Getting paid Gauss to deliver Cauchy

[newwurldmn]

Black scholes framework and it’s extensions is
are distribution agnostic.

The Gaussian distribution was only required for the closed form.

Half of what I do is binomial 1 step valuation.

Talking about Cauchy distributions doesn’t make you smart.

 

[destriero]

I co-authored in 1993 so let me know what you think.

http://www.actuaries.org/LIBRARY/ASTIN/vol39no2/515.pdf

 

[W-M-A]

Black scholes framework and it’s extensions is
are distribution agnostic.

The Gaussian distribution was only required for the closed form.

Half of what I do is binomial 1 step valuation.

Talking about Cauchy distributions doesn’t make you smart.

Another glorious idiot with a predetermined understanding of the question, good for you, if you could see me you see I am clapping for you, you retarded fuck!

 

[W-M-A]

I co-authored in 1993 so let me know what you think.

http://www.actuaries.org/LIBRARY/ASTIN/vol39no2/515.pdf

OK interesting, I will check it, and which one of these fine chinaman are you then, so I can check out more of your work?

 

[newwurldmn]

Another glorious idiot with a predetermined understanding of the question, good for you, if you could see me you see I am clapping for you, you retarded fuck!

good luck in your endeavors. You will need it. I know where it will end up.

 

[W-M-A]

the result of swapping distributions is too blunt no? How useful is this for you in actual trading? Why not just plot market implied probabilities and work on your iv view?

I want to go away completely from the idea of having to monitor the market and minimize the burden of hedging to the lowest point I can, and instead "pay" for it by assuming a higher degree of the observation that hurts my position, but when is it optimum to do it? When the observation falls 3 sigmas, 4, or 5... How do I determine that the regime has shifted and now I am truly in (among many others but I prefer and like Cauchy for whatever reason) world, and should hedge it. Thats my practical aspect of the questions. Thanks for the really good questions btw!!!

Should add, that this is concerned with the portfolio level hedging and not individual positions and trades.

 

[W-M-A]

I co-authored in 1993 so let me know what you think.

http://www.actuaries.org/LIBRARY/ASTIN/vol39no2/515.pdf

get fucked, you are not in Hong Kong, are you? Let's see if you guys have actually done the original idea some justification or just slammed another meaningless dimension to the equations, hahaha. Btw if you are based in HKU on Pokfulam Road then expect a visit from me and a proper introduction in person, I live right below Queen Mary Hospital down close to the water. If you are the one out there in Shatin, then forget it.

 

[destriero]

Mid Levels. Conduit Road.

 

[W-M-A]

Mid Levels. Conduit Road.

I used to live on Kotwall, Yok Wu Do, so cabby's understand where to take me... but this was back in 07.

 

[ITM_Latino]

Imagine being so cocky to talk like that to the +75MM$ dream team

Hope his portfolio is at least 25.. and I mean HIS, not managed.