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Use a product that allows you to express a view on realized correlation... Specifics will depend on the asset/product class in question. As to TA, there's a whole variety of TA "methods" that are fundamentally based on mean reversion.

You can get the risk-neutral pdf by differentiating the smoothed Price(strike) function twice, if memory serves...

You might wanna look at Drobny's "Inside the House of Money" book... It's not a textbook, though.

True dat... French, most likely arrogant and probably a graduate of Ecole Polytechnique. I am normally not one for stereotypes, but still...

No, rates... I don't know anyone who uses anything more complicated than BSM in the world of FX.

Sire, since I don't really operate in the world of equities, I hesitate to recommend anything. All I can tell you is that the two main variants I use in my domain are SABR and HJM.

Did anyone see the response of another Guardian journalist to the original article? Generally, I second Ricter's thinking on this... http://www.guardian.co.uk/commentisfree/2010/mar/19/darwin-evolutionary-science-media-coverage

Amazing! Couldn't they find someone a wee bit more senior to teach graduate students? An associate, for goodness' sake...

+3 for GoC's post (with one small correction: don't necessarily pay off your mtge, as it may help you offset certain risks in your investment portfolio).

This is one of the most famous papers on the subject (Coval & Shumway, 2000): http://www.people.hbs.edu/jcoval/Papers/OptionReturns.pdf There's also this (Hodges, Tompkins & Ziemba, 2003): http://papers.ssrn.com/sol3/papers.cfm?abstract_id=424421 And this (Ni, 2007)...

As a broad generic approach, these strategies don't work. There's a whole plethora of research/data to support this conclusion. The most ironic bit of anecdotal evidence is Taleb's own performance during the years he traded (before he became a pundit). This is not to say that outstrike...

Ha-ha, you're just full of absolute pearls of wisdom like this, aren't you?

Mighty stops in 10y spreads is all... Everyone and their mother puking out the longs they got into at low positive levels.

Trading, for my sins... But I used to be a quant.

Well, that's just basic bond math, innit? Assuming you have Excel, you can use its handy YIELD function.

It's the fwd price (i.e. assuming settlement on 10-Jun-2010) of the Bund Jan15 bond, which is the current CTD for the Jun bobl contract.

I don't think Matlab is a great choice for realtime stuff like this. That's my experience, anyways.

This all happened a while ago. Why do people suddenly decide to bring it up now?

Wooooohooo, you've found a FREE LUNCH!!!!! Or have you, o mighty genius?

I completely disagree. Defining volatility is not a problem at all. There's a definition out there that the mkt unanimously accepts as the right one. Saying that everyone's personal experience of volatility varies is an entirely different kettle of fish. Ultimately, you (and Carr) are simply...