Forums  > General  > projects  
     
Page 1 of 1
Display using:  

frolloos


Total Posts: 121
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.

No vanna, no cry

divotiusa


Total Posts: 1
Joined: Mar 2020
 
Posted: 2020-03-18 10:11
hi

Kitno


Total Posts: 492
Joined: Mar 2005
 
Posted: 2020-03-19 20:27
Hobbies are important in generally but with the self-isolation especially so.

I'm focussing on two things: chess and defence.

On the chess front I have played blindfold chess for a few years - be it in pubs with friends or against the wife (who is allowed a board). It's quite good for spacial awareness. I think I'm about 1400-1500 ELO in blindfold. I have forever been looking for a voice activated app to play against (which would be a God-send). So my new focus: two games simultaneously.

The second hobby is strictly Zero Hedge/Lemonade Stand and for another time.

All the soul of man is resolution, which in valiant men falters never, until their last breath.

PicturePerfect


Total Posts: 6
Joined: Feb 2018
 
Posted: 2020-03-19 22:40
@Kitno, "I have forever been looking for a voice activated app to play against (which would be a God-send)", have you tried voice activated chess on the Amazon Alexa device?

Kitno


Total Posts: 492
Joined: Mar 2005
 
Posted: 2020-03-20 00:10
Alexa, TikTok, et al can go fuck themselves.

In the old days we used to call them what they were: peep holes.

It's just back then it was the hot girl, not the whole community.

All the soul of man is resolution, which in valiant men falters never, until their last breath.

pj


Total Posts: 3525
Joined: Jun 2004
 
Posted: 2020-03-20 07:43
>peepholes
Sez the guy with a smart phone in his pocket
Tongue out

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

thisisboni


Total Posts: 10
Joined: Feb 2020
 
Posted: 2020-03-21 15:45
Hi - good to connect here - I would like to know more -- and am sure so would you about me ... how best to proceed ? - maybe a PM and then take it up from there ?

Kitno


Total Posts: 492
Joined: Mar 2005
 
Posted: 2020-03-21 16:08
So @thisisboni I know what a Hard Knock Life is like from the music video but what's a bot's life like?

All the soul of man is resolution, which in valiant men falters never, until their last breath.

thisisboni


Total Posts: 10
Joined: Feb 2020
 
Posted: 2020-03-21 20:40
Hey @Kitno - not sure yet ... new to me - I'm still learning - I need more data you see ;)! Cheers !

Kitno


Total Posts: 492
Joined: Mar 2005
 
Posted: 2020-03-21 20:56
e4

All the soul of man is resolution, which in valiant men falters never, until their last breath.

thisisboni


Total Posts: 10
Joined: Feb 2020
 
Posted: 2020-03-21 21:01
d4

Kitno


Total Posts: 492
Joined: Mar 2005
 
Posted: 2020-03-21 21:48
At least you're real.

All the soul of man is resolution, which in valiant men falters never, until their last breath.

thisisboni


Total Posts: 10
Joined: Feb 2020
 
Posted: 2020-03-21 22:03
:) thanks for the compliment !
Previous Thread :: Next Thread 
Page 1 of 1