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by Alan
December 15th, 2023, 5:06 am
Forum: Student Forum
Topic: Implied Volatilities
Replies: 4
Views: 1965

Re: Implied Volatilities

The likely first guess (assuming the IV's are both constructed from the bid-ask average) is poor cost-of-carry parameters (dividend yield and interest rate). I recommend using the method in the  VIX White paper  to get those. The method actually produces an interest rate and a forward stock price, w...
by Alan
December 13th, 2023, 3:25 pm
Forum: Brainteaser Forum
Topic: ChatGPT prompt challenge
Replies: 10
Views: 5859

Re: ChatGPT prompt challenge

Thanks for the warning on bad packages. A natural application would be some kind of "Technical Illustrator" that could better create figures, like my challenge, for technical publications. There could be a version for various languages, so you could still get the source code to tweak it.  ...
by Alan
December 13th, 2023, 12:49 am
Forum: Brainteaser Forum
Topic: ChatGPT prompt challenge
Replies: 10
Views: 5859

Re: ChatGPT prompt challenge

In a nutshell... The 1902 reference is  Farkas' lemma .  For finance, using the notation at the link, [$]b[$] is a vector of time-0 security prices and [$]A[$] is an MxN payoff value matrix  ([$] A_{ij}[$] is the payoff value of security [$]i[$] in state [$]j[$] at some future time-T).   Farkas' lem...
by Alan
December 12th, 2023, 7:31 pm
Forum: Off Topic
Topic: UK going to the dogs
Replies: 5150
Views: 584923

Re: UK going to the dogs

Aloha from Norway! Jumping out in a T-shirt to bring some wood or even barefoot in the snow when the temperature is below -20C is no problem for me. Made a Norwegian woman of me! ;-D
I’m proud of you!
I think we need a picture -- maybe wait for rain!  :)
by Alan
December 12th, 2023, 3:07 pm
Forum: Brainteaser Forum
Topic: ChatGPT prompt challenge
Replies: 10
Views: 5859

Re: ChatGPT prompt challenge

Farkas arbitrage?
Excellent -- bingo!

Now, who can coerce some good code out of ChatGPT?
by Alan
December 12th, 2023, 4:23 am
Forum: Brainteaser Forum
Topic: ChatGPT prompt challenge
Replies: 10
Views: 5859

Re: ChatGPT prompt challenge

Brainteaser2:   What is the relevance of the figure I posted to Finance? (Hint: a famous 1902 theorem)
by Alan
December 12th, 2023, 12:18 am
Forum: Brainteaser Forum
Topic: ChatGPT prompt challenge
Replies: 10
Views: 5859

Re: ChatGPT prompt challenge

To be clear, that figure is from my own python code (below), adapted from a couple sources.  The challenge is to see if anyone can get ChatGPT or similar to produce code that produces something similar from a prompt. # polyhtest2.py # Dec 8, 2023 by alan # basic polyhedron adapted from  # https://st...
by Alan
December 11th, 2023, 7:13 pm
Forum: Brainteaser Forum
Topic: ChatGPT prompt challenge
Replies: 10
Views: 5859

ChatGPT prompt challenge

To preface this challenge:  I have found ChatGPT (via Copilot in the MS Edge browser) to be sometimes helpful in generating Python code to draw some figures. Having said that, 80% of the time the code fails or doesn't do what I want. It can still be useful as a guide to what modules to load to solve...
by Alan
December 9th, 2023, 2:24 pm
Forum: Off Topic
Topic: best songs
Replies: 92
Views: 60482

Re: best songs

So, I just got to Episode 3 of the film, which is the Hank  Williams' one. You would love that one.
Here's the trailer
by Alan
December 6th, 2023, 9:59 pm
Forum: Off Topic
Topic: best songs
Replies: 92
Views: 60482

Re: best songs

BTW, given the lyrics in Blue Yodel No. 1, maybe he's the father of this song, too: ZxJrdCIejus T for Texas T for Tennessee T for Tennessee T for Thelma That gal that made a wreck out of me If you don't want me mama You sure don't have to stall You sure don't have to stall 'Cause I can get more wome...
by Alan
December 6th, 2023, 9:28 pm
Forum: Off Topic
Topic: best songs
Replies: 92
Views: 60482

Re: best songs

Am enjoying "Country Music: a film by Ken Burns" in eight parts (Season 1). Since I know very little about this genre, the history is fascinating.  From 1927, 'Blue Yodel No 1', the second recording of Jimmie Rodgers,  widely regarded as "The Father of Country Music": qEIBmGZxAhg  
by Alan
December 5th, 2023, 5:40 pm
Forum: Off Topic
Topic: is elon musk for real?
Replies: 133
Views: 93035

Re: is elon musk for real?

TRUE/NOT TRUE??? Everyone talks their book, of course, but here is Toyota's take: Toyota releases new defense of lagging EV strategy This is their (widely cited) memo to auto dealers. At least it's footnoted, so you can see the sources for their claims. Whatever the amount of raw materials is for o...
by Alan
November 26th, 2023, 11:34 pm
Forum: General Forum
Topic: Multiverse Pricing Models
Replies: 24
Views: 13229

Re: Multiverse Pricing Models

Re "can always be integrated out".  It's not clear to me what is being asserted.  It's true that, in Hidden Markov Models, for example, there is indeed a lot of integrating out. I have a whole chapter on "Stochastic Volatility as a Hidden Markov Model" in my "Option Valuatio...
by Alan
November 26th, 2023, 4:25 pm
Forum: General Forum
Topic: Multiverse Pricing Models
Replies: 24
Views: 13229

Re: Multiverse Pricing Models

I looked briefly. Here is my understanding of the paper in my own notation. Suppose a simplified setup where today is time 0, and there are observed plain vanilla option prices at times 1 and 2. The class of models considered are Markov models, where future stock price [$]S_t[$] is the only source o...