Prof. Gatto Nero:

Pricing risky options

Dec 1998 CATS festival oration

The old paradigm of contentment: single non-interacting linear cow.

Theorist preparing to re-enter Earth orbit. (Photo S. Rugh)

(Gunilla Feigenbaum)

Computational Finance CF99 January 7 - 8 (Conference)

Tutorials (January 6)

10:45 - 12:45 Forecasting Volatility Prof. Stephen Figlewski, Finance Department, Stern School of Business, New York University The tutorial will describe the different forecasting approaches and present a critical discussion of the tactics, strategy, and underlying philosophy behind them. Modeling philosophy: What do we actually mean by volatility? How should we think about the general problem of forecasting it? Forecasting volatility from historical data: If the real world consisted of lognormal diffusions with constant volatility parameters, or even if volatilities were time-varying but followed constant volatility processes, appropriate statistical estimation techniques would be unambiguous. But the real world is more random and less predictable than that. So what works best in practice: The classical unconditional volatility estimator? Generalized Autoregressive Conditional Heteroskedasticity (GARCH)? Or maybe a tweaked classical model based on "Optimized Unconditional Conditional Heteroskedasticity" (OUCH)?

1:45 - 3:45 Neuro-Dynamic Programming and Reinforcement Learning for Finance Prof. Benjamin Van Roy, Engineering Economic Systems Department, Stanford University In principle, a wide variety of financial decision problems - ranging from dynamic asset allocation to hedging to transaction cost optimization - can be formulated in terms of stochastic control and solved by the algorithms of dynamic programming. Unfortunately, due to the curse of dimensionality, the associated computational requirements become intractable in most practical contexts.

Greg Huber discovers that icky, squishy, wet, and non-integrable aliens have occupied his bathroom.

Huber (Kultur) exponent

``... and on the log-log plot the multifractal multiscaling multiaffine multidata fall on the straight line with slope .87013456.... give or take .00000002, exactly!!! It is the most important result since Galilei!!!!''

[Vachtang: ``... at least they lie on the plane'']

P. Dimon , Phys.Rev. Letts. (1969-98):

1. surgically removed when they get tenure
2. cerebral cortical breakdown from attending too many conferences
3. congenital defect
4. they have stopped to many neutrinos*

DOGS conceptual breakthroughs, Phys. Rev. Letts. (1998):

1. vanishing Schröder exponent
2. the Hansen-Olesen-Andersen-Pedersen-Christensen-Nielsen-Hansen hierarchical model

The Hansen-Olesen-Andersen-Pedersen-Christensen-Nielsen-Hansen hierarchical model.

So what is that makes CATS lives worth living?

The stimulating intellectual climate of CATS.

Lo studente Paolo: ``But Professore Civitanovic said I should rotate my head 480 deg.!''

Kai: ``It's a little known fact that Vikings attacked wearing towels''

Martin: ``The life of a postdoc is not for the weak.''

Michael Steen Hansen

Hidetoshi Nishioka

Dieter Wintgen

Giovanni Paladin

``... nevertheless ...''
        ``... morrrrrrreoverrrrr...''
                  ``...blah..blah..blah..''
                         ``vuh....''.





13 March 1999 - predrag@nbi.dk