ITO 33's lemma (for the positive minded):(We have the best quants) OR (We have programmed something other quants will never program)

<t>Another of way of putting it is that Gatheral's whole work cannot be done unless we rise to the broader point of view of stochastic volatility models.(Would Dupire himself have been able to conceive of local variance as expectation of variance?)And now we can see what we have been doing all the t...

<t>I can see what you’re driving at. Let me gather my Gatheral notes:All that Dupire has shown, says Gatheral, is that given the distribution of final spot prices S(T) for each time T conditional on some starting spot price S0 (which is the same as giving the collection C(K,T)), there is a unique ri...

And what is this interpretation of the local volatility concept (as seen from the stochastic volatility point of view), that bestows fresh existence on it?

<t>If I follow you, it is the same as saying that Classical Mechanics shouldn't really exist, not only because we know today that truth "lies" in Quantum Mechanics, but because as we interpreters look today from the broader perspective of Quantum Mechanics, we can "explain back" Classical Mechanics,...

"Theoretical dream? Numerical nightmare?"I am not a number...I am the stuff dreams are made of.