Derivatives -- the View from the Trenches

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Conclusion Markets are efficient but risk averse. Hedge funds collect risk premia. There are not very many cheap options and even far fewer direct arbitrage opportunities. Financial <strong>the</strong>ory works! Models work! 28
Page 1 and 2: Derivatives -- the View from the Tr
Page 3 and 4: My Life as a Quant CV: - 1997: PhD
Page 5 and 6: The First Fundamental Theorem of De
Page 7 and 8: Theorem 1 and Option Markets Black
Page 9 and 10: Theorem 1 and Models Theorem 1 ext
Page 11 and 12: Theorem 1 and Technical Results A
Page 13 and 14: Theorem 2: The Gospel of the Jump
Page 15 and 16: But in essence the strategies invol
Page 17 and 18: Theorem 2 and the Equity Volatility
Page 19 and 20: So in front of you, you have an opt
Page 21 and 22: The Difference between P and Q and
Page 23 and 24: Model Philosophy Keep it simple --
Page 25 and 26: Foreign exchange - Black-Scholes wi
Page 27: An Interest Rate Model at Work in J

Derivatives -- the View from the Trenches

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