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by frolloos
February 5th, 2020, 4:54 pm
Forum: Off Topic
Topic: A Differential Geometric Question for all of you geometers out there.
Replies: 31
Views: 191054

Re: A Differential Geometric Question for all of you geometers out there.

So in two dimensions the Ricci flow equation is the heat equation for the metric. That's quite interesting isn't it?
by frolloos
February 5th, 2020, 3:39 pm
Forum: Technical Forum
Topic: Hedging with a different underlying - bond options case
Replies: 3
Views: 1110

Re: Hedging with a different underlying - bond options case

As you know I am no IR expert but I think the question is applicable to any asset class so I will hazard an answer: You say that you can't hedge it, but if there are govie bond futures then at the very least you can delta hedge the option, is this correct? Or are the govie futures not on the same un...
by frolloos
January 28th, 2020, 8:05 pm
Forum: Forum and Website Bugs and Suggestions
Topic: Wish list for www.wilmott.com V2.0
Replies: 92
Views: 33751

Re: Wish list for www.wilmott.com V2.0

I miss Daveangel and ppauper. Yes, where is ppauper actually? On Daveangel: I've been on this forum on and off since 2007. I still recall a thread, can't exactly remember the context anymore, where I asked Daveangel something, and he replied "It's like good porn, you know it when you see it". I thi...
by frolloos
January 28th, 2020, 7:34 pm
Forum: Forum and Website Bugs and Suggestions
Topic: Wish list for www.wilmott.com V2.0
Replies: 92
Views: 33751

Re: Wish list for www.wilmott.com V2.0

That's too bad. I guess a consequence of dwindling numbers. Hence a general science forum would be good. The joking aside, does anyone (here) really understand symmetry?
by frolloos
January 28th, 2020, 11:58 am
Forum: Forum and Website Bugs and Suggestions
Topic: Wish list for www.wilmott.com V2.0
Replies: 92
Views: 33751

Re: Wish list for www.wilmott.com V2.0

Any chance a general science forum will be considered in the future?
by frolloos
January 23rd, 2020, 4:18 pm
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 2304

Re: Impact factor rankings

ah, ok, I didn't sleep much last night, everything a bit of a blur. I am not going to understand string theory today either.

Tonight's lullaby:

https://www.youtube.com/watch?v=rQnNoR0ZWOA
by frolloos
January 23rd, 2020, 10:38 am
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 2304

Re: Impact factor rankings

What is not even wrong?
by frolloos
January 22nd, 2020, 5:37 pm
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 2304

Re: Impact factor rankings

> but remember that it was long before science established its (to us, the only correct and obvious one) modern method - with all the good and bad (and the ugly) habits... Such "tampering" with data was quite popular in Kepler's times, Even now there could be some tampering going on, perhaps not in ...
by frolloos
January 22nd, 2020, 5:20 pm
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 1336

Re: how exactly do traders determine prices

@lePiddu - thanks for the colour, I wasn't aware that HW1F is used for bermuda swaptions, good to know. Good point on competition, which is another factor to take into account, and can distort the 'true' model price. I have seen trades (in eqd) where some parties try to initially buy themselves into...
by frolloos
January 21st, 2020, 2:28 pm
Forum: Technical Forum
Topic: SABR backbone
Replies: 1
Views: 1104

Re: SABR backbone

It gives you part of the delta you need in order to delta hedge the option as the backbone is essentially how the implied volatility moves as the forward moves (all else constant). See and read also the paragraphs at equations (3.9) and (3.10) in Hagan et al paper introducing the SABR model. 
by frolloos
January 21st, 2020, 12:08 pm
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 1336

Re: how exactly do traders determine prices

Sorry I don't have sufficient IRD experience to give you a sound answer - maybe others can help you. My background is more EQD, and specifically var/vol swaps.

And actually, I doubt whether the market uses HW1F to price / hedge Bermudan swaptions, but I may be wrong.
by frolloos
January 21st, 2020, 6:37 am
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 1336

Re: how exactly do traders determine prices

This is hard to answer in full generality. It will depend on the type of exotic, if there is already a natural approximate offset to the risks of the exotic on the existing book or whether it will need to hedged, and if so how simulations of the hedge error depend on the model parameters used to hed...
by frolloos
January 21st, 2020, 6:18 am
Forum: Technical Forum
Topic: option delta
Replies: 5
Views: 1211

Re: option delta

Thanks a lot.  The deeper I go into models, the more I ask myself, "how do we know our models derivations/results" are correct.  Sometimes getting confused between real financial markets and mathematical models Define "correct". Aren't all models approximations? Some are good/realistic approximatio...
by frolloos
January 21st, 2020, 6:12 am
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 2304

Re: Impact factor rankings

>Done in 1609,  Kepler's  fakery is one of the earliest known examples of the use of false  data  by a giant of modern science. So Kepler practised fake news. Disappointing. I'm willing to wager one Higgs boson that CERN's CMS results are irreproducible too.  On another topic, I tend to shun away f...
by frolloos
January 20th, 2020, 7:51 am
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 2304

Re: Impact factor rankings

Such as journals where some of their most cited papers have been proved to be based on garbage statistics.
Which journal(s) /paper(s)?

There seems to be a general irreproducibility crisis in scientific research: https://www.nature.com/collections/prbfkwmwvz
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