Sorry about that. If you go on http://www.sedinc.com/good-listens.html and look under "Reconceptualizing Market Risk from Scratch" you will find the doc and video. No pwd required.

To further endorse Traden4Alpha, it would seem that most of the observed volatility in equity markets come from correlation in errors - e.g. this short document and accompanying video. . It would thus be interesting to also cover this topic.

<t>Doesn't PCA fall into the family of tools based on L2 norm, and thus according to the book that is the subject of this thread (p60): "fundamentally wrong...and not dependable enough to be of use in anything remotely related to risky decisions" ?Do we know when the final version of the book will b...

<t>Gents,Thanks for all your answers. I had not seen the post on nuclearphynance but had read the one on Wilmott. FrenchX, thanks for your insights - does this mean that the Hurst exponent is only useful for analyzing non-stationary return series? In the case you mention, would you interpret a Hurst...

<t>I have read in several articles that "persistence", as measured by the Hurst exponent, is a desirable quality to find in timeseries of Hedge Funds. At the same time, if autocorrelation is detected in a timeseries, this is usually interpreted as a sign of illiquidity/stale pricing and therefore no...

Numbersix,Thanks for making me discover along the way Bergson, Deleuze and Messailloux! Let me know if you decide to tackle asset allocation/MPT with a similar approach at some point...

<t>I appreciate the time you have taken and the extent to which you responded to my questions. I am not (yet) a reader of the book - only of the article and the lectures on Wilmott, so I'm still chewing on some of the more abstract aspects you touch upon e.g. how to fully grasp thinking of the prese...

<t>Numbersix,Thanks for taking the time to answer my post. If recalibration ad-lib is the name of the game, then is it a fair statement to say that your book is more about giving a firm theoretical foundation for this practice (which may be considered as heresy by other academics) rather than provid...

Thanks, I have already seen the lecture. While I think I understand his explanation of why the current way of thinking is "wrong", I am still very unclear as to what one should "do" instead. I'm also curious if one can find any applications in the world of asset allocation.

<t>Has anyone completed a powerpoint summary with the key messages of the book, in a format intelligible for the masses? I've seen this mentionned several times in this thread but found it nowhere. Aside from pricing derivatives, does this book have any implications/applications on asset allocation ...

I never was able to get access to the article, but it appears to be in the Nov07 issue "Qimou Su and Curt Randall: General Monte Carlo Greeks in Practice", see http://www.wilmott.com/magazine0711.cfmCheers.

<t>You've probably figured it out by now but the relative returns is the correct one to use if you are looking to decompose risk of TE. As TE measures the deviation from your benchmark, you want to know what the effect of deviating from your original benchmark weightings is. Although using absolute ...

In a nutshell, what are the main pitfalls of using asymmetric ARCH models e.g. EGARCH, TGARCH, APARCH to model the volatility of assets? My interest is at a general level but mainly around the equity asset class.Tx in advance!

Lapsi,Tx for the tip! The article is in the Nov07 issue. Currently trying to get hold of it.Cheers,Alex

<t>Cuchulainn,- "Simulations" are the # of iterations used in MC- "Premium" is the premium calculated by the model. NB: I pasted values from a very simple MC simulation VBA model, which does not converge as well as the one we use in production. The Black & Scholes values are those taken for a co...