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Primer On Arbitrage And Asset Pricing
Financial decision making is typically concerned with the amount of investment capital to allocate to various assets or asset classes in various financial markets. The opportunity set can be very complex, with sets of […]
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The Volatility Smile Problem: From Within
In the following, I will say what the smile problem is, and I am not sure everyone will follow me. This is how deeply and how long I’ve been thinking about the smile problem. I’ve […]
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Close Encounters Of The Third Order
The 1977 science fiction movie Close Encounters of the Third Kind was written and directed by Steven Spielberg. The title is derived from the classification by Hynek for close encounters with aliens, in which the […]
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Volatility Voodoo
How do I love thee? Let me count the ways. I love thee to the depth and breadth and height My soul can reach, when feeling out of sight. . . I love thee with […]
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Gambler’s Ruin
The term “gambler’s ruin” is used for a number of statistical ideas whose common denominator is predicting the eventual outcome of a series of repeated bets. There are some beautiful and counterintuitive results in which […]
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Statistiks
The English word is taken from the German statistik, which was invented by Gottfried Aschenwall and used in his 1748 work Vorbereitung zur Staatswissenschaft. Aschenwall’s statistiks had nothing to do with either numbers or probability. […]