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Pricing and hedging derivative securities in markets with uncertain volatilities

Submitted by cahn on 19 June, 2007 - 5:30pm
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...a model for pricing and hedging derivative securities and option portfolios in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values $ \sigma_{min} $ and $ \sigma_{max} $.... ...the "pricing" volatility is selected dynamically from the two extreme values $ \sigma_{min} $, $ \sigma_{max} $, according to the convexity of the value-function.....

Managing the Volatility Risk of Portfolios of Derivative Securities: The Lagrangian Uncertain Volatility Model

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Pricing and Hedging Derivative Securities in Markets with Uncertain Volatilities.pdf217.25 KB
Managing the Volatility Risk of Portfolios of Derivative Securities_The Lagrangian Uncertain Volatility Model.pdf480.45 KB

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What is important in communication is not what you think but what the person thinks

Submitted by cahn on 6 July, 2006 - 12:03am

How to react when speaking with a person who stutters | Stuttering Homepage

  1. You might be very tempted to finish sentences or fill in words for the person. Unless you know the person well and have his or her permission, please do not do this. Your action could be taken as demeaning. And, of course, if you guess the wrong word, the difficulties multiply.
  2. Refrain from making remarks like: "Slow down," "Take a breath," or "Relax." Such simplistic advice can be felt as patronizing and is not constructive.
  3. Maintain normal eye contact and try not to look embarrassed or alarmed. Just wait patiently and naturally until the person is finished.