Re:Financial Statement Analysis with Large Language Models
by FabHK on Friday May 24, 2024 @10:30PM
(#40472203)
While the industry has changed substantially since the GFC, all foundational derivatives models were basically in place back then.
Re:Financial Statement Analysis with Large Language Models
by JumpCrisscross on Saturday May 25, 2024 @03:00PM
(#40477105)
> all foundational derivatives models were basically in place back then
In vanilla equity options, sure. But that’s like saying we solved rockets in WWII. The foundational models were derived by then; everything that followed was refinement, extension and application.
Not true. Most of the magic happens in estimating the volatility surface, BSM's magic variable. But I've also seen interesting work in expanding the rates components. All this before we get into the drift functions.