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by mensa0
March 18th, 2008, 2:53 am
Forum: General Forum
Topic: Bear Stearns
Replies: 134
Views: 76868

Bear Stearns

<t>Gee, it seems to me it's all about liquidity. In '87 the S&P500 led the way down becuase there were no buyers at the CME for the futures. The "fad" at the time was portfolio insurance and if you can't sell futures to hedge the equities, you have to sell the equities. Waterfall effect.Flash fo...
by mensa0
July 19th, 2007, 5:35 am
Forum: Technical Forum
Topic: Bad models, models admitting arbitrage, etc.
Replies: 26
Views: 73205

Bad models, models admitting arbitrage, etc.

<t>QuoteOriginally posted by: AlanSeasonals are interesting. I use to believe in the Monday bad day seasonal, but not anymoreas it seems to have disappeared. How about you? Same for the sept bad month seasonal.In general, if there's no good reason for a seasonal and it's persistent and large enough ...
by mensa0
July 19th, 2007, 4:42 am
Forum: Brainteaser Forum
Topic: Combinatorial problem
Replies: 21
Views: 159197

Combinatorial problem

<t>For N callers, two callers will know all of the gossip after N-1 calls. Have one of these callers phone the remaining N-2 callers and tell them everything. Total calls for N>4 is N+(N-1)-2.Example: for N=6, let the callers be numbered 1,...,6 and the gossip they know be A,...F, respectively.1 cal...
by mensa0
July 5th, 2007, 5:51 am
Forum: Brainteaser Forum
Topic: Phone Number Enumeration Teaser
Replies: 3
Views: 70577

Phone Number Enumeration Teaser

<t>The seven digits in the modern U.S. phone numbering system (i.e. without area code) have some restrictions on the values they may assume:1. The first digit cannot be a zero or a one (these are reserved for “Operator” and long distance access, respectively.) 2. The first three digits cannot be “91...
by mensa0
April 14th, 2007, 8:30 am
Forum: General Forum
Topic: Duration for Perpetual
Replies: 6
Views: 80676

Duration for Perpetual

For a perp at par, duration is -1/y where y=yield=coupon rate.P=C/y = Cy^-1 where C=coupon payment, P=pricedP/dy = -Cy^-2dP/P = -[(Cy^-2)dy]P^-1 = -(y^-1)dy = -1/yMike
by mensa0
March 6th, 2007, 4:11 pm
Forum: Brainteaser Forum
Topic: Sum of square roots
Replies: 6
Views: 88600

Sum of square roots

<t>How about this: 1+3 = 44+8 = 129+15 = 2416+24 = 4025+35 = 6036+48 = 84The total is 224, then add 7+7.5, i.e. sqrt(49) + approximating sqrt(50)Total is 238.5. This is effectively a linear estimate of square roots, e.g. for sqrt(4) through sqrt(8) the estimates are: 2, 2.5, 2.5, 2.5, 2.5 and the su...
by mensa0
January 14th, 2007, 1:57 pm
Forum: Programming and Software Forum
Topic: *Simple* animation using Excel
Replies: 8
Views: 97340

*Simple* animation using Excel

<t>Write a VBA routine that first hides all the data for the chart, then in a loop, unhides the data one row (period) at a time. Use an Application.Wait Now + TimeValue("00:00:02") statement to adjust the speed of the plotting (here 2 seconds between each period.) The result is pretty smooth.Mike </t>
by mensa0
January 14th, 2007, 8:38 am
Forum: Book And Research Paper Forum
Topic: exact solution to the american put pricing problem - zhu 2006
Replies: 14
Views: 88639

exact solution to the american put pricing problem - zhu 2006

Quotedoes anyone know where to find the explicit solution to the american CALL option?Roll ('77), Gesky('79), Whaley('81)By the way, if this American put pricing is "exact" and "closed form", how come it truncates the Taylor expansion at 30 terms? Mike
by mensa0
January 14th, 2007, 8:13 am
Forum: Programming and Software Forum
Topic: return distribution matching
Replies: 4
Views: 82615

return distribution matching

<t>The Kolmogorov-Smirnov test (KS-test) compares two sample distributions without regard to their underlying, possibly unknown, population distributions. The Kullback–Leibler test compares a sample distribution with a known population distribution and is not useful for all distributions. The same i...
by mensa0
January 14th, 2007, 6:33 am
Forum: Numerical Methods Forum
Topic: How do I get started
Replies: 8
Views: 84583

How do I get started

<t>Colossus2420 - My suggestion would be to learn the relationships between your indexes and the derivatives that are based on them. Understanding how long/short positions in the indexes are hedged with the derivatives will get you a lot closer to understanding the pricing of both the underlying and...
by mensa0
January 14th, 2007, 5:58 am
Forum: Student Forum
Topic: Normal Distribution
Replies: 5
Views: 82967

Normal Distribution

<t>hianitya - Learning opportunity! In Excel, generate a random sample of, say, 50 observations. Compute the mean, stdev and variance of these data. Now multiply each observation by a constant. Compute the mean, stdev and variance of these data. Compare!Now after you've seen this for yourself, consu...
by mensa0
January 14th, 2007, 5:47 am
Forum: General Forum
Topic: Behaviourial Finance Models
Replies: 74
Views: 87648

Behaviourial Finance Models

<t>I think the first main-stream article on overreaction was LeBondt and Thaler (JF, 1987) which documented non-trivial momentum (perseverance) in price series. In my opinion though, the modeling of the behavior of market participants, while interesting, is not going to make you money.Here's how I l...
by mensa0
January 14th, 2007, 4:59 am
Forum: Brainteaser Forum
Topic: bugs
Replies: 20
Views: 90080

bugs

MCarreira - My (big time) mistake! I was thinking about the time it would take for the bugs to converge, not the distance one would travel.I vow to: 1) think longer before I post; and 2) not post in the wee hours of the morning.Mike
by mensa0
January 14th, 2007, 4:55 am
Forum: Brainteaser Forum
Topic: Series gamble
Replies: 11
Views: 87194

Series gamble

<t>QuoteOriginally posted by: Athletico>> My point is that there is no single (equal) bet amount at each time period, i.e. the bet we place at time "t" depends upon the prior >> outcomes (our won-lost record.)Agreed but was that (equal bet amounts at each stage) a requirement of the original problem...
by mensa0
January 13th, 2007, 5:37 am
Forum: Brainteaser Forum
Topic: Series gamble
Replies: 11
Views: 87194

Series gamble

<t>QuoteOriginally posted by: AthleticoQuoteOriginally posted by: mensa0 I contend that at t=0 there is no single bet amount that solves the problem. Now, if I can change the bet amount based on the results of the prior game(s), there may be a correct amount to bet at t = 1,2,3,.. but no one in this...
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