UnRisk 7

The good old days

May 1974

Cricket pitch, Trinity College Dublin

Skating in the waterways in Noord Holland

Some years ago I posted Anser Anser (geese)

Now my neighbours are skating in the same fields.

Last night it was MINUS 22 Celsius.

Computing option price: Uncertain volatility versus Black Scholes

This is an example of UVM models (computed using ADE) against BS for flat vol = 20% and 40%.

Wild Geese (anser anser)

It has been snowing the last few days. When I looked out my window this morning onto the nature reserve I saw these Greylag (?)geese (anser anser).

Just the perfect scenery for the time of year.

The Third Man Tour in Vienna 7-7-07, Part II

Here's yours truly in the sewer. If you look at the You Tube films of my previous blog you will see what I mean. Unfortunately, I did not have the crew of Ealing studios with me so we had to take the photos wih Mrs. Cuchulainn's camera.

This blog is Part II of 2 (the first blog is also on General)

The Third Man Tour in Vienna 7-7-07

Had a few days off at the weekend in between work duties, so I decided to do the Dritte Man tour.

I describe the sites related to this famous film.

Included are:

- the museum

- the tour of the sewer

- the graveyard

- the bus tour

here is a glimpse of the film

http://www.youtube.com/watch?v=enH-A6gD8yw

Unfortunately, Harry did not escape, but I just about managed! Nor did Bernhard Lee escape. I did!

On Safari: Pilanesberg National Park, Republic South Africa

This is a two-hour drive north-west of Jo'burg.

Here you can see zebra, rhino, hippo, lion (maybe), griaffe, cheetah, antelope and elephant.

The park is 10 km long and about 20 wide, a bit like a rugby ball.

The Kruger park on the other hand is about the size of England or Wales.

Letter from South Africa (Cuchulainn meet Big Elephant)

After a strenuous week of C++, Excel, and QF I thought I would relax by going on safari.

Eventually we found the herd(?) of elephants on each side of the road.

The cavalcade kind of separated the herd, which subsequently started to become nervous (I was feeling OK, but the driver was worried). By the way, none of the motorists dared blow their horn!

The elephant on the road is Daddy. He is getting ready to attack, maybe...

That's the last time I'll be looking for elephants; give me a quant any day :)

Letter from South Africa, Part I (The Business)

Last week I gave a course on Advanced C++ for Derivatives in Johannesburg, South Africa. The course took place in Sandton, which is one of the main financial centres in the country. This was a four-day course in this case and on my free day (Friday, 16 June which incidentally was a national holiday) I was able to go to the safari park (I shall tell more about this and the close encounter with the 5-ton elephant in Part II to follow).

There is quite a lot of interest in advanced numerical methods for Heston, SABR and other pricing models. It seems that Soviet Splitting FDM is an accurate and robust method for these problems. It was also nice to meet Dr. Graeme West in person and thanks for all your hospitality. And of course the hospitality of all the other people involved.

Some pieces of information: cars drive on the left-hand side of the road and this is very comforting because it feels more intuitive than driving on the right. Smoking is prohibited in all public places and this does make a difference.

It is winter in Jo'Burg now and the sun sets around 18.00. There are no leaves on the trees, so it took a few days to realise that when it's dark it does not mean that it is time for bed!

In the next part I will show some photos of the safari...

Question: what happens when you meet a bull elephant face-to-face? Answer: show great respect and don't beep the horn of your vehicle! (hint: neither weightlifting nor judo help in this case :))