Whoops. How do they say in school? "Check your work."

so are you talking about d^2P/dSig^2 (convexity wrt price) or d^3P/dSig^3 (convexity wrt vega) cause if it's the latter you are breaking new ground. My guess is that you meant the former (otherwise I have no idea what you were talking about). Chrisc, my apologies for calling you a pettifogger. I thought you were making the same point as the quant who is always correcting me for my mispronuciation of Fourier.

How about we restate it like this: dVega/dVol, that should remove any ambiguities. Whatever, I'm tired to this thread. Not exactly the most exciting area of finance.How can you mispronounce Fourier??

furrier

Yup..if P is convex wrt to Vol then d2P/dVol2 > 0 ie dVega/dVol >0

Oh, I remember a good one. This was asked to me a while back in an interview with an exotics Guy. Note that it is misunderstood in Tim Crack's otherwise excellent book Heard on the Street:Two teams are going to play against each other until one of them has won 4 games and is declared the champion (therefore, there is going to be between 4 and 7 games). You want to bet in a way such that, if team A is the champion, you win $100, and if team B is the champion, you lose $100. However, you can only bet on each of the games. What is your betting strategy?Anyone?

I might be being niave but it looks like you just need to walk through this one backward. Someone more clever than I am would probably say "Duh, It's just Pascal's Triangle times PI" Does this work:Game 1 Bet 31.25 on team AGame 2 Bet 31.25 on team AGame 3If 1-1 bet 37.5 on team A, betting balance is 0If 2-0 for A, bet 25 on A, betting balance is 62.5If 2-0 for B, bet 25 on A, betting balance is -62.5Game 4If 3-0 for A, bet 12.5 on A betting balance is 87.5If 3-0 for B, bet 12.5 on A betting balance is -87.5If 2-1 for A bet 37.5 on A, betting balance is 37.5If 2-1 for B bet 37.5 on A, betting balance is -37.5Game 5If 2-2, bet 50 on team A, betting balance is 0If 3-1 for team A bet 25 on team A, betting balance is 75If 3-1 for B, bet 25 on team A betting balance is -75Game 6If 3-2 for A, bet 50 on A, betting balance is 50If 3-2 for B, bet 50 on A, betting balance is -50Game 7 Bet 100 on A, betting balance is 0

Strategy - quite complicated I guess.I would use my pocket excel!Can I?

You sell lemonade on a linear beach that is accessible from the left and the right. Your competitor has set up his stand as below: _________________^Comp^____where should you set up your stand?If your competitor hasn't set up his stand yet where should you set up yours?

Yup just used excel!worow you are right.apologies but my brain just does not work any more.

worow, you just beat me to it with your answer 1) immediately to the left of him (as we look at the beach)2) half way alongthat is assuming there is a limt of two competitors.

I was assuming people will walk until they see a stand. If you assume people will not want an ice cream if they have to walk too far, you might want to put it nearer the end.

QuoteOriginally posted by: worowI might be being niave but it looks like you just need to walk through this one backward. Someone more clever than I am would probably say "Duh, It's just Pascal's Triangle times PI" Does this work:Game 1 Bet 31.25 on team AGame 2 Bet 31.25 on team AGame 3If 1-1 bet 37.5 on team A, betting balance is 0If 2-0 for A, bet 25 on A, betting balance is 62.5If 2-0 for B, bet 25 on A, betting balance is -62.5Game 4If 3-0 for A, bet 12.5 on A betting balance is 87.5If 3-0 for B, bet 12.5 on A betting balance is -87.5If 2-1 for A bet 37.5 on A, betting balance is 37.5If 2-1 for B bet 37.5 on A, betting balance is -37.5Game 5If 2-2, bet 50 on team A, betting balance is 0If 3-1 for team A bet 25 on team A, betting balance is 75If 3-1 for B, bet 25 on team A betting balance is -75Game 6If 3-2 for A, bet 50 on A, betting balance is 50If 3-2 for B, bet 50 on A, betting balance is -50Game 7 Bet 100 on A, betting balance is 0Well done Worow, you get the job. I thought this was a though one, blendertime for me.

QuoteOriginally posted by: worowYou sell lemonade on a linear beach that is accessible from the left and the right. Your competitor has set up his stand as below: _________________^Comp^____where should you set up your stand?If your competitor hasn't set up his stand yet where should you set up yours?I would say the same as Silverside, i.e. just to the left. But I can also reveal the secret Starbuck's business plan answer. X marks the spot:__X__X_X_X__X_X__X_^Comp^_X__X__And what do you mean, Starbucks don't sell lemonade?

Silverside is right. Does the question still make sense if there is only access from one side of the beach or would more info be required?