Yes, that's a fair summary.

I don't understand what 'independent of position' means. Can you give some examples? Hi Alan, by independent of positon I mean that the statistical moments, mean, variance, etc of the probability density function describing the mass density (apologies for the double use of density, but it should be...

No, there's no symmetry assumed. But the mass density distribution can be considered to be independent of position.

Does anyone have references for Newton's shell theorem for the case where the mass density is randomly distributed and the point of interest is inside the shell? I am interested in how the statistical moments appear in the gravitational field.

<r>This approach to generating implied distributions seems to have generated some interest many years ago, eg <URL url="http://www.cmap.polytechnique.fr/~rama/dea/kelly.pdf">www.cmap.polytechnique.fr/~rama/dea/kelly.pdf</URL>, but not a whole lot since. I am wondering if anyone has encountered the p...

<t>It's christmas time, and We Are The World is back on the radio, which had me thinking:1. If Elvis had been alive, which bits would he have sung in We Are The World?2. If John had been alive which bits would he have sung in We Are The World?All suggestions are welcome.All the ebst for the festive ...

<t>We found that the historical correlations and vols for USD zeroes were "discontinuous" particularly in the short end, which caused a lot of grief. Thanks for the market implied tip. I will have a look at that. If this was an internal build we would have done it differently, but expected that the ...

The vendor system has log normal mean reverting and normal mean reverting as default models for FX and IR. I haven't seen this discussed anywhere else, so was wondering if other people with vendor systems have encountered this problem.

<t>I am looking at various vendor risk engine engines and quite a few evolve zero rates as log ornstein-uhlenbeck processes. I haven't seen any academic papers on this, but some simualtion and a bit of analysis shows that the zeroes must be highly correlated to give reasonable forward rates. Using h...

<t>Hi Edouard, The FEA seasonal PCA comes closest to what I have used. One concern I have is with the reliability of the resulting components when you are not applying a functional form or using a filter on the returns before calcualting the covariance matrices. One reason I like it is that it doesn...

<r>I'm wondering what experience other people have had with modelling vol and correlation in commodity markets. I haven't uncovered a concensus from the literature even though the problem looks somewhat similar to interest rates which is well developed. To be clear, I am thinking of no skew for the ...

<r>While CCDs and optical fibres have indeed chanegd the world, the nobel prize for physics in 2009 (<URL url="http://nobelprize.org/nobel_prizes/physics/laureates/2009/"><LINK_TEXT text="http://nobelprize.org/nobel_prizes/phys ... ates/2009/">http://nobelprize.org/nobel_prizes/physics/laureates/200...

Have you tried gatheral's approximations for initial guesses? They have worked very well for me.

<t>Do you have seasonal correlation matrices and do you attempt to calibrate the model to the implied vols, or are you happy to run with historical?I have looked at the parametric HJM approach (I had a paper by Blix which I can't find online these days) and thought a summer and a winter model would ...

This is motivated by the need to model natural gas forward curves, rather than spot prices, but am thinking that corn or wheat could be done in the same framework.