Re:Option Pricing with Fourier Transform and Exponential Lév...
by FabHK on Saturday October 27, 2018 @06:37PM
(#18318094)
Good old days :-)
I should say that it's always amazing to me how good traders are often quite ahead of the models: they use them and have an intuitive feel for them, but are also aware of their limitations, idiosyncrasies, and where the real world diverges from them.
(On the flip side, btw, that means that you can't blame the financial crisis on "oh, the models were bad". They were (some of them), but everyone knew. That things went on as they did was more due to systemic/political factors, incentives, etc.)
I should say that it's always amazing to me how good traders are often quite ahead of the models: they use them and have an intuitive feel for them, but are also aware of their limitations, idiosyncrasies, and where the real world diverges from them.
(On the flip side, btw, that means that you can't blame the financial crisis on "oh, the models were bad". They were (some of them), but everyone knew. That things went on as they did was more due to systemic/political factors, incentives, etc.)