Articles by admin

I recall in my past life as a trader working for financial institutions that some desks, mostly bank units, did not want to deal with the volatility of the marks-to-market on a daily or monthly […]

Seven Years Later I was reading (for the new edition Dynamic Hedging) an article by Leland and Rubinstein on portfolio insurance when I stumbled upon the following footnote: M. Rubinstein and H. Leland, “Replicating Options […]

Introduction: A Garlic-Oriented Meeting The first time I met Emanuel Derman, it was in the summer of 1996, at Uncle Nick’s on 48th street and 9th Avenue. Stan Jonas paid, I remember (it is sometimes […]

Figure 1 : Term Structure of the Underlying Security. S is the spot, F the forward. (This idea came to me when I saw in London earlier this month a hotshot from UCLA who spent […]