Not really my area, but since our fixed income gurus haven't answered, I'll take a shot. If interest rates drop a lot before delivery, then the pool you end up with will likely pre-pay faster than it would have otherwise. After all, it must take some time to package the mortgages, so presumably many...

Yes, it does -- thanks.  Any comment on whether or not your [$]\sigma_t^2[$] is a martingale (under some filtration)? I really don't know. I assume my question is answered in the literature on the fractional Black-Scholes model, but my googling skills are failing me on that point today. So, if it is...

I just skimmed it and know almost nothing about fractional-noise volatility models. So, this is likely a very naïve comment.  Suppose a world where the risk-neutral volatility evolves as your (5.1),  assuming [$]H \not= \frac{1}{2}[$], and vanilla calls on the stock price, variance swaps and volatil...

Can New Species Evolve From Cancers? Maybe. Here’s How. While Panchin was writing about transmissible cancers, he heard his colleagues express surprise at the genes for complex tissues that were turning up in certain unusual but simple parasitic animals. Further conversations led to what Panchin ca...

RATM -- Coachella 2020!

Trust me -- it will look like this:
(well, except the Besame Mucho art likely won't be there) 



https://www.instagram.com/p/B4Tw4qFlA3D/

So, it's the bad sexist joke thread, eh? A blonde is watching the news with her husband when the newscaster says, "Six Brazilian men die in a skydiving accident." The blonde starts crying to her husband, sobbing, "That's horrible!" Confused, he replies, "Yes Dear, it is sad, but they were skydiving...

My advice is to aggressively network. Find out who is doing what you want to do; are they speaking at conferences? Attend and introduce yourself. Ask them how they recruit. Ask them what they look for in qualified candidates.  Hoping some headhunter will do this basic legwork for you may not advance...

The many people in NYC with one leg shouting at lampposts probably don’t take part in online questionnaires.

(Who will be first with the punchline?!)

Free laptops for all crazy homeless people! 

One of the interesting things about that unredacted document, the one all the  fuss is about, is the difference between the US and EU approaches to, well, everything. It seems that the difference between the legal systems also applies to business. I.e. in the US anything goes unless it is forbidden...

I'm with Boris. First they ban the burka, then they ban Daft Punk ...

Ignoring the delta-hedgeable requirement, my thought was a capped variance swap, as the cap is triggered by the total variance. 

Cautionary story for investors: Cryptoqueen: How this woman scammed the world, then vanished My experience with one of the London unis taught me not to attach too much value to people's diplomas, even if from Oxford (a talented scientist can turn out to be a talented sneaky cheater, often protected...

you missed Daniel's link.

Haha -- yes, in SoCal. Here is further `proof' of my prediction. 

It will *not* rain on the Rose Parade in Pasadena on New Years day.
(In my lifetime, such rain has happened only twice).