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"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."
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"The difference between Socrates and Jesus? The great conscious and the immeasurably great unconscious."
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Personal Development
"There is but an inch of difference between a cushioned chamber and a padded cell."
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"The major difference between a thing that might go wrong and a thing that cannot possibly go wrong is that when a thing that cannot possibly go wrong goes wrong it usually turns out to be impossible to get at and repair."
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"Be different to make a difference."
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"That was always the difference between Muhammad Ali and the rest of us. He came, he saw, and if he didn't entirely conquer - he came as close as anybody we are likely to see in the lifetime of this doomed generation."
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"The difference for me is I just don't sleep on friends' couches anymore."
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"It don't make no difference where I go or what happens, so long as I can play the full nine."
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"A difference of opinion is what makes horse racing and missionaries."
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"There is a great deal of difference between an eager man who wants to read a book and the tired man who wants a book to read."
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"It is a great deal of difference to receive an honorary title or a title in his profession."
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"Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model."
Trying
"We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but back then, this was the sort of thing people were only just beginning to realize."
People
"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
"If each of your time steps is one week long, you are not modeling the stock price terribly well over a one-week time period, because you are saying that there are only two possible outcomes."
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
"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
"Our research led on to other things, such as the fact that exchange rates are not lognormally distributed."
Fact
"Our tree is actually a tree of the short-term interest rate. The average direction in which the short-term interest rate moves depends on the level of the rate. When the rate is very high, that direction is downward; when the rate is very low, it is upward."
Direction
"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
"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
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