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 Mar 24 comment The Relation Between the Ricci flow and the Black-Scholes-Merton Equation Oh and this Wikipedia article (en.wikipedia.org/wiki/Ricci_flow) has something about the connection to diffusion. But I doubt this is more than a superficial coincidence. Mar 24 comment The Relation Between the Ricci flow and the Black-Scholes-Merton Equation hmm, where did he write this, can you provide the citation? I actually doubt there is any real connection (no pun intended) but would certainly want to make sure that I do not contradict Mr. Perelman ;-) Oh and btw bond traders would not be the first who come up to mind when you mentioned the BS formulas. Feb 6 comment Appropriate measure of risk if return are not normally distributed I like the caveat "assuming returns have finite variance"! Feb 6 comment Appropriate measure of risk if return are not normally distributed There is a huge literature on this topic, freely available to you on the internet. For a start have a look at Wikipedia "Value at Risk" (en.wikipedia.org/wiki/Value_at_risk) and Expected Shortfall (en.wikipedia.org/wiki/Expected_shortfall). Entering "risk measures" or "measures of risk" in Google will bring up double digit millions of hits many of them quite helpful. Jan 7 revised Proof that no trading system always wins deleted 5 characters in body Jan 7 revised Proof that no trading system always wins added 43 characters in body Jan 7 answered Proof that no trading system always wins Dec 21 answered How to calculate confidence interval for option price? Dec 20 comment How to calculate confidence interval for option price? What is the difference between "price at maturity" and "payoff"? I.e. between approach A and B? Sep 28 comment Portfolio insurance strategy with path dependence Unless you find something better you might want to look at Chapter 8 and 9 of "Stochastic Finance" by Föllmer/Schied. They say: "As a first preliminary step, we consider strategies of quantile hedging which stay on the safe side with high probability. In other words, we maximize the probability for staying on the safe side under a given cost constraint." Which is slightly different from your problem. Furthermore, they give somewhat general proofs, while you seem to be interested in a special case. Sep 23 comment Longevity risk modelling Yes, of course. For a start have a look at llma.org/home.html You find things under "publications". You might want to post a question for more specific questions. Sep 10 comment Swiss Zero-Coupon Bond Yield Curve Data Why was this downvoted? Aug 18 awarded Nice Question Jul 21 comment How to discretize a GBM under P- and Q-measures? Is it clear that the discretised discounted process also has the martingale property? Jun 17 comment Lipschitz condition in mathematical finance Questions about assumptions are relevant but if you want "rigorous" answers you should state it more carefully. What means "major" part and what is an "efficient" pricing model? We probably all agree that one does not need Lipschitz to calculate expected values. As Mark Joshi points out you might be able (or even need) to go a long way with somewhat weaker assumptions. Jun 13 revised Positive VaR when calculation on Total Return Indexes? added 38 characters in body Jun 13 comment Distribution of Black Scholes call option price at time 0