SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 6 matches

by alwaysLearning
March 20th, 2012, 2:27 pm
Forum: Technical Forum
Topic: CDX valuation
Replies: 9
Views: 16121

CDX valuation

<t>I just want to buy a book that has an explanation of how to value a CDX from start to finish.So I want to know if anyone can recommend a book?I want to find the information and study it for myself and if I get stuck I'll ask.I was thinking of Paul Wilmott on quantitative finance but was recommend...
by alwaysLearning
March 19th, 2012, 3:34 pm
Forum: The Quantitative Finance FAQs Project
Topic: Subjects, please...
Replies: 430
Views: 336192

Subjects, please...

<t>I asked this on a forum and I think it was the wrong place to ask, but does "Paul Wilmott on Quantitative Finance" cover a methodology for valuing CDX or would Options, Futures and Other Derivatives by Hull be better, or does someone have another suggestion altogether?I'm looking for a step by st...
by alwaysLearning
March 19th, 2012, 10:51 am
Forum: Technical Forum
Topic: Roll / Carry considerations in xccy or irs basis
Replies: 1
Views: 14520

Roll / Carry considerations in xccy or irs basis

<t>Qestion i) I'm not an expert by any means, but 1 basis point is one one hundreth of a percent so 100bp is 1%.In order to realise the difference I believe you need to go long on the 4% and short on the 5% (but I'm not certain of the way your cashflows are going so this may be the wrong way round)Q...
by alwaysLearning
March 19th, 2012, 10:37 am
Forum: Technical Forum
Topic: CDX valuation
Replies: 9
Views: 16121

CDX valuation

<t>Just some extra info, I'm not a quant, but do have a strong maths background. It's not my job to do this stuff, but when I speak to people here who's job it is to know this stuff they don't (they don't even know basic stuff) so I figured I'd better learn it myself.Do any of you have Paul Wilmott ...
by alwaysLearning
March 19th, 2012, 10:24 am
Forum: Technical Forum
Topic: CDX valuation
Replies: 9
Views: 16121

CDX valuation

I'm just looking for some text on the various methodologies used to value them. I want to be able to verify (or not) values that I'm seeing, so could be any tranche, I just need some iudeas on how to arrive at a valuation and ideally with pros and cons
by alwaysLearning
March 19th, 2012, 7:23 am
Forum: Technical Forum
Topic: CDX valuation
Replies: 9
Views: 16121

CDX valuation

<t>All,I've searched the forums and nothing on this came up. I'm looking for a book that will explain CDX valuation methodologies (I understand there is more than one way) and the advantages and disadvantages of the methodologies. Of even a book that will just cover one way of valuing them, would be...
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