Sublime
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AI Phutures
Jesse Burkunk • 6 cards
My mini lectures in Quant Finance:
1- Deriving Black-Scholes via Itô's lemma (the dynaming hedging approach)
2- Why we don't use Black Scholes (my work with @EGHaug)
https://t.co/ff2AURSf3Z
Nassim Nicholas Talebx.comInvesting
Rob Berger • 4 cards

Ok I think I understand what my issue here is:
Imagine an at-the-money binary option with one day left to expiry. It will either payout $500bn or 0$ tomorrow. Such an option will have *infinite* delta. Stripe is that option https://t.co/NbTDVEkOf9

RenTec uses Hidden Markov Models in trading.
The technique generated 60% returns per year over 30 years.
One of the co-founders of RenTec's name is in the algorithm!
Here's how it works: https://t.co/aogI0bDtu7



