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by Taher
December 26th, 2004, 5:44 pm
Forum: Programming and Software Forum
Topic: GARCH(1,1)
Replies: 7
Views: 167078

GARCH(1,1)

<t>Hello!I would suggest using R via COM in VB.NET. You can download R and the COM stuff for free at r-project.org. And then add ref in your solution to statconnector. Then in R add libraries tseries and fseries, so that you can use either garch in tseries or garchFit in fseries. Not that I am a big...
by Taher
September 7th, 2004, 11:05 pm
Forum: Programming and Software Forum
Topic: Python
Replies: 3
Views: 176466

Python

<r>Greetings!Haven't used it myself, but the Risk Mgr at the office messes around with it.You can compile it for CLR to integrate in .NET projects.<URL url="http://starship.python.net/crew/mhammond/dotnet/http://www.zope.org/Members/Brian/PythonNet/index_htmlSo"><LINK_TEXT text="http://starship.pyth...
by Taher
April 13th, 2004, 7:23 am
Forum: Off Topic
Topic: Bend it like Beckham
Replies: 27
Views: 191650

Bend it like Beckham

Hello Everybody!Did anyone see the Vodafone commercial where Beckham is sitting and sending SMS's like in an airport or something?!?!Now we all know what he was writing!!!He seems to be too shy to use his tongue for speaking it, but then again cat got your tongue, didn't it Becks baby!!!
by Taher
March 20th, 2004, 1:25 am
Forum: Off Topic
Topic: Sexism in the city
Replies: 59
Views: 196598

Sexism in the city

<t>Hello Everybody!This conversation is just a historical artefact, because at the PhD level in mathematical finance nowadays, half of the top students are women. Let's talk about this in ten years! Because right now, I have to admit I am a bit ashamed of mankind, and very gung-ho about womankind! B...
by Taher
March 19th, 2004, 11:53 am
Forum: General Forum
Topic: OR related problems in QF suitable for thesis?
Replies: 23
Views: 191376

OR related problems in QF suitable for thesis?

Hello Patrik!Maybe something based on optimizing by including skewness and kurtosis, using polynomial goal programming. It has been done so many times before, I know, but maybe depending on the utility function used you can do something new there.Best regards,Taher.
by Taher
March 16th, 2004, 10:33 pm
Forum: Programming and Software Forum
Topic: Software tip: Rmetrics
Replies: 2
Views: 189798

Software tip: Rmetrics

Wow! That's awesome!Thanks a lot! I heard they were working on something to correspond to Finmetrics, and I have seen a lot of questions in different R forums for it!Great stuff!Best regards,Taher.
by Taher
March 6th, 2004, 6:54 pm
Forum: General Forum
Topic: FX Cash Historical Data
Replies: 2
Views: 189744

FX Cash Historical Data

<r>Hello!How about the Fed's noon prices: <URL url="http://www.ny.frb.org/markets/fxrates/noon.cfmIt">http://www.ny.frb.org/markets/fxrates/noon.cfmIt</URL> is also available in <URL url="http://www.economagic.comOr">www.economagic.comOr</URL> maybe OANDA's stuff <URL url="http://www.oanda.comFor">w...
by Taher
March 5th, 2004, 9:20 pm
Forum: Book And Research Paper Forum
Topic: The New Finance by Robert Haguen
Replies: 3
Views: 189754

The New Finance by Robert Haguen

<r>Hello!Actually I think it was really good! Maybe not to buy it, but definitely just for a nice hilarious read some time! I like Haugen's style, very macho, very tongue in cheek! The kind of strange sense of humour that will appeal to most people I think!It doesn't say anything new really, though,...
by Taher
December 24th, 2003, 6:15 pm
Forum: Programming and Software Forum
Topic: Can EViews conduct "panel data analysis"?
Replies: 2
Views: 189442

Can EViews conduct "panel data analysis"?

Hello!Look under help for pooled data series, especially the section on how to import the data, that is key.
by Taher
December 7th, 2003, 10:51 am
Forum: Book And Research Paper Forum
Topic: Slutions to Bjork's book
Replies: 32
Views: 220596

Slutions to Bjork's book

<r>Greetings!This year, Björk has published solutions and lecture notes on his website.Please check out the following link (at the time of writing, not all chapters are there, give it another two weeks!)<URL url="http://www.hhs.se/Finance/PhDProgram/PhDCoursesInFinance/FinIILiterature.htmBest"><LINK...
by Taher
October 8th, 2003, 8:09 am
Forum: General Forum
Topic: Noble Prize in Economic Sciences
Replies: 63
Views: 194939

Noble Prize in Economic Sciences

It would be nice if Stephen Ross got it, he has been waiting long enough that's for sure!
by Taher
August 15th, 2003, 8:00 am
Forum: Technical Forum
Topic: MBS and rate renegotiation
Replies: 11
Views: 190615

MBS and rate renegotiation

<t>Hello!I am not sure about this, but I would say that rate renegotiations are used in foreclosure to avoid foreclosure costs. Therefore, the loan insurance, or in the case of MBS, the agencies should bear that cost, and in the books the original loan is treated as still operational, the difference...
by Taher
August 14th, 2003, 5:13 pm
Forum: Technical Forum
Topic: MBS and mortgage points
Replies: 4
Views: 189901

MBS and mortgage points

Hello!Generally for agency MBS the underlying mortgages are such that there is no prepayment penalty.If there is, then it is passed on to investors.Typically, penalties will exist for CMBS's, and also in Germany for Pfandbriefe, and it is passed on to investors.
by Taher
August 8th, 2003, 10:58 am
Forum: Technical Forum
Topic: Mortgage valuation Stanton 2003
Replies: 6
Views: 190236

Mortgage valuation Stanton 2003

<r>Hello!Yes, I think that is a valid criticism. The default option will be exercised when house value decreases, which in general will occur when the mortgage rate rises. So in that case, as an investor in MBS, you would be thankful to receive the money back in the form of prepayment, since you hav...
by Taher
August 4th, 2003, 5:34 pm
Forum: Technical Forum
Topic: MBS pricing
Replies: 27
Views: 192241

MBS pricing

Hello!There is no default risk in agency MBS, that's why you pay the guaranty fee (which more than compensates them for their intrinsic assumption of default risk).Default simply equals prepayment.