SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by spacemonkey
February 1st, 2014, 12:27 am
Forum: Technical Forum
Topic: Price option where underlying has cap and a floor
Replies: 25
Views: 8312

Price option where underlying has cap and a floor

<t>QuoteOriginally posted by: jonokrugerHi AlanThanks for the interest.Yes they are. It's a case where there is a floor at which you can buy the underlying (electricity or gas) in the spot market. So no one would sell a forward at below the spot floor because they would be selling below what they ca...
by spacemonkey
July 9th, 2013, 8:42 pm
Forum: General Forum
Topic: "If one beer costs a dollar, what does 100 beer cost?", Paul Wilmott on Dutch TV
Replies: 143
Views: 48707

"If one beer costs a dollar, what does 100 beer cost?", Paul Wilmott on Dutch TV

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: CuchulainnLast night was a program pension funds. Paul, the journnalist has a question regarding section 12.7 (see @23.00 minutes on clip). The manager did not know the answer!Zwarte zwanen (black swans)The graph at 21.00 shows how r...
by spacemonkey
June 21st, 2013, 11:02 pm
Forum: General Forum
Topic: nicholas nassim taleb jealous
Replies: 119
Views: 15914

nicholas nassim taleb jealous

<t>QuoteOriginally posted by: PaulI will restrict myself to commenting on the psychological side of this, not the economics or finance. There is very little chance that he is envious of those you mention! Almost certainly the envy goes the other way. He is extremely successful and rich, and has beco...
by spacemonkey
January 15th, 2013, 7:57 am
Forum: Student Forum
Topic: are constants tradable
Replies: 15
Views: 9928

are constants tradable

<t>QuoteOriginally posted by: AlanGood, bearish, that was helpful to me. Of course, I raised the issue of "real-world" cash as a kind of a follow-up question, so let me see if I can paraphrase spacemonkey's resolution of the original question:"are constants tradeable?"In a world with dividends, a tr...
by spacemonkey
January 14th, 2013, 12:10 am
Forum: Student Forum
Topic: are constants tradable
Replies: 15
Views: 9928

are constants tradable

<t>QuoteOriginally posted by: AlanWell, I'm prepared to admit maybe that definition I offered was silly, and maybe I am confused.So, let me ask: is there any issue of arbitrage opps (or any issue at all) in a theory with both cash and non-zero money market rates?For example, could Black and Scholes,...
by spacemonkey
January 13th, 2013, 7:31 pm
Forum: Student Forum
Topic: are constants tradable
Replies: 15
Views: 9928

are constants tradable

<t>Think what you are saying man!Call me crazy, but I prefer to use the definition 'thing that can be traded'. Doesn't have anything to do with martingales or whatnot. If your theory suggests cash isn't tradeable, you'd better rethink the theory. As it happens, £10 is exactly as tradeable as a divid...
by spacemonkey
January 13th, 2013, 3:23 pm
Forum: Student Forum
Topic: are constants tradable
Replies: 15
Views: 9928

are constants tradable

Is £10 tradeable? Are you kidding? EDIT: And someone thinks the answer is no?!?
by spacemonkey
August 18th, 2012, 10:18 am
Forum: Off Topic
Topic: Help!
Replies: 13
Views: 11555

Help!

QuoteOriginally posted by: spacemonkeyMaybe you should reply to your own question? That'd be hilarious.No, I've done that before it's tired.Oh god, there's blood everywhere.
by spacemonkey
August 18th, 2012, 10:17 am
Forum: Off Topic
Topic: Help!
Replies: 13
Views: 11555

Help!

Maybe you should reply to your own question? That'd be hilarious.
by spacemonkey
August 18th, 2012, 10:16 am
Forum: Off Topic
Topic: Help!
Replies: 13
Views: 11555

Help!

I think I just killed a fly. Its body is lying in my flat.Oh god, what do I do?
by spacemonkey
July 27th, 2012, 4:20 pm
Forum: General Forum
Topic: Andreasen on young quants
Replies: 93
Views: 19130

Andreasen on young quants

The zeroth law of mathematical finance (Taleb's law):The empty vessel makes the most noise.
by spacemonkey
July 25th, 2012, 8:52 pm
Forum: Technical Forum
Topic: How should you calculate capital requirements?
Replies: 14
Views: 13124

How should you calculate capital requirements?

<t>QuoteOriginally posted by: trackstarClearly you are quite charming, and given your quick repartee and high level of self confidence, one might surmise also quite handsome - a man of the world.However, you may find it prudent to ascertain the capital requirements *before* going out on a date, even...
by spacemonkey
July 25th, 2012, 8:42 pm
Forum: Technical Forum
Topic: How should you calculate capital requirements?
Replies: 14
Views: 13124

How should you calculate capital requirements?

<t>QuoteOriginally posted by: Traden4AlphaThis thread might already have what you seek Brilliant!QuoteAnd if that doesn't help then maybe this might help.Less so. Actually it illustrates the problem, it shows how difficult it is to filter out the Basel/regulatory stuff. I'm not interested in that.Ma...
by spacemonkey
July 24th, 2012, 8:45 pm
Forum: Technical Forum
Topic: How should you calculate capital requirements?
Replies: 14
Views: 13124

How should you calculate capital requirements?

<t>QuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyThat's a great question!Yeah, t...
by spacemonkey
July 24th, 2012, 8:45 pm
Forum: Technical Forum
Topic: How should you calculate capital requirements?
Replies: 14
Views: 13124

How should you calculate capital requirements?

<t>QuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyQuoteOriginally posted by: spacemonkeyThat's a great question!Yeah, thanks!Hey, would you be interested in ...
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