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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
"The HoLee model was the first term structure model. I remember reading their paper soon after it was published and as it was fairly different from many of the other papers that I had read, I had to read it quite a few times. I realized that it was a really important paper."
First
"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
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"We cannot measure time. We can only measure changes of life and the universe."
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Personal Development
"Depend upon it there comes a time when for every addition of knowledge you forget something that you knew before. It is of the highest importance, therefore, not to have useless facts elbowing out the useful ones."
Author Name
Personal Development
"Devote each day to the object then in time and every evening will find something done."
Author Name
Personal Development
"I wouldn't ask too much of her,' I ventured. 'You can't change the past.''Can't change the past?' he cried incredulously. 'Why of course you can!"
Author Name
Personal Development
"Life is a bubble in the ocean of time. At the same time, it can hold all the water of the ocean in her heart."
Author Name
Personal Development
"Wouldn't it be amazing if you could travel into the future, see where you messed up, and then go back in time to rearrange things in order to make your future better? You can. If you can foresee regret, you can mind-travel to the future. If you can train yourself to mind-travel effectively, you can intentionally affect your future by doing something about it today."
Author Name
Personal Development
"Finish each day and be done with it. You have done what you could. Some blunders and absurdities no doubt crept in, forget them as soon as you can. Tomorrow is a new day. You shall begin it serenely and with too high a spirit to be encumbered with your old nonsense."
Author Name
Personal Development
"A broad margin of leisure is as beautiful in a man's life as in a book. Haste makes waste, no less in life than in housekeeping. Keep the time, observe the hours of the universe, not of the cars."
Author Name
Personal Development
"Time takes it all whether you want it to or not, time takes it all. Time bares it away, and in the end there is only darkness. Sometimes we find others in that darkness, and sometimes we lose them there again."
Author Name
Personal Development
"God had infinite time to give us.... He cut it up into a near succession of new mornings and with each therefore a new idea new inventions and new applications."
Author Name
Personal Development
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