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Quant Documentary

ssidoli

Active Member
C++
I'm sure many of you have seen this, but for those of you who haven't seen it, the documentary "Quants - The Alchemists of Wall Street" (© VPRO Backlight February 2010) is an excellent watch. It gives a glimpse of the emergence of "quants," how they found success, how they contributed to market collapse, and what their role is in the future of Wall Street. It focuses on Paul Wilmott, Emanuel Derman, and Michael Osinski. Highly recommend!

 

ExSan

Well-Known Member
too old. lost a lot of its relevance already
There is a formula on Paul's left side
Ft = |Fxx|
did this formula lose relevance? can someone explain how is it related to the Quant Finance World?
Why did Paul bring the attention to this formula in particular?
any one?¡
 
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Daniel Duffy

C++ author, trainer
There is a formula on Paul's left side
Ft = |Fxx|
did this formula lose relevance? can someone explain how is it related to the Quant Finance World?
Why did Paul bring the attention to this formula in particular?
any one?¡
My guess only.
It's a nonlinear parabolic PDE (think of a kind of Black Scholes with r = 0)
It's say that convexity/gamma is made positive and "F" is increasing in time.
But it could mean other things. I suppose we could ask Paul?

Another uncertain vol PDE is discussed here
 
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