Neiderhoffer

Quote from pepper_john:

Probably his position is not hedged at all. So no need for stochastic vol, local vol.
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How can you say that?

nitro
 
Quote from marketsurfer:

its my opinion that everyone may be very very surprised when theTRUTH is revealed.

regards

surf:D
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yep. VN was probably short VN futures all along....
 
Quote from nitro:

If I may, let me propose something.

1) First, we must assume VN is not dumb.
2) Assume VN was not gambling, and that his position was trading some edge.

What I am trying to say is, give the man credit, and learn from it. If those two assumptions are true, there is much to be learned. For example, here is a crucial insight into option markets: If there are no jumps, you can arb vol.

Did VNs model neglect jumps, or did his model give them an extremely unlikely probability? What was his model? Was it stochastic vol model, local vol model, Heston? etc etc etc?

nitro
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How could you possibly hope to find out exactly what his proprietary models are or were? Do you expect him to share them with you? And if not, then what is your point?
 
Quote from marketsurfer:

its my opinion that everyone may be very very surprised when theTRUTH is revealed.

regards

surf:D
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Surfer, you will say and write just about anything, won't you?
 
Quote from nitro:

If I may, let me propose something.

1) First, we must assume VN is not dumb.
2) Assume VN was not gambling, and that his position was trading some edge.

What I am trying to say is, give the man credit, and learn from it. If those two assumptions are true, there is much to be learned. For example, here is a crucial insight into option markets: If there are no jumps, you can arb vol.

Did VNs model neglect jumps, or did his model give them an extremely unlikely probability? What was his model? Was it stochastic vol model, local vol model, Heston? etc etc etc?

nitro
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Phuck Heston. For this sort of sheah you're better off with a GARCH(1,1). Use Ritchken-Trevor lattice or Jin Duan's analytical approx (Heston's proposed bollocks closed form GARCH (you can tell I like the guy, almost as much as that other jerkwad Hull with his moronic IR model) is just that - bollocks - as the process is not true GARCH - note, not talking about his stoch vol sheah here).

Now getting back to Vic. Hedged? What sort of cash do you think an options trader will make being fully hedged trading vanilla products? You can make money trading some exotics hedged where the spreads are wider but Vanillas?

Don't know his strategy, but I'll bet that trading Vanillas he would at most have been partly hedged. He is not playing market maker after all.
 
Quote from Thunderdog:

Surfer, you will say and write just about anything, won't you?
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what on earth is that supposed to mean? other than a misguided attempt at casting dispersions and wallowing in falsehoods.
 
Quote from Thunderdog:

How could you possibly hope to find out exactly what his proprietary models are or were? Do you expect him to share them with you? And if not, then what is your point?
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I agree that we are not likely to know any of these things, because VN is not LTCM and there won't be any investigation.

All I am saying is, these are the questions we can learn from. Not that he blew up again. That is rumor and transient.

When, where, how, why.

I claim that the only one that is important, how, is the one least likely to be of importance to the gossip hounds on ET.

nitro
 
Quote from marketsurfer:

what on earth is that supposed to mean? other than a misguided attempt at casting dispersions and walloqing in falsehoods.
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"Casting dispersions?" Dispersions? You're quite the journalist, aren't you? May I recommend a remedial English class? That and an occasional spell check, Mr. Pulitzer.
 
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