating? That would be a great problem to have.  Calling a 3-way all-in with 5,4 off-suit is typically the opposite o...
by SWilson
October 21st, 2019, 4:02 pm
Forum: General Forum
Topic: (The Math of) Stones Gambling Hall Cheating Allegations
Replies: 13
Views: 2581

Re: (The Math of) Stones Gambling Hall Cheating Allegations

Virtually all fraud detection these days begins with statistics, and some of it ends in the courtroom. why are they allowed to use phones in the first place? Great point.  They actually did ban phones so the current theory and some evidence points to him wearing this.   https://www.amazon.com/Cynap...
by SWilson
October 21st, 2019, 4:04 am
Forum: General Forum
Topic: (The Math of) Stones Gambling Hall Cheating Allegations
Replies: 13
Views: 2581

(The Math of) Stones Gambling Hall Cheating Allegations

For those of you not into poker news, a recent story has broken out about a player named Mike Postle among others who may have helped him have been hit with a $30 million class action civil suit for allegations of cheating.  The general allegations indicate that he was getting real time information ...
by SWilson
October 17th, 2019, 5:11 pm
Forum: General Forum
Topic: You are back!
Replies: 8
Views: 192069

Re: You are back!

The original bad boys of QF.  Think the movie The Expendables.
by SWilson
October 14th, 2019, 2:09 pm
Forum: General Forum
Topic: Volatility for Commodity Swaption
Replies: 3
Views: 2224

Re: Volatility for Commodity Swaption

Natural gas.  It's a pretty standard curve with some seasonality.  I ran a few different stochastics but I am still working on it.  i was messing around with SABR and Heston but SABR is really more for interest rates that have different tenors. 
by SWilson
October 11th, 2019, 9:46 pm
Forum: General Forum
Topic: Volatility for Commodity Swaption
Replies: 3
Views: 2224

Re: Volatility for Commodity Swaption

Im using an implied forward which seems to hold up for now.  Thanks.  
by SWilson
October 11th, 2019, 3:21 pm
Forum: General Forum
Topic: Volatility for Commodity Swaption
Replies: 3
Views: 2224

Volatility for Commodity Swaption

I have a swaption that when exercised it has 12 delivery months as a strip, all or nothing.  I have the implied volatilites of the options and I have a historical vol of the underlying prices.  What is a good starting point to model the volatility of this swaption?? 
by SWilson
September 6th, 2019, 2:27 pm
Forum: General Forum
Topic: Negative Strike Price
Replies: 11
Views: 3818

Re: Negative Strike Price

Thanks Alan.  I'm looking through this now.  
by SWilson
September 5th, 2019, 9:39 pm
Forum: General Forum
Topic: Negative Strike Price
Replies: 11
Views: 3818

Re: Negative Strike Price

add a displacement (assuming S + d is log normally distributed) and re-calibrate your smile parameters What d(isplacement)? Any number? Taken out of your or your colleague's arse? I'm not sure which language in Google Translate I'm supposed to use to understand what "a negative strike price as it r...
by SWilson
September 5th, 2019, 9:19 pm
Forum: General Forum
Topic: Negative Strike Price
Replies: 11
Views: 3818

Re: Negative Strike Price

I will speak for myself, this is in practice and just working on pure mechanics right now.  Philosophical  rigorous (ish) justification is next.  In the past 6 months I've seen more exotic deals than ever, feels like out of nowhere.   Anyways, Espen, I've used your works to create and code models th...
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