The Blank Swan: The End of Probability by Elie Ayache

LongTheta · Post by **LongTheta** » Fri Sep 16, 2016 8:58 am

numbersix,

Earlier this year, I was walking up rue Lacepede on my way to a Lebanese joint off Place de la Contrescarpe when I found myself in front of ITO33 headquarters. I remembered that, many years ago, you asked me to drop by when I'm in the neighborhood, so I knocked and asked for numbersix but was told that you were in London for the day. I will try again next time I'm in Paris.

By the way, in that Lebanese place, which on the short part of rue Mouff to the right as you go up towards Contrescarpe with your back to Lapecede, they not only make great falafel, but they are also kind enough to make me food when I go there way past midnight.

numbersix · Post by **numbersix** » Fri Sep 16, 2016 9:48 am

I am back.

Falafel is on my side.

LongTheta · Post by **LongTheta** » Fri Sep 16, 2016 10:04 am

You know this place? with your back to Lapacede, you cross Contrescarpe, turn right towards Descartes, and it's on the left, past the Vietnamese place.

numbersix · Post by **numbersix** » Thu Apr 20, 2017 3:28 pm

Somebody here might find this entertaining. (Two deductions of price from the concept of pre-quantitative volatility.)

deeds · Post by **deeds** » Wed Oct 30, 2019 4:50 pm

@numbersix - not sure whether you'll get a little signal from this blackhole...if so -

thought about you last night listening to Bruno Dupire recap some examples of arbitrage available in complete markets through the effect of reparameterization/calibration of models used by 'most' market participants in a variety of markets...i think he has spoken and written about this before (maybe as far back as 97?)

resonated heavily (in my tiny mind) with your themes (though seemed to be more practical and detailed)...in this case the message wasn't that everyone is conceptualizing model risk from calibration incorrectly, it was that, as a byproduct of practical fact of market consensus on model, reparameterizing leaves convexity on the table

willis · Post by **willis** » Mon Nov 04, 2019 2:28 am

Deeds, do you recall any examples Dupire was mentioning?

deeds · Post by **deeds** » Tue Nov 05, 2019 1:23 pm

trying to get slides...will revert if possible

I think it's an old topic for him, (he referenced a 97 paper) but he was adding examples

deeds · Post by **deeds** » Tue Nov 05, 2019 1:23 pm

EDIT: Duplicate