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!
Quant Documentary
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Daniel Duffy
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It's from VPRO a while back, a Dutch TV station.
A bit too slow-moving for me, sorry.
A bit too slow-moving for me, sorry.
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too old. lost a lot of its relevance already
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documentaries usually happen when there is event with negative impact. quant space has been quite vanilla since the great recession. so answer is no
Daniel Duffy
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Maybe Bitcoin by the brilliant Nando Ametrano (BTW co-founder of Quantlib).
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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
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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
[PDF] The Alternating Direction Explicit (ADE) Method for OneâFactor Problems | Semantic Scholar
In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black–Scholes, local volatility, uncertain volatility). We first give an introduction to ADE. We discuss the stability, accuracy, and performance of ADE for a generic...
pdfs.semanticscholar.org
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