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ONAN_OUS
I'm bored and people seem to like @bennpeifert vol explainers so here's a dollar store version of Shreve and Bjork's intro to stochastic calc for option pricing. A very rough
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Now how do the big boys do this in the real world? They use @AxiomaInc or @MSCI_Inc (formerly called MSCI BARRA but I think they dropped the name)https://twitter.com/ONAN_OUS/status/1278722283519873024 The main
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As your resident vol explainer guy, here's a long-form version of how one can be down 200% a la Malachite. They were doing capped vs. uncapped variance swaps, 'picking up
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