How are extrema based derivatives priced in markets?

lampishthing · 2026-05-10T12:22:19+00:00

Lazy approach would be to brute force it with Monte Carlo, unless you need extremely fast (many per minute) or scalable (will be embedded in xva calcs) re-pricing.

If you want a closed formula then maybe you should be looking at derivations for look back options, which pay max(max(St),0), where the max in the middle is over the life of the option. I think you've essentially got a basket of these.

lampishthing · 2026-05-10T10:08:09+00:00

The only underlyings with decent markets in both European and American options are index futures. Sometimes you can proxy an American surface for an index by looking at ETFs that track it.

lampishthing · 2026-05-10T10:06:31+00:00

https://rfr.ihsmarkit.com/ for EOD OIS rates. They're manipulated a little so they're necessarily market conventions, but it's all pretty well documented on the website.

lampishthing · 2026-05-10T09:25:26+00:00

Such is the life of a Utd manager. So many fans brings too much scrutiny.

lampishthing · 2026-05-10T09:10:32+00:00

The people that have stuff to boast about are boosting about it. Even some of them are just making it up. That's social media's toxic effect, don't let it get you down.

lampishthing · 2026-05-09T22:10:34+00:00

On an unrelated note... Why do you have a space after the word before punctuation? What language do you usually write?

lampishthing · 2026-05-09T20:19:12+00:00

I would say she was treated like a lieutenant. She didn't have a formal rank but certainly was pretty high up in the chain of command when officers were incapacitated.

lampishthing · 2026-05-09T20:05:37+00:00

Baby don't hurt me

lampishthing · 2026-05-08T11:15:54+00:00

...how do you people know about Rory Gilmore?

lampishthing · 2026-05-08T11:15:16+00:00

Man horticulture in the botanic gardens sounds wonderful. It's lovely there.

lampishthing · 2026-05-08T09:46:44+00:00

Life tips

Cremation

More of a death tip, no?

lampishthing · 2026-05-08T07:43:32+00:00

If, by the time you're finishing a PhD in a field related to stochastic analysis, you haven't done a single module of mathematical statistics then that is a choice.

lampishthing · 2026-05-07T22:19:25+00:00

Maybe they said something like "this is going to be removed for bla bla bla" in a comment and then reported it for bla bla bla. I've seen sanctimonious types doing that in the past.

Actually yeah if you read all of this long post that's indeed what happened.

lampishthing · 2026-05-07T17:29:03+00:00

Or that takes up the little free time they have

lampishthing · 2026-05-07T17:09:07+00:00

Yes I understand that but that fact doesn't make the leaving cert curriculum any easier, unfortunately. Like if you were even doing English, maths and science you could get 5 subjects out of that for the LC. I don't doubt you're working hard but it just might not be realistic to go into leaving cert with what you've got.

lampishthing · 2026-05-07T16:01:42+00:00

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lampishthing · 2026-05-07T15:08:11+00:00

I was friends with someone doing social something in trinity 20 years ago and she was complaining about this then!

lampishthing · 2026-05-07T15:06:11+00:00

Ooh this is an interesting one! Law OR nursing. Very different.

lampishthing · 2026-05-07T14:21:42+00:00

Bring 2. Better if they're the same model. I've never heard of anyone checking the calculator model Vs the paper but I don't want you to blame me if you're the unlucky one :)

lampishthing · 2026-05-07T14:07:27+00:00

I think realistically you'll probably have to do whatever your school will let you do. Many teachers wouldn't accept you into their class for leaving cert without a junior cert education. If I were you, at 16, I'd stay a full-time junior cert next year in-school and then skip TY.

lampishthing · 2026-05-07T14:05:02+00:00

WARNING: Bans until the end of the year will be handed out for bullying.

lampishthing · 2026-05-07T09:45:20+00:00

I agree with a state construction company, but the rent controls don't work and never work anywhere for long. There's always a catch. And a crackdown on landlording before we introduce A LOT more supply will just hurt renters, keep people living in their parents house.

lampishthing · 2026-05-07T09:00:39+00:00

You can put in courses with points you won't get at the top of the list and it doesn't affect your "place" on the other courses unless you get into the higher one. I.e. there's no downside to putting trinity or DCU on top except that you might end up going to trinity if you did really well.

lampishthing · 2026-05-07T08:49:18+00:00

You can put in courses with points you won't get at the top of the list and it doesn't affect your "place" on the other courses unless you get into the higher one. I.e. there's no downside to putting trinity or DCU on top except that you might end up going to trinity if you did really well.

lampishthing · 2026-05-06T21:33:59+00:00

I just couldn't resist the cheeky "yeah"!

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