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"One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails of the probability distributions we are using are too thin, our VAR measures are likely to be too low."
Extreme
"Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the tree are reached the branching pattern changes to accommodate the mean reversion."
Extreme
"There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and vega are important dimensions of the risk."
Risk
"We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners."
Giving
"Briefly speaking, our conclusion is that stochastic volatility does not make a huge difference as far as the pricing is concerned if you get the average volatility right. It makes a big difference as far as hedging is concerned."
Difference
"When interest rates are high you want the average direction in which interest rates are moving to be downward; when interest rates are low you want the average direction to be upward."
Direction
"The real challenge was to model all the interest rates simultaneously, so you could value something that depended not only on the three-month interest rate, but on other interest rates as well."
Challenge
"Alan White and I spent the next two or three years working together on this. We developed what is known a stochastic volatility model. This is a model where the volatility as well as the underlying asset price moves around in an unpredictable way."
Years
"In the interest rate area, traders have for a long time used a version of what is known as Black's model for European bond options; another version of the same model for caps and floors; and yet another version of the same model for European swap options."
Time
"The problem with interest rates are that you are not modeling a single number, you are modeling a whole term structure, so it is a sort of different type of problem."
Interest
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"From the port of ideas, not only the most clever ones put out to sea and conquer the world but also the most stupid ones do this!"
Author Name
Personal Development
"Give people films, they will forget after a few weeks, but give people ideas, they will assimilate them into their consciousness."
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Personal Development
"Through your ideas, you open the window of your mind and say a hello to the world."
Author Name
Personal Development
"There is no battle or engagement with any institution, company or government; it is always an engagement of ideas."
Author Name
Personal Development
"A celibate clergy is an especially good idea, because it tends to suppress any hereditary propensity toward fanaticism."
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Personal Development
"An idea can change your fate in a wonderful way but you must first let the idea to touch your mind and your heart! No closed book can ever be your hero!"
Author Name
Personal Development
"Many things about our bodies would not seem to us so filthy and obscene if we did not have the idea of nobility in our heads."
Author Name
Personal Development
"Unless you close your door to other ideas, you will never remain idealess!"
Author Name
Personal Development
"It terrified me to have an idea that was solely mine to be no longer a part of my mind, but totally public."
Author Name
Personal Development
"I never accepted the idea that I had to be guided by some pattern or blueprint."
Author Name
Personal Development
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