SciComp - Futures Volatility Surface Calibrator

List of Posts on this Blog

I will try to keep an updated list of posts on my blog here with quick descriptions. In order to access posts for a given subject, click on the subject in the “Archives” box to the right.

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Category = ‘Risk Management’:

‘Stressed VAR’: The attached presentation discusses Stressed VAR, a practical market risk measure that merges stress testing with VAR, using a familiar and theoretically consistent framework. The presentation also briefly discusses a relatively unknown topic: Volatility of Component VAR.

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Category = ‘Quant Finance’:

‘Faust, Economics, Psychology, and Models’: What Faustian bargain has wound up biting us? Do we need to include in models explicit economic variables and (gasp) psychological variables to cope with the insanely low market prices of some securities?

‘Models, Phenomenology, and All That’: Quotes from my book on my Philosophy of Models. You can’t live with them and you can’t live without them. How much of Models, Quantitative Finance, and Risk Management is “science”? How much is “phenomenology”? And what about “model rigor disease”?

‘New Paper: Multivariate Integral Perturbation Techniques - I (Theory)’: This paper introduces a perturbation method for evaluating an N-dimensional multivariate Gaussian integral, breaking it down into a sum of one-dimensional integrals.

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Category = ‘Book’:

‘3rd printing of my book’: This has the pdf file for typo corrections and some additions for the 3rd printing.

‘Book: Quantitative Finance and Risk Management, A Physicist’s Approach’: This has the pdf file for typos corrected in the 2nd printing, and also contains the URLs discussing the book on Wilmott, e.g. http://www.wilmott.com/messageview.cfm?catid=11&threadid=19336

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Category = ‘Music’:

‘Trovatore and Butterfly’: The New York Grand Opera performances for summer 2009

‘Mitchell Lurie, clarinetist’: Mitchell Lurie, who recently passed away, was one of the premier clarinetists of the 20th century. I took clarinet lessons from him long ago, and he played a pivotal role in my life.

‘The opera Doctor Atomic’: This powerful opera forces attention to be refocused on nuclear weapons, which still constitute a clear and present danger to humanity.

‘New York Grand Opera Update 2: Aida performance’: Picture from the performance of Aida.

‘New York Grand Opera Update: Traviata and Aida for Summer 2008’: Curtain call photo for Traviata and information for the upcoming performance of Aida on Aug. 13.

‘New York Grand Opera Update: Tosca, Pagliacci performances in 2006-07’: Pictures on NYGO website with some background

‘Efficient Music Practice Techniques and the V.R. - Think Method’: This is a ‘how-to-do-it’ guide for efficient practicing on musical instruments.

‘And Now For Something Completely Different’: Here’s a quiz: What is a guzla? This post has the answer.

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Category = ‘Global Warming’

‘EPA Hearing on Greenhouse Gases’: My testimony at the recent EPA Hearing on the need to regulate greenhouse gases.

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Category = ‘Physics’:

‘The Large Hadron Rap: Watch Me!’: Watch the music-rap video “The Large Hadron Rap” to learn about the big new high-energy particle accelerator at CERN in Switzerland, and the physics behind it. See http://www.youtube.com/watch?v=f6aU-wFSqt0

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© 2009 Jan W. Dash. All rights reserved.