"Because to those to whom much has been given much will be required." - Richard Chartres, the bishop of London

Submitted by cahn on 4 November, 2009 - 3:06pm

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"This I know: When I raise my hand and take that oath of office, I think the world will look at us differently. And millions of kids across this country will look at themselves differently." - Barack Obama

Submitted by cahn on 27 October, 2009 - 12:12am

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cahn's Microblog

Hedging Derivative Securities

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.....

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Andrew J. Hall: the British eccentric who made a killing on Wall Street

Submitted by cahn on 26 July, 2009 - 2:25am

Every once in a while, says New York magazine, there appears a character who floats above “the wretched, amoral, meatheads” of Wall Street. Andrew J Hall is such a man.

"Because to those to whom much has been given much will be required." - Richard Chartres, the bishop of London

"This I know: When I raise my hand and take that oath of office, I think the world will look at us differently. And millions of kids across this country will look at themselves differently." - Barack Obama

Hedging Derivative Securities

Pricing and hedging derivative securities in markets with uncertain volatilities

What did I say then?

Andrew J. Hall: the British eccentric who made a killing on Wall Street

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