PARIS: Global Derivatives May 8 to 13 2006

Some very interesting talks there. But also a few people taking themselves to serious.

Paris is a lovely city. Professor Langdon did not show up, but some finance professors were gathering around this pyramid midnight. What where they doing there? Trying to figure out the volayility of an average?

To find the volatility of an average relative to the spot volatility you need to take the volume of a pyramid divided by a cube, then the square root of this and multiply by the spot volatility. When discrete samling of the average (as always is the case in practice) the same principle hold with minor adjustments. For more on Pyramid power see paper with my brother Dr. Haug as well as Dr. Margrabe "Asian Pyramid Power" Wilmott Magazine

Pyramids and triangles have a lot of interesting properties, for example “all” you need to do special relativity is basically Pythagoras theorem.