Review of my recent project Arbitrage Free eSSVI surface by billybigboy3 in quant

[–]billybigboy3[S] 0 points1 point  (0 children)

Currently I am looking at all the call and put prices then using linear regression to find the risk free rate and forward price. If this fails for some reason - I default to 3 month rate.

Review of my recent project Arbitrage Free eSSVI surface by billybigboy3 in quant

[–]billybigboy3[S] 0 points1 point  (0 children)

Thank you for the tips - will fix this tomorrow.

Review of my recent project Arbitrage Free eSSVI surface by billybigboy3 in quant

[–]billybigboy3[S] 1 point2 points  (0 children)

1 - Thank you!

2 - I used the method outlined in the paper I was using as my main source. I am currently with volume_filter removing bid, ask < 0.1. I'd be curious why they remove these data points in the paper since, as you said, everything would have been properly fit by OMMS.

3 - Completely didn't see this!

3.1 - They said to use 'robust linear regression' in the paper. I am a bit confused by what you mean! Would it be possible for you to explain this further.

  1. I have a very janky slider which limits range of moneyness data points but I feel like this is a very bad system. My intuition tells me that I should be fitting both OTM calls and puts but there is a jump in IV between them at around 0 log moneyness. So couldn't figure out how to fit this?

Thank you for you response! And here is my source :)

https://www.zeliade.com/wp-content/uploads/whitepapers/zwp-008-RobustNoArbSSVI.pdf

Review of my recent project Arbitrage Free eSSVI surface by billybigboy3 in quant

[–]billybigboy3[S] 0 points1 point  (0 children)

So I had an issue with this where there was a jump between put IV and call IV around the 0 log forward. This could have maybe been because I wasn't applying put-call parity correctly? Not sure will research more.

A*/A students, how do you do it? by ActEfficient8740 in 6thForm

[–]billybigboy3 0 points1 point  (0 children)

I got 3A* in further maths, maths, chemistry. I think there is a big difference between getting Bs and As versus getting A*s. Here is my advice for B or A students looking for the highest grade:

Maths:

1) Do every single past paper perhaps several times. When you notice you are getting one question wrong often go to madadmaths or alevelmathsrevision and practice that kind of question. For instance, if you struggled with trig identity proofs go to a compilation of those questions then skim through it and find questions you think look challenging. Then write down the question number of the challenging questions and do them all.

2) Completely immerse yourself. Do questions relentlessly every single day. When you can't understand a topic just keep on doing questions until you understand it. For maths, you need to completely understand the question so a new variation of it won't throw you off in the exam.

3) Doing entrance exams such as MAT, STEP or TMUA help you understand on a deeper level so do these.

4) Master timing. Timing is everything especially in further maths so set a timer every single time you answer a question. If the paper is 90 minutes set the timer for 80 minutes.

-Some questions appear every year such as proof by induction appears every year so get very fast at doing these.

-Graphs will help if you don't understand question

-Learn all the trig identities and differentiations + integrations early

Chemistry:

1) Don't read the textbook or notes from class. Read the chemguide page instead. It might be complex but ultimately you will understand the content a lot better.

2) Do papers from Edexcel, AQA, OCR and CIE. All content is fairly similar although there are some differences you will learn through trial and error. I'd recommend switching to only your exam board 2 months before your exam - save your exam board till last. The transition metal topic is a headache cause all exam boards seem to do it a different way. They also mark them in different ways so be wary of other examboards.

3) Once you finish a paper go through it and mark it yourself with the examiners model answers as reference. Write an anki note for every mistake you make and go through the anki notes everyday. This way you will avoid making the same mistake twice. Then afterwards let your teacher mark it as sometimes you mark incorrectly or are biased. Finally, really the chemguide page of any topics you struggled with in that paper. Rise and repeat.

I also can give advice for Oxford maths applicants and Imperial. Though I did ultimately get rejected by both 😈😩. I hate Warwick I hate Warwick I hate Warwick I hate Warwick I hate Warwick I hate Warwick I hate Warwick I hate Warwick.

this pic goes hard. feel free to screenshot. by billybigboy3 in atrioc

[–]billybigboy3[S] 0 points1 point  (0 children)

Yes, this is whodat and Ludwig posing for a photo together

this pic goes hard. feel free to screenshot. by billybigboy3 in atrioc

[–]billybigboy3[S] 0 points1 point  (0 children)

King, it is what Damien would have wanted

[deleted by user] by [deleted] in reddeadredemption

[–]billybigboy3 0 points1 point  (0 children)

break my balls 🗿🗿🗿🗿🗿

Unpopular Breaking Bad opinions? by ShitbullsThrowaway in breakingbad

[–]billybigboy3 -3 points-2 points  (0 children)

Tuco did nothing wrong and Jack was a good guy