SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by mrbadguy
January 11th, 2011, 11:16 pm
Forum: Technical Forum
Topic: Correlation Swap
Replies: 21
Views: 140187

Correlation Swap

Thank you all guys for your precious materials about correlation swaps, very useful to meregardsMr.
by mrbadguy
December 7th, 2007, 9:30 am
Forum: Careers Forum
Topic: Is a recession likely in the works?
Replies: 4
Views: 61935

Is a recession likely in the works?

<t>Nah, fixed income departments of banks deeply involved in the subprime crisis have now an hard time in hiring newbies and seniors.Bear announced on 28th of nov it would cut 650 jobs. After the HFs collapse that hit BS during the summer caused the bank to announce a 1,490 jobs cut since august, ev...
by mrbadguy
January 7th, 2007, 8:05 pm
Forum: Book And Research Paper Forum
Topic: Bund Futures paper
Replies: 1
Views: 83325

Bund Futures paper

<t>Hi all,its a long time i have been far away from this forum and i'm happy to be back.I'm in search of a good and complete paper about Bund Futures trend meaning and their preditictive use on fixed income and interest rates markets. Any other stuff about Euribor Futures and T-bond futures with sim...
by mrbadguy
May 4th, 2005, 1:33 pm
Forum: General Forum
Topic: CAPM and sector dependence
Replies: 14
Views: 151913

CAPM and sector dependence

For an influence of stock sector returns on CAPM in a bayesian environment try this"CAPM improvements based on Bayesian Nets" by Singhal and Chakravorty 2005. Bye
by mrbadguy
May 4th, 2005, 11:54 am
Forum: General Forum
Topic: bank valuation
Replies: 4
Views: 151425

bank valuation

Check these links:Bank Valuation xlsBank Valuation pdfBank Valuation pptif they aren't enough see Damodaran Valuation Home Page at:Damodaranregards,
by mrbadguy
March 3rd, 2005, 12:53 pm
Forum: General Forum
Topic: HEDGE FUNDS
Replies: 4
Views: 157956

HEDGE FUNDS

Start having a quick look at this article published on Bloomberg Markets magazine february 2005:"Hedge Funds grow up". Very interesting story and a couple of useful data too.Rgds,
by mrbadguy
February 28th, 2005, 1:10 pm
Forum: General Forum
Topic: WARF
Replies: 6
Views: 175788

WARF

<t>Warf or weighted average rating factor is a measure of credit quality giving exponentially bigger weigths to companies with lower ratings. It’s a number corresponding to an average rating for f.income portfolios. Usually it’s used to assess credit quality of CDO underlying bond portfolios. Have a...
by mrbadguy
February 21st, 2005, 1:40 pm
Forum: General Forum
Topic: Commodities bid ask
Replies: 10
Views: 159748

Commodities bid ask

This paper gives you a brief sum of statistical method for b-a spread analysis in commodity futures market,my best regards,Bid Ask spread
by mrbadguy
October 19th, 2004, 6:41 am
Forum: Student Forum
Topic: Questions on Economic indicators used for trading
Replies: 4
Views: 171662

Questions on Economic indicators used for trading

<t>I had this article published on Bis quarterly of 2001 review on effect of macroeconomic announcements. Take care: 3 years ago bond markets were less liquid than today so every indicator had smaller impact on curves and bond trading rather than equity market. Nowadays we find opposite conditions. ...
by mrbadguy
October 5th, 2004, 8:07 am
Forum: Technical Forum
Topic: Implied and Realized Volatilities
Replies: 6
Views: 173462

Implied and Realized Volatilities

I'm afraid a stock going constantly up 4% doesn't imply always 0% volatility and agree it depends on volatility type you're refering to and formula. Have a look to this paper by E.Derman on page 7.Investing in volatility My best regards,
by mrbadguy
June 4th, 2004, 12:35 pm
Forum: Student Forum
Topic: need help about structured products
Replies: 3
Views: 189252

need help about structured products

Have a look to this thread on Wilmott General Forum before buying a book:Structured Products Threadrgds,
by mrbadguy
June 3rd, 2004, 10:23 am
Forum: Student Forum
Topic: Interest rate option (swaptions & caps/floors)
Replies: 7
Views: 191024

Interest rate option (swaptions & caps/floors)

<t>The basis point volatility is calculated as current yield rate * black volatility.Take this numerical example If current 1-year euribor is 2.37% and you suppose a B-vol of 11% your BPVOL is 0.26Once you obtain your Bpvol first thing is determining a std deviation range in basis points. And respec...
by mrbadguy
June 3rd, 2004, 9:07 am
Forum: The Quantitative Finance FAQs Project
Topic: Subjects, please...
Replies: 430
Views: 338825

Subjects, please...

What's the financial meaning of bond duration?
by mrbadguy
June 3rd, 2004, 9:05 am
Forum: Student Forum
Topic: Grain Risk Management
Replies: 2
Views: 189143

Grain Risk Management

Have a look to this report:Crop Risk Management report rgds,
by mrbadguy
June 1st, 2004, 9:43 am
Forum: Student Forum
Topic: Volatility Risk Premium
Replies: 4
Views: 189541

Volatility Risk Premium

<t>In my guess, negative volatility risk premium implies positivity of the covariance between the pricing kernel and the averaged integrated volatility i.e. means that expected future volatility is less than implied volatility.It could happen after a long negative shock to demand on instant t, inves...
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