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Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: March 3rd, 2017, 9:12 pm
by Cuchulainn
Never mind, fixed it; in phi() multiply by factor T. 

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: January 12th, 2018, 8:01 pm
by Collector
The new and the old side by side! Quite big difference I must say (size matters) !

Image

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: January 12th, 2018, 8:05 pm
by outrun
The one on the right looks newer? What's the difference? Did you switch to thin carbon nanotube paper?

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: January 12th, 2018, 8:18 pm
by Collector
The one on the right looks newer?  What's the difference? Did you switch to thin carbon nanotube paper?
yes no new formulas, just thiner paper to make the book more Green! Also uses less energy to get transported.  (yes the new one to the right, possibly it will age faster due to lower mass?)

The second edition blue version to the left!
The second edition Green version to the right!

Your choice blue or green! 

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: January 12th, 2018, 8:28 pm
by outrun
Well I already have the blue one, and the first edition too,.. so I'll go for green!

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: January 13th, 2018, 9:20 am
by tagoma
Haven't you even added few lines to explain millennials what is a CD-rom for?

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: January 13th, 2018, 1:18 pm
by Collector
Haven't you even added few lines to explain millennials what is a CD-rom for?
I was thinking about it, but then figured out it would likely be of little use!

Footnote: ( "Scandinavian data suggest that there has been an IQ decline in some advanced nations and that it began about 1995" )

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: January 13th, 2018, 2:27 pm
by Cuchulainn
Mine is a signed collector's item.

Is it a reprint ?

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: January 13th, 2018, 2:34 pm
by bearish
Mine is a signed collector's item.

Is it a reprint ?
Wait - if it’s Collector’s item you should give it back to him!

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: January 13th, 2018, 2:47 pm
by Collector
Mine is a signed collector's item.

Is it a reprint ?
Yes it looks like a Green reprint. (= lower cost and higher margins :-?  Actually I have no idea what they cut the thickness with 1/3. Likely pressures on margins in traditional books. The Millennium generation often prefer very short electron books on FB or snap chat.

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: January 14th, 2018, 12:44 pm
by Cuchulainn
Haven't you even added few lines to explain millennials what is a CD-rom for?
I was thinking about it, but then figured out it would likely be of little use!

Footnote: ( "Scandinavian data suggest that there has been an IQ decline in some advanced nations and that it began about 1995" )
"Several psychological studies have shown that people who are simultaneously challenged by a demanding cognitive task and  by a temptation are more likely to yield to the temptation." Thinking fast and slow..

Attention span is drastically reduced by procedural spot thinking (e.g. playing computer games). Unable to think in abstractions w/o concrete examples, e.g. Project Math, bah!

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: May 25th, 2018, 10:19 am
by Cuchulainn
 Regarding {closed, numeric, probability} Greeks in the book, It might be interesting to look at the Complex Step Method to compute greeks. No need to work out complex maths nor ill-posed FDM causing catastrophic cancellation.

Basically you complexify the (relevant) arguments and just apply Squire and Trapp.

http://mdolab.engin.umich.edu/sites/def ... 003CSD.pdf

BTW Use the Faddeeva function to compute N(z) for complex z,

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: May 27th, 2018, 4:49 pm
by Collector
 Regarding {closed, numeric, probability} Greeks in the book, It might be interesting to look at the Complex Step Method to compute greeks. No need to work out complex maths nor ill-posed FDM causing catastrophic cancellation.

Basically you complexify the (relevant) arguments and just apply Squire and Trapp.

http://mdolab.engin.umich.edu/sites/def ... 003CSD.pdf

BTW Use the Faddeeva function to compute N(z) for complex z,
Cauchy again. Thx!

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: June 1st, 2018, 7:53 am
by Cuchulainn
We can't blame Cauchy for everything! Although without him ..

https://blogs.mathworks.com/cleve/2013/ ... entiation/

It's a piece of cake.

Re: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Posted: June 2nd, 2018, 8:55 pm
by Collector
We can't blame Cauchy for everything! Although without him ..

https://blogs.mathworks.com/cleve/2013/ ... entiation/

It's a piece of cake.
but for time derivatives, we know time moves in one direction and we know the velocity of time, and there are no jumps in time, would not one-sided fiat difference therefore be better still, and even better than the analytical derivative also. After all we are living in the river of time, and time runs in one direction