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by bearish
Yesterday, 7:52 pm
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 22
Views: 2224

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

I agree, I don’t think it is magic. But it is universal, at least in complete markets. You can get there via a martingale representation theorem or a separation of the Radon-Nikodym derivative. The aspect that is still somewhat mysterious to me is that the natural numeraire is equal to the growth op...
by bearish
Yesterday, 5:54 pm
Forum: Politics Forum
Topic: What is Borisism?
Replies: 327
Views: 47775

Re: What is Borisism?

Wait - was he actually accused of drunkenly pinching someone? That would be too perfect!
by bearish
Yesterday, 1:34 pm
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 22
Views: 2224

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

This is even simpler to carry out in a binomial model, but using the BSM environment and standard notation, define the risk premium as [$] \lambda = \frac{\mu - r}{\sigma} [$]. Then you can create a dynamic portfolio with a constant fraction of its value given by [$] \frac{\lambda}{\sigma} [$] inves...
by bearish
June 29th, 2022, 11:20 pm
Forum: Book And Research Paper Forum
Topic: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."
Replies: 22
Views: 2224

Re: "Option Pricing, Risk Premium, and Arbitrage: An Argument for Volatility-Modified Risk-Neutral Prices."

I’m a little late joining this party, but one perspective that I find to be kind of useful is the notion of the natural numeraire, aka the stochastic discount factor that makes discounted prices martingales under the P measure. No need for anything or anybody to be risk neutral, and the pricing resu...
by bearish
June 27th, 2022, 10:32 pm
Forum: Book And Research Paper Forum
Topic: Cracking the Finance Quant Interview
Replies: 13
Views: 5596

Re: Cracking the Finance Quant Interview

I’ve probably interviewed more quants than most of the remaining survivors around here. In the early years, I found myself asking a lot of brain teasers (Why are man hole covers round? How many windows are there in Manhattan?). I think it made me feel clever, but that was about it. Then I drifted in...
by bearish
June 27th, 2022, 7:14 pm
Forum: Off Topic
Topic: RIP thread
Replies: 296
Views: 41727

Re: RIP thread

Travelling to Poland in the festive season is not the most relaxing experience, especially now when they havent yet hired back the staff after the corona lockdown. But Kraków is quite nice in the winter, and close to beautiful mountains - you can visit Zakopane. Prepare some warm clothes though. I ...
by bearish
June 27th, 2022, 1:09 am
Forum: Programming and Software Forum
Topic: Excel tricks
Replies: 132
Views: 35374

Re: Excel tricks

I didn’t mean that to sound like a piece of marketing speech, but I don’t think that it is a coincidence that a key driver of this development was Simon Peyton Jones.
by bearish
June 27th, 2022, 1:05 am
Forum: Programming and Software Forum
Topic: Excel tricks
Replies: 132
Views: 35374

Re: Excel tricks

I like it, a lot! It basically extends the functional programming paradigm that is a foundational concept of the original spreadsheet design to a wide range of real world applications.
by bearish
June 26th, 2022, 7:14 pm
Forum: Off Topic
Topic: RIP thread
Replies: 296
Views: 41727

Re: RIP thread

Sorry - I missed this the other day (it’s been a rough week). I sat next to him on a bus ride at a conference years ago, and he was the sort of guy that you will remember having sat next to! RIP
by bearish
June 26th, 2022, 3:09 pm
Forum: Politics Forum
Topic: Random Republican WINGNUTS (or RRWs as they are affectionately known as)
Replies: 172
Views: 22459

Re: Random Republican WINGNUTS (or RRWs as they are affectionately known as)

Given that the cheapest and least inconvenient method of abortion is performed with medication, there is no prize for guessing that the primary provider in half the country will be Mexican gangs. They already have the logistics and distribution network. You thought the war on drugs was ugly? Wait un...
by bearish
June 25th, 2022, 11:09 pm
Forum: Politics Forum
Topic: Random Republican WINGNUTS (or RRWs as they are affectionately known as)
Replies: 172
Views: 22459

Re: Random Republican WINGNUTS (or RRWs as they are affectionately known as)

Well, “fuck Elon” is always a good start. But the victims of the evangelical Republicans are mostly neither Democrats not Republicans. They are just people. Mostly women and girls, whose bodies they will no longer have much say over, but there are obviously men and boys with an interest in the matte...
by bearish
June 24th, 2022, 9:18 pm
Forum: Politics Forum
Topic: Random Republican WINGNUTS (or RRWs as they are affectionately known as)
Replies: 172
Views: 22459

Re: Random Republican WINGNUTS (or RRWs as they are affectionately known as)

It is truly shocking to me that a country as violent and replete with weapons as the US has not seen much in the way of political/judicial (to the extent you can make a distinction) assassinations during the last few decades. I predict that will change rapidly. Probably not to the level of Mexico, b...
by bearish
June 24th, 2022, 3:50 pm
Forum: Politics Forum
Topic: Random Republican WINGNUTS (or RRWs as they are affectionately known as)
Replies: 172
Views: 22459

Re: Random Republican WINGNUTS (or RRWs as they are affectionately known as)

We can hope that a number (well, six to be precise) Supreme Court justices retire or otherwise become unable to fulfill their duties over the next few days, and can thus be promptly replaced by a clean slate that can start overturning precedent rulings, starting with today’s. Clarence Thomas has alr...