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v4nn4

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@romflorentz

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Stochastic calculus is required to derive closed formulas and approximations used to calibrate SDE models. Similarly to deep learning, the secret sauce lies in the training, less in the inference. The code used by banks is closed source, and the research papers are missing said secret sauce. Calibrating models in a production environment handling correlation, multi-curves, stochastic funding, discrete dividends, etc. is not a solved problem. Interest rate derivatives modeling heavily relies on change of measure, even when using simple models.

Bogdanov affair 10 years ago

Totally second this. I often mention this scandal when discussing pseudo sciences, along with Elisabeth Teissier case. Quite embarrassing for my country but surely a good laugh. Love that this ended on HN !