Collector's Blog
http://www.wilmott.com/blogs/collector/index.cfm
en-usWed, 27 May 2015 22:45:49 --0100Fri, 05 Dec 2014 17:19:00 --0100BlogCFChttp://blogs.law.harvard.edu/tech/rssblogs@wilmott.comblogs@wilmott.comUnified Book Launch Oslo
http://www.wilmott.com/blogs/collector/index.cfm/2014/12/5/Book-Launch-Oslo
I am having a small book launch at the House of Litterature (Oslo). My talk will be in Norwegian (only) this evening:
<a href="http://www.litteraturhuset.no/program/2014/12/revolusjon.html" >Teori-Boklansering: Unified Revolution: New Fundamental Physics </a>
<a href="http://www.litteraturhuset.no/english" >The Norwegian House of Literature </a> is the largest of its kind in Europe.
ProjectsFri, 05 Dec 2014 17:19:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/12/5/Book-Launch-OsloQuestions
http://www.wilmott.com/blogs/collector/index.cfm/2014/11/26/Questions
What are the ultimate building blocks of everything?
What is time?
Why does Einstein synchronization of clocks lead to a synchronization error? (Poincare suggested same procedure, also he misunderstood several aspects of what could be done)
Why is Einstein's relativity of simultaneity just an apparent effect?
Why must absolute simultaneity be reintroduced?
What exactly is energy, and how is it related to matter?
What is the ultimate origin of memory and intelligence?
What is the true cause of gravity?
Unified Revolution answers these and many more questions.
ProjectsWed, 26 Nov 2014 08:31:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/11/26/QuestionsIt is thick
http://www.wilmott.com/blogs/collector/index.cfm/2014/11/25/It-is-thick
Yes my new book is thick and heavy. As almost all mathematical results are new, I have shown the derivations in detail. Simple mathematics. Some people claimed that my Option Pricing formula book is thick, this is not true, it is thin (see picture). Most things are relative, but far from all.
The first copies (express copies) are now shipped out.
The person on the cover is a caricature of George Francis FitzGerald (first suggesting length contraction). A long series of famous physicists are mentioned in my book, and the designer made wonderful caricature of many of them. (And yes my new book had 3 native English speaking editors, because I only know NorEnglish and math)
What truly counts is naturally the math and how well it stands up against experiments. Many other theories are falsified (mostly they are incomplete and not very deep). Unified Revolution is unlikely to ever be falsified as everything is derived based on the very fundament of reality.
The world is simpler than you think, and also much more wonderful than you think. Simplicity actually causes many more equations, not less equations. On the other hand every single equation now makes sense, it can all 'easily' be explained.
I am standing on the shoulders of Giants, but a few of these true Giants have not been noticed and/or have been ignored. People should not so easily have laughed of (and ignored) the old masters (that often wrote in riddles).
ProjectsTue, 25 Nov 2014 14:37:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/11/25/It-is-thickUnified Revolution
http://www.wilmott.com/blogs/collector/index.cfm/2014/11/25/Unified-Revolution
Unified Revolution introduces a new fundamental theory of physics, backed up by mathematics and scientific experiments. For the first time in the history of man, a unified theory of space, time, energy, mass, gravity, causality, uncertainty, cosmology, and even memory and intelligence is presented.
Unified Revolution includes several hundred new mathematical results in fundamental physics that have never been published before. Einstein's special theory of relativity only scratches the surface of space and time, and it is replaced through this work by a much more fundamental relativity theory. Einstein?s famous formula, E=Mc^2, is correct, but there are several deeper layers behind this formula that are revealed in this book.
Unified Revolution presents the most powerful scientific theory in human history. It will cause shock waves in the scientific community.
The book has been printed in United Kingdom on superb paper quality, (several hundred color illustrations), hardcover. It is thick and heavy. It will soon be available on amazon.com and other channels.
see also
<a href="http://www.espenhaug.com" > www.espenhaug.com </a>
ProjectsTue, 25 Nov 2014 13:43:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/11/25/Unified-RevolutionTweet tweet
http://www.wilmott.com/blogs/collector/index.cfm/2014/10/28/Tweet-tweet
I just joined twitter. Will my low activity twittering increase or decrease my low activity blogging? any synergy effects, any non-linear multiplication effects?
@EGHaug
ProjectsTue, 28 Oct 2014 23:39:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/10/28/Tweet-tweetOption pricing in the late 19th century
http://www.wilmott.com/blogs/collector/index.cfm/2014/9/19/Option pricing in the late 19th century
There is an interesting 2014 working paper by Sotiropoulos and Professor Rutterford titled
<a href=http://www.open.ac.uk/ikd/documents/working-papers/ikd-working-paper-72.pdf
" > PERFORMATIVITY AND FINANCIAL MARKETS: OPTION PRICING IN THE LATE 19TH CENTURY </a>
A few quotes from the paper
?This is a unique historical example which shows that sophisticated hedging
practices were not academically led?
? there is `widespread ignorance concerning the history of derivatives' "
?Pricing techniques in financial markets have been systematically developed in practice long before the academic publication of related formalized models (Rutterford 2004). And
sophisticated option trading was possible long before the perfecting of the BSM
pricing model in the 1970s on the basis of a knowledge spontaneously developed practical form in the everyday experience of market participants.?
?Higgins does not use standard deviation (or variance) as a proxy for market price dispersion but another similar measure which is close to the so-called average deviation.?
?Option markets existed and flourished long before the publication of Black and
Scholes? famous paper in 1973.?
Higgins was an option trader in London and published an interesting booklet in 1896. More people; traders and academics should spend more time to dig out and read the old sources.
Derivatives HistoryFri, 19 Sep 2014 11:05:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/9/19/Option pricing in the late 19th centurySymmetry
http://www.wilmott.com/blogs/collector/index.cfm/2014/5/3/Symmetry
A series of "symmetries" plays a role in option pricing and mathematical finance:
The put call parity
The reflection principle
Put call duality
Mirror mirror on the wall what is the most important symmetry in the world? When the student is ready the teacher will appear!
Derivatives HistorySat, 03 May 2014 02:32:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/5/3/SymmetryTaleb's Proof
http://www.wilmott.com/blogs/collector/index.cfm/2014/3/28/Taleb-Proof-of-Risk-Neutral-Valuation-of-Options-Without-Relying-on-Dynamic-Delta-Hedging
Nassim Taleb has recently written a very interesting paper where he gives a theoretic proof of Risk Neutral Pricing of options without relying on dynamic delta hedging.
<a href=" http://www.fooledbyrandomness.com/OptionPricing.pdf
" > Risk Neutral Option Pricing Without Dynamic Hedging, A Measure-Theoretic Proof, by Nassim Taleb
</a>
??There have been a couple of predecessors to the present thesis that Put-Call parity enforces risk-neutrality, such as Derman and Taleb (2005), Haug and Taleb (2010), which were based on heuristic methods, robust though "hand- waving". This paper uses a completely distribution-free, expectation-based and proves the risk-neutral argument with- out dynamic hedging.?
The dynamic delta hedging argument used by Black, Scholes and Merton to argue for risk neutral valuation of options is unnecessary and also breaks down in practice. Dynamic delta hedging can in no way remove enough risk to argue for risk neutral valuation if we have jumps, and in practice we have jumps in every market.
Nassim's proof is the final blow to the Black, Scholes, Merton way of deriving the formula, at least if you are interested in methods that also work well in practice. The Bachelier-Thorp formula is robust and is the one used by veteran option traders.
<a href=" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1012075
" > Option Traders Use (very) Sophisticated Heuristics, Never the Black?Scholes?Merton Formula
</a>
Trading versus current TheoryFri, 28 Mar 2014 00:32:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/3/28/Taleb-Proof-of-Risk-Neutral-Valuation-of-Options-Without-Relying-on-Dynamic-Delta-HedgingExploring the put-call parity in practice
http://www.wilmott.com/blogs/collector/index.cfm/2014/3/1/Exploring-the-putcall-parity-in-practice
My first job in professional finance was as a junior on the USD interest rate derivatives desk on the trading floor of the largest bank in Norway (Den norske Bank). From the first day I walked on to the trading floor I loved the atmosphere. The job of the USD interest derivatives market making desk was mainly to offer/create USD; swaps, caps and floors and swaptions to the sales desk that typically offered such products as interest rate hedges to oil and shipping companies. We at the market maker desk hedged (created) these products with Eurodollar futures and Eurodollar options in the Chicago pit as well as OTC trades in the interbank market. Even if we were located in Oslo we had a direct line to the Chicago pit. The USD interest derivatives business were highly competitive (we were competing with a long series of big banks). By pushing a button on the direct line we were in immediate in contact with our brokers standing on the outskirt of the massive Eurodollar pit in Chicago. From the outskirt of the pit the broker could wave hand signals straight to their execution broker in the pit.
I was straight out from business school and naturally knew some about the put-call parity. We also had a brand new system called Knight Ridder in addition to our Reuters and Bloomberg that were the main price-feed system back then (there is nothing new in competing about the speed of information). Knight Ridder was known for its very fast price feed. Back then for some markets Knight Ridder was faster than Reuters and Bloomberg. Knight Ridder also had some type of simple ?programing? capabilities, more like a built in primitive spread sheet. We "programmed" in the put-call parity for a long series of Eurodollar option and futures contracts trading in the Chicago pit. If the put-call parity were broken the relevant contracts would be blinking in red on the Knight Ridder screen.
Not often, but every now and then the Knight Ridder screen blinked in red and I hit the the direct line and got fresh trade prices from our broker in the Chicago pit that I could hit. Every time I was on the line the arbitrage was to my disappointment gone. Possibly some locals standing in pit trading had already picked it up, or in many cases it was likely just apparent screen arbitrage simply due to slightly different time stamp on the contracts.
In my many years on various trading floors I have only been able to do put-call arbitrage a couple of times in the OTC market.
The put-call parity has been known in great detail at least for 100 years by traders (see the book of Nelson and Higgins published 1902 and 1904, and more info also in my Models on Models). It is a very robust arbitrage principle, but also more than an arbitrage principle as it can be used to convert calls into puts and puts into calls etc. something that can be important in particular for market makers trying to hedge options with options.
Derivatives HistorySat, 01 Mar 2014 00:42:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/3/1/Exploring-the-putcall-parity-in-practiceStreet Talk
http://www.wilmott.com/blogs/collector/index.cfm/2014/2/20/Street-Talk
Some year?s back I was setting up a free outdoor Street Talk. Did you ask on what street? Naturally on Wall Street! I applied and got a permit to set up a black board just opposite of New York stock exchange to give a free open sky speech about option pricing. My charming students however seemed more interested in watching the Wolfs of Wall Street walking by than to listen to my exotic option formula talk.
The Future of Quant FinanceThu, 20 Feb 2014 00:51:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/2/20/Street-TalkUnexpected Paper!
http://www.wilmott.com/blogs/collector/index.cfm/2014/2/11/Unexpected-Paper
They say all you need is a pen and paper. If you don't have paper just wait until the paper one day appear in the streets. (me in the red t-shirt with a butterfly).
How often dose it rain paper?
FAT TAILSTue, 11 Feb 2014 14:59:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/2/11/Unexpected-PaperCentaur Calculus
http://www.wilmott.com/blogs/collector/index.cfm/2014/2/9/The-Centaur
By combining negative probabilities and fractional calculus we can almost create (understand) a Centaur. Interesting paper:
<a href=" http://www.hindawi.com/journals/aaa/2013/205097/ " > This paper presented the historical evolution and the main concepts supporting two ?exotic? areas, namely, negative probabilities and fractional calculus.
</a>
Outside the tailsSun, 09 Feb 2014 18:17:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/2/9/The-CentaurTrading with Aliens
http://www.wilmott.com/blogs/collector/index.cfm/2014/1/2/Trading-with-Aliens
Fehily has a small article on <a href=" http://www.charteredaccountants.com.au/News-Media/Charter/Charter-articles/Economy/2013-12--Trading-with-aliens.aspx
" > Trading with Aliens </a>,
The same topic appeared in The Smith Journal:
<a href=" http://www.smithjournal.com.au/blogs/science/maths-for-aliens
" > Alien Maths </a>
"And the results are in: the number of planets with life on them we should be able to detect in the next 10 years is... two! "
FAT TAILSThu, 02 Jan 2014 01:25:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2014/1/2/Trading-with-AliensDemand and Supply
http://www.wilmott.com/blogs/collector/index.cfm/2013/5/23/Demand-and-Supply
The demand for my Option Pricing Formuals Collection is now higher than supply? or may be not. At least the price has gone up: New copies from $ 899.98 (Amazon May 23). Time will tell if a bubble or not! The price of my book is clearly following a jump process.
$899.98 is still cheap, like less than $10 per formula..
There are rumours of a a short squeeze or buy back program, others will call it sector inflation !
Trading versus current TheoryThu, 23 May 2013 15:23:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2013/5/23/Demand-and-SupplyQuantum Social Science
http://www.wilmott.com/blogs/collector/index.cfm/2013/3/24/Quantum-Social-Science
" Quantum Social Science " is the title of an interesting book published in 2013 by mathematics Professor Khrenikov and Professor Haven.
"Aimed at researchers in economics and psychology, as well as physics, basic mathematical preliminaries and elementary concepts from quantum mechanics are defined in a self-contained way."
The book covers such things as Brownian motion, completeness of quantum mechanics and the possibility to apply quantum mechanics outside physics. Martingales and fake probabilities and naturally a section on arbitrage and negative probabilities. Further such topics as price and superposition of values, q-calculus in finance, the Implications of the non-Hermiticity of a Black-Scholes Hamilton operator, what is that?
This book clearly has some out of the box thinking!
The Future of Quant FinanceSun, 24 Mar 2013 14:03:00 --0100http://www.wilmott.com/blogs/collector/index.cfm/2013/3/24/Quantum-Social-Science