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Total Posts: 104
Joined: Dec 2007
Posted: 2020-01-18 08:41
So this is a weird question maybe. But I have a few ideas, some will turn out to be OK and others scheit, that I'd like to work on. But as I am not working in the industry for a while now, and at the moment quant finance is a personal hobby gone haywire, I don't have enough time and energy to follow up on these ideas by myself.

If anyone would be interested in working with me, and if something nice comes out of it co-author a little paper, then let me know. Not all at once please :)

Two concrete things at the moment that I'd like to follow-up:

1. "It takes three part II". In part I, I "symmetrised" the skew, hence I also know how to simplify significantly the Carr-Lee immunisation procedure. All this can be used to price more general vol derivs, but also I think timer options in SV models with correlation, perhaps robust hedging of barriers as well, and so forth. But it's a lot of work still.

2. Displaced diffusion model for varswaps. The skeleton is there, but it really needs more fleshing out.

Anyway, just a thought, not expecting anything obviously, but drop me a note if you want.

One man's Theta is another man's Gamma - Me
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