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Total Posts: 271
Joined: Apr 2008
Posted: 2015-07-21 15:13
May I please have a copy of paper? Email in profile but jason dot mellone at gmail dot com

Thank you!


Total Posts: 1
Joined: Apr 2014
Posted: 2015-07-24 17:21
Could you send me the copy? Thanks!
gavincyi at gmail dot com


Total Posts: 176
Joined: Mar 2007
Posted: 2015-07-29 18:10
This thread is *still* alive?


Total Posts: 1
Joined: May 2016
Posted: 2016-05-19 07:11
Looks like I'm a little late to the party. If anyone still has the paper could you please email it to me?

jvogel5124 at



Total Posts: 1
Joined: Jun 2016
Posted: 2016-06-09 13:25
hi, im also interested in the paper. if it is still avaiable, could you email to

momenaska at

thank you very much


Total Posts: 1
Joined: Jun 2016
Posted: 2016-06-24 11:23
Would love a copy if you'd be so inclined.

cutletcapital at gmail dot com


Total Posts: 5
Joined: Jun 2016
Posted: 2016-10-23 23:07
Perhaps I do have "The Paper" you are looking for... Perhaps it is not as usable as you want... Please email me for a copy; and don't forget to return to my private email (or to the forum) your opinions...



uysheep at gamail.etc (an usual gmail address)

Or see my public email addres at the forum under my account settings...


Total Posts: 1
Joined: Oct 2016
Posted: 2016-10-26 18:29
in bloomberg news the other day, i read that some fellas together with the author of "the paper" launched an options vol fund this month, 120 mln to kick it off, they say


Total Posts: 31
Joined: Jul 2007
Posted: 2016-10-27 17:31
what's the mysterious paper? someone sent me the old Carr & Madan paper on variance related contracts claiming it is the one. well, it's a good paper, but has little to do with volatility predicting or trading. can someone uncover the mystery?


Total Posts: 383
Joined: Dec 2008
Posted: 2016-10-28 13:11

Not to deflate the fun (and really nothing appears to, yet...the appeal of the spanish prisoner)...careful reading of thread shows that initial generosity may be due to alexandergir, who shared some views developed on the job, reflected on the risk and prudently withdrew...


Total Posts: 1
Joined: Dec 2016
Posted: 2016-12-20 00:55
May I please have a copy of the paper. My email is egorovshura [at] yandex [dot] ru


Total Posts: 2
Joined: Mar 2015
Posted: 2017-03-02 16:29
May I ask for a copy of that paper?


Total Posts: 25
Joined: Dec 2007
Posted: 2017-03-05 14:18
Very noteworthy new work by Lorenzo


Total Posts: 1
Joined: May 2017
Posted: 2017-05-18 13:00
May I have a copy of the paper ?
My email adress is : lou.echard [at]

Thank you very much !


Total Posts: 213
Joined: Dec 2010
Posted: 2017-05-18 16:53
I probably don't understand what he writes, but this sort of work seems so old school to me nowadays. I would have a tendency to dismiss this as not very noteworthy at all to be honest. I just can't think of a way the Ansatz used here and elsewhere in this kind of work can add any significant value.


Total Posts: 25
Joined: Dec 2007
Posted: 2017-07-15 23:08
Excellent piece by my friend Lorenzo on short term tails:
Would love to see more public stuff on events w-shapes as well.


Total Posts: 3
Joined: Sep 2005
Posted: 2017-09-13 12:55
Can someone send me the paper as well? trisolaris333 at gmail dot com


Total Posts: 25
Joined: Dec 2007
Posted: 2017-12-21 02:41
SuperDerivatives founder is catching up. Very mathematically convoluted version which is hard to generalize for higher order corrections/jumps and build the rest of the machinery upon, but correct intuition and interesting perspective.

"we show that the three quantities that determine the volatility smile include the “pivot” volatility for the expiration (which can be thought of as the At The Money (ATM) volatility), the expected variance of the pivot volatility from inception to the expiration, and the expected covariance of the pivot volatility and the underlying asset/rate from inception to the expiration."



Total Posts: 25
Joined: Dec 2007
Posted: 2018-05-22 01:52
Still confused but makes more sense:

Btw, in their first paper these guys heavily referenced the original GVV work of Arslan, Eid, Khoury & Roth of DB, which is the source of whatever is non-trivial here. Later, Carr-Wu dropped all the references from their paper and never looked back. How did you feel when you were dropping it, Carr-Wu? Theft felt good?


Total Posts: 36
Joined: Dec 2007
Posted: 2018-05-22 10:02
Papers / notes by practitioners are not often quoted by academics. Maybe it makes them (the academics) feel embarrassed? who knows..
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