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Cuchulainn
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Volatility books 2016

May 19th, 2016, 6:30 am

Well done. Alan!
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Alan
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May 19th, 2016, 2:32 pm

Thank you.
 
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frolloos
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May 19th, 2016, 3:39 pm

Received my copy yesterday. I like the idea of slow reflection for low rates regime (chapter 1). Never looked at it that way. Massive book btw, feels a bit like "Gravitation" by Misner et al :)
 
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Alan
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May 19th, 2016, 4:08 pm

Thank you -- glad to hear it arrived and you've found something of interest.BTW, I did manage to work in a comment on gravity: Ch.12, footnote on pg. 517 :-) Since you're an early buyer (perhaps the first!), if you can take the time to post an amazon review at somepoint it would be much appreciated.
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Cuchulainn
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May 19th, 2016, 6:57 pm

QuoteOriginally posted by: frolloosReceived my copy yesterday. I like the idea of slow reflection for low rates regime (chapter 1). Never looked at it that way. Massive book btw, feels a bit like "Gravitation" by Misner et al :)I have never seen a finance book to equal the mathematical and financial depth as this. Numerically, the author uses the Method of Lines (MOL) for PDE which is extremely powerful and more people should use it instead of home-grown clumsy time integrators. BTW is it in e-form?
Last edited by Cuchulainn on May 18th, 2016, 10:00 pm, edited 1 time in total.
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Every Time We Teach a Child Something, We Keep Him from Inventing It Himself
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Alan
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May 20th, 2016, 12:04 am

Very kind comment, Daniel. No plans for an ebook format at the moment.
 
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Engy
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May 21st, 2016, 4:03 am

Hi Alan,congratulations on finishing it!I just ordered it through amazon.co.uk
 
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Alan
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May 21st, 2016, 1:00 pm

Thank you, Artur!BTW, for others who might be browsing, amazon builds its book pages in stages,and the Look Inside/Search Inside feature is now enabled for that title atamazon.com (US, here ). As of today, it looks like the other amazons have Look Inside, but have not yet enabled Search. A good test to see if the Search is working is to search for "McKean", which will turn up, among other things, a nice Wilmott forum-related discussion on pg. 381 (header page 385). Another small glitch is that one of the Table of Contents pages is not visible when you 'Look Inside'.To see that one, look back earlier in this thread, where I posted the final TOC.
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AnalyticalVega
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May 27th, 2016, 3:16 pm

Did anyone read chapter 4 of Alan's book yet? Any feedback?
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Cuchulainn
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May 27th, 2016, 3:18 pm

Just received the book in the post. Looks nicely laid out and inviting to read.Thanks! Question: Would the discrete dividend problem (chapter 9) be a good MSc project? I am thinking of C++ using its Math and ODE toolkits (or C#) and the fact that early exercise is used. Basically, NDSolve approach.Nice thing as well is that the full specifications are given in chapter 9 in one place.Any possible generalisations that could be tried out? One topic using penalty/barrier method for early exercise in the presence of discrete dividends, for example (?) Follow-on Q: Are there other chapters of interest that could be used as input to a 3-month MSc finance thesis using C++?
Last edited by Cuchulainn on May 27th, 2016, 10:00 pm, edited 1 time in total.
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AnalyticalVega
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Volatility books 2016

May 29th, 2016, 4:37 am

An important subject for traders is how to estimate price jumps. Alan's book talks about scheduled price jumps on page 224. I don't think any mathematical model or analytical distribution can accurately estimate the time or magnitude of price jumps.
 
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Alan
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May 29th, 2016, 3:40 pm

By 'scheduled jumps', I mean where the timing is known because the jump is triggered by an important announcement.For a single name equity, this is typically the earnings release.For SPX and VIX (the example at the book page), the example is the FOMC meeting results release. So, the timing for those kinds of jumps is easy. Interestingly, the simple model discussed there also predicts (in the case of the VIX jump), the sign of the jump,namely downward. However, a more complex model may alter that.
Last edited by Alan on May 28th, 2016, 10:00 pm, edited 1 time in total.
 
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Alan
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May 29th, 2016, 4:19 pm

QuoteOriginally posted by: CuchulainnJust received the book in the post. Looks nicely laid out and inviting to read.Thanks! Question: Would the discrete dividend problem (chapter 9) be a good MSc project? I am thinking of C++ using its Math and ODE toolkits (or C#) and the fact that early exercise is used. Basically, NDSolve approach.Nice thing as well is that the full specifications are given in chapter 9 in one place.Any possible generalisations that could be tried out? One topic using penalty/barrier method for early exercise in the presence of discrete dividends, for example (?) Follow-on Q: Are there other chapters of interest that could be used as input to a 3-month MSc finance thesis using C++?Thanks, Daniel.I think a C++ or C# version of the discrete dividend model would be a good MSc project. I don't know if a penalty approach would work well;probably better to interrupt the PDE (ODE system) solver in some way analogous to the WhenEvent method that I discuss in the chapter.In the book Index, 'reader projects' gives some page numbers in other chapters for projects. Replicating or extending the time series work in Chapters 3 or 5 would be my favorites.
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Alan
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June 21st, 2016, 7:00 pm

For those who may have purchased the book (and thank you if you did!), I am starting to post the code files at the address below.
Last edited by Alan on June 20th, 2016, 10:00 pm, edited 1 time in total.
 
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Soap
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Volatility books 2016

June 23rd, 2016, 2:00 pm

Hi @Alan, I just received your new book. Very well written and thanks for the great book!Immediately I went to Chapter 3 and 7, as I would like to find the probability transition density for SVJ model or Bates (1996). I wonder is it possible to derive the transition density function for SVJ? Which chapters/sections could help? Thanks.
Last edited by Soap on June 22nd, 2016, 10:00 pm, edited 1 time in total.
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