5 ms·

To add to what others have already pointed out, inverse square root is an important operation in finance (for example in pricing options: calculating implied vo

To add to what others have already pointed out, inverse square root is an important operation in finance (for example in pricing options: calculating implied volatility in Black-Scholes Model). However, if speed is that important to you (e.g. if you are an HFT), you don't even want to be calculating the inverse square root in your hotpath. Basically, the implied volatility is "seeded" once and then you update it using greeks (finance term for a derivative, don't ask me why).

arcticbull 5y ago
Greeks are a family of derivatives that apply to options, not just one. Delta is the amount an option goes up or down in price for every $ the underlying moves. Gamma is the second derivative. The change in delta as a function of change in price of the underlying. Theta is the amount an option goes down in price for each day you hold it (“time decay”)
- alex_smart 5y ago
  You know you're in a forum of programmers when you implicitly switch a noun from plural to singular in a parenthetical remark and instead of inferring the meaning based on context, someone feels the need to correct you.
  - gumby 5y ago
    I didn’t read it as a correction to number but rather as a response to your “I don’t know why”
    - arcticbull 5y ago
      Indeed I wasn't trying to correct the parent - I actually found the explanation pretty cool. Rather to provide some color to the folks here without financial background. I figured an explanation of what the common greeks were would help folks without a financial background understand how it's possible to work backwards from them to an updated price. Sorry if it didn't come across that way @alex_smart!
      - azalemeth 5y ago
        It definitely educated me!
mhh__ 5y ago
Sometimes they aren't even real Greek!
- NovemberWhiskey 5y ago
  (Yes, vega - we are looking at you)
  - boulos 5y ago
    Huh. I'm amused at the Wikipedia section on this [1]. > The use of Greek letter names is presumably by extension from the common finance terms alpha and beta, and the use of sigma (the standard deviation of logarithmic returns) and tau (time to expiry) in the Black–Scholes option pricing model. Several names such as 'vega' and 'zomma' are invented, but sound similar to Greek letters. The names 'color' and 'charm' presumably derive from the use of these terms for exotic properties of quarks in particle physics. What's with all the "presumably"? [1] https://en.wikipedia.org/wiki/Greeks_(finance)#Names https://en.wikipedia.org/wiki/Greeks_(finance)#Names
    - NovemberWhiskey 5y ago
      Who would know? Most of this stuff started off in industry rather in academia; probably somebody started writing a nu on the whiteboard sometime to mean sensitivity to implied vol and someone else gave it a Greek-sounding name that stuck.
    - mhh__ 5y ago
      It's before my time but I bet it's the finance equivalent of Philosophers (i.e. fashionable nonsense) science-washing their work - even if unknowingly.

arcticbull 5y ago

Greeks are a family of derivatives that apply to options, not just one. Delta is the amount an option goes up or down in price for every $ the underlying moves. Gamma is the second derivative. The change in delta as a function of change in price of the underlying. Theta is the amount an option goes down in price for each day you hold it (“time decay”)

alex_smart 5y ago
You know you're in a forum of programmers when you implicitly switch a noun from plural to singular in a parenthetical remark and instead of inferring the meaning based on context, someone feels the need to correct you.
- gumby 5y ago
  I didn’t read it as a correction to number but rather as a response to your “I don’t know why”
  - arcticbull 5y ago
    Indeed I wasn't trying to correct the parent - I actually found the explanation pretty cool. Rather to provide some color to the folks here without financial background. I figured an explanation of what the common greeks were would help folks without a financial background understand how it's possible to work backwards from them to an updated price. Sorry if it didn't come across that way @alex_smart!
    - azalemeth 5y ago
      It definitely educated me!

mhh__ 5y ago

Sometimes they aren't even real Greek!

NovemberWhiskey 5y ago
(Yes, vega - we are looking at you)
- boulos 5y ago
  Huh. I'm amused at the Wikipedia section on this [1]. > The use of Greek letter names is presumably by extension from the common finance terms alpha and beta, and the use of sigma (the standard deviation of logarithmic returns) and tau (time to expiry) in the Black–Scholes option pricing model. Several names such as 'vega' and 'zomma' are invented, but sound similar to Greek letters. The names 'color' and 'charm' presumably derive from the use of these terms for exotic properties of quarks in particle physics. What's with all the "presumably"? [1] https://en.wikipedia.org/wiki/Greeks_(finance)#Names https://en.wikipedia.org/wiki/Greeks_(finance)#Names
  - NovemberWhiskey 5y ago
    Who would know? Most of this stuff started off in industry rather in academia; probably somebody started writing a nu on the whiteboard sometime to mean sensitivity to implied vol and someone else gave it a Greek-sounding name that stuck.
  - mhh__ 5y ago
    It's before my time but I bet it's the finance equivalent of Philosophers (i.e. fashionable nonsense) science-washing their work - even if unknowingly.