He laughed. It was a loud, barking sound that lacked any humor. "Itô's lemma?" Julian mocked, turning to his investors. "Did you hear that the waitress has been reading Wikipedia?"
He walked toward her, towering over her small frame. "Tell me, darling, which community college did you drop out of? Or did you just hear that word in a movie?" "It's not a movie, sir," Maya said, her fear replaced by a cold, hard resolve. "It's basic stochastic calculus.
If you run that model as it is, you will trigger a margin call withwithin 12 milliseconds of the market opening." Julian's face turned red. "You are a waitress. Your job is to ensure my glass is full and my table is clean. It is not to give financial advice to the most powerful men in New York.
Get out. You're fired." "Wait," Henderson said. The shark-eyed investor raised a hand. "Let her finish."
"Henderson, are you joking?" Julian snapped. "She's a nobody." "She knows what Itô's lemma is," Henderson said, leaning back in his chair. "Which is more than you seem to know right now, Julian.
You've been staring at that whiteboard for 4 minutes without writing a single number." Henderson looked at Maya. "You say it crashes within 12 milliseconds. Why?" Maya stepped forward.
She placed her tray on a side table. "May I?" she asked, gesturing to the whiteboard. "By all means." Henderson smiled.
"This is ridiculous," Julian spat. "I'm going to have the manager throw you out." "Let her write, Julian," the investor from Zurich said softly. "Unless you have the solution ready." Julian crossed his arms, seething.
"Fine, go ahead. Entertain us. But when you're done scribbling nonsense, I'm making sure you never work in this city again." Maya walked to the board. She picked up the black marker.
It felt familiar in her hand, heavy like a weapon. She didn't hesitate. She didn't pause to think. The math was already alive in her head. She drew a line through Julian's clumsy equation.
dS_t = μS_t dt + σS_t dW_t. "This is your base asset price movement," she said, her voice gaining strength. She wrote quickly, the squeak of the marker the only sound in the room. "But you're assuming its volatility is constant. It's not. In a high-frequency environment, volatility clusters." She slashed a new equation below it, introducing a new variable. "This is the Heston model for stochastic volatility," she explained, not looking back at them. "You have to correlate the two Brownian motions W_t and B_t. Let's assume a correlation of rho."
She began to solve the differential equation that Julian had been staring at. She moved with a speed that was almost frightening. Lines of algebra filled the white space. She integrated by parts. She applied the boundary conditions.
Julian's smirk began to fade. He squinted at the board. He didn't understand the math, but he understood the structure. It looked professional. It looked right.
"You missed the correlation coefficient," Maya said, circling a symbol at the bottom of the board. Without this, your risk assessment is blind. You're not hedging against loss, you're amplifying it. She capped the marker and turned around. "That's why line seven doesn't converge.