SciComp SLV Calibrator

PARIS: Global Derivatives May 8 to 13 2006

I left NY then went to Norway then Paris Global Derivatives:

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.

Alfred Nobel

One evening in Paris a few quants met up at Alfred Nobel's old office. First you pass through some heavy doors, then up some old stairs. Then into the Norwegian and Swedish "house". You walk through the bar taking a right, then a left, then you are in Alfred Nobel's old office. The photo shows the desk where he signed his testament to give away all that prize money. Economy/Finance and mathematics were not in this category ;(