Hello @frolloos, I understand that many years have passed, and this paper can't be shared, but since you read it, and you've been so kind to summarize it here, can I ask you a couple of questions below? Then express [$] dC [$] in terms of Black-Scholes Greeks. Once you've done that you have an equa...
Nobody cares, or should care these days, I know I don't, but update of paper including a generalisation of Gatheral's formula for varswaps: https://arxiv.org/abs/2001.02404 And here is another scribble, which I think simplifies Carr-Lee's correlation immunisation for vol derivs valuation: https://pa...
I currently use Octave / Matlab for writing pricing/calibration scripts. Can't call what I do 'programming'. For scripting purposes, in what ways is Julia better than Octave/Matlab?
There is no such thing as defamation in free speech. Is it free or not free? Whether what you say is legal or not is a different matter. Free speech allows opinions, insults, lies, etc. but not threats, harming reputations, etc. So defamation out, facts in. Saying someone went to a neo-Nazi confere...
2) there should be some kind of relationship, but specifying it is the core question of this thread. Writing [$] \{ x^i \} = (x,y) [$] and [$] \{ \tilde{x}^i \} = (\xi,\eta) [$]. I am assuming the non-canonical boundary condition can be written as [$] B_i u(x,y) = 0 [$] with [$] B_i = v(x,y) \frac...
This is likely too simplistic but [$] \xi [$] can be written as [$] \xi = \log (x^{\rho\sigma} / e^y) [$], so [$] e^y [$] will dominate the limit behaviour? I think there are four limits to consider for [$] \xi [$] and also whether the correlation is positive or negative, but in all cases I think th...
I think I posted while you were still editing your question, in particular regarding the boundary condition, so pls ignore my post. But to clarify: partial derivatives are vectors, the cross term imply the vectors are not orthogonal. You can always do a local coordinate transform such that the cross...
Thanks for the notes Cuch, does look like a good set of notes. Quickly read it and lost it towards the end: Ricci flow is weakly parabolic and then using a trick it becomes strongly parabolic (??). Need to spend more time on it. I am actually reading a book on heat kernel expansions and, well, thing...
Rcci flow -> heat equation was the main ingredient of Richard Hamilton "program" to advance the studies on Poincaré conjecture. Perelman completed Hamilton program to prove the conjecture. But what does Ricci flow *mean*? Specifically, is it a process that occurs in nature, or is it purel...