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chiral3
Founding Member

Total Posts: 5101
Joined: Mar 2004
 
Posted: 2016-05-17 00:15
She was a blond, US educated woman; possibly with an undergraduate degree in communications. She wasn't alarmed by him mumbling "I am become death, destroyer of worlds", but the differential equation was too much.

Nonius is Satoshi Nakamoto. 物の哀れ

Nonius
Founding Member
Nonius Unbound
Total Posts: 12787
Joined: Mar 2004
 
Posted: 2016-05-26 22:50
The Chompster

Chiral is Tyler Durden

numbersix


Total Posts: 299
Joined: Jan 2007
 
Posted: 2016-09-16 08:35
> I hope you're not confusing risk-neutral pricing and perfect replication!
>Yes, I do confuse them.

Apparently, you're not the only one, as witness recent affirmations I picked in a prominent article.

Risk-neutral pricing ensures the absence of arbitrage opportunities between prices of contingent claims.

This has nothing to do with perfect (or imperfect) replication, because there is obviously absence of arbitrage when pricing derivatives in incomplete markets.

BSM is not a model and, because it is not a model, no model can surpass it.

LongTheta
The Snowman

Total Posts: 3150
Joined: Mar 2004
 
Posted: 2016-09-16 08:58
numbersix,

Earlier this year, I was walking up rue Lacepede on my way to a Lebanese joint off Place de la Contrescarpe when I found myself in front of ITO33 headquarters. I remembered that, many years ago, you asked me to drop by when I'm in the neighborhood, so I knocked and asked for numbersix but was told that you were in London for the day. I will try again next time I'm in Paris.

By the way, in that Lebanese place, which on the short part of rue Mouff to the right as you go up towards Contrescarpe with your back to Lapecede, they not only make great falafel, but they are also kind enough to make me food when I go there way past midnight.

Time is on my side.

numbersix


Total Posts: 299
Joined: Jan 2007
 
Posted: 2016-09-16 09:48
I am back.

Falafel is on my side.

BSM is not a model and, because it is not a model, no model can surpass it.

LongTheta
The Snowman

Total Posts: 3150
Joined: Mar 2004
 
Posted: 2016-09-16 10:04
You know this place? with your back to Lapacede, you cross Contrescarpe, turn right towards Descartes, and it's on the left, past the Vietnamese place.

Time is on my side.

numbersix


Total Posts: 299
Joined: Jan 2007
 
Posted: 2017-04-20 15:28
Somebody here might find this entertaining. (Two deductions of price from the concept of pre-quantitative volatility.)

BSM is not a model and, because it is not a model, no model can surpass it.

deeds


Total Posts: 459
Joined: Dec 2008
 
Posted: 2019-10-30 16:50

@numbersix - not sure whether you'll get a little signal from this blackhole...if so -

thought about you last night listening to Bruno Dupire recap some examples of arbitrage available in complete markets through the effect of reparameterization/calibration of models used by 'most' market participants in a variety of markets...i think he has spoken and written about this before (maybe as far back as 97?)

resonated heavily (in my tiny mind) with your themes (though seemed to be more practical and detailed)...in this case the message wasn't that everyone is conceptualizing model risk from calibration incorrectly, it was that, as a byproduct of practical fact of market consensus on model, reparameterizing leaves convexity on the table

willis


Total Posts: 23
Joined: Feb 2005
 
Posted: 2019-11-04 02:28
Deeds, do you recall any examples Dupire was mentioning?

deeds


Total Posts: 459
Joined: Dec 2008
 
Posted: 2019-11-05 13:23
trying to get slides...will revert if possible

I think it's an old topic for him, (he referenced a 97 paper) but he was adding examples

deeds


Total Posts: 459
Joined: Dec 2008
 
Posted: 2019-11-05 13:23
EDIT: Duplicate
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