Benn Eifert π₯·π΄ββ οΈ
Derivatives and volatility and love and kindness. Oathbreaker paladin. Anti-fascist. Personal account, not work. @bennpeifert.bsky.social
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"but my machine learning model can forecast asset prices!" stationarity is one of the most important concepts in probability and statistics the essence of its meaning is that the...
ok. this references the big daddy of all elementary confusions in derivatives. Black-Scholes (and related) models, for which Nobel prizes were won: we do NOT use them as models,...
there have been several threads bouncing around lately on how being a risk-taker and portfolio manager is a brutal job and i promised to weigh in. most of what i think is in the be...
ok. as requested. an option's theta (theoretical rate of decay over time) is not just "income" to an investor holding a short position. it is compensation for the risk of loss t...
I get this question a lot in DMs so putting it here so I can refer to it later. "Why do put options and call options at the same strike have different implied volatilities (attach...