Alison Macpherson Quotes
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Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the tree are reached the branching pattern changes to accommodate the mean reversion.
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When interest rates are high you want the average direction in which interest rates are moving to be downward; when interest rates are low you want the average direction to be upward.
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We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners.
Keywords: 1986 :: all :: and :: at :: been :: by :: conferences :: contact :: derivatives :: giving :: has :: in :: of :: our :: practitioner :: practitioners :: presentations :: research :: since :: started :: stimulated :: then :: we :: withSource: brainyquote.com
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We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but back then, this was the sort of thing people were only just beginning to realize.
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There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and vega are important dimensions of the risk.
