top of page
.png){kind=small}
"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."
Standard
Customized
More
"I became an adult in an extreme way. I was recently sorting some old photographs and I found another."
Author Name
Personal Development
"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."
Author Name
Personal Development
"Extreme remedies are very appropriate for extreme diseases."
Author Name
Personal Development
"I'm not really allowed to talk about the Dead though. I think when we are at our best, we definitely do things that the Dead or no other band could do. We explore things and take things to the extreme."
Author Name
Personal Development
"That made me feel good, not to go to a resort where outside the door is extreme poverty."
Author Name
Personal Development
"I just had this notion that I wanted to do the most extreme thing I could and I also very consciously wanted to do something that was very different from Mars because we were all very close."
Author Name
Personal Development
"Combine the extremes, and you will have the true center."
Author Name
Personal Development
"In my writing with Extreme, there are heavy themes. The cover photo has me with a gun to my neck. I am not advocating suicide. I am taking the philosophy that man is the measure of his own fate."
Author Name
Personal Development
"Justice in the extreme is often unjust."
Author Name
Personal Development
"I was a new devotee of Eastern mysticism and even though I did not join that particular group, I could well have done. They seemed a bit extreme but I regarded myself as not quite ready."
Author Name
Personal Development
More
"I guess any simple idea that is really good will catch on quickly."
Idea
"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
"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
"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
"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
"Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model."
Trying
"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
"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
"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
"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
bottom of page