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by rowntree
December 29th, 2004, 1:45 pm
Forum: General Forum
Topic: Inflation swaps historical data
Replies: 3
Views: 167732

Inflation swaps historical data

Thanks for the suggestions.
by rowntree
December 15th, 2004, 4:56 pm
Forum: General Forum
Topic: gaussian distribution trasform
Replies: 9
Views: 166344

gaussian distribution trasform

<t>Misi,If you want to rescale the distribution, try calculating the empirical cumulative distribution function, passing it through the normal distribution function's inverse cdf, and then adjusting for mean and std. Ie, x' = sigma*inverse_normal_cdf(empirical_cdf(x)) + muyou do need to be careful w...
by rowntree
December 14th, 2004, 2:06 pm
Forum: Book And Research Paper Forum
Topic: The Statistical Mechanics of Financial Markets
Replies: 2
Views: 166151

The Statistical Mechanics of Financial Markets

Has anyone read Johannes Voit's book The Statistical Mechanics of Financial Markets? Is it any good?
by rowntree
December 13th, 2004, 10:02 pm
Forum: Off Topic
Topic: chain-rule differentiation?
Replies: 5
Views: 166053

chain-rule differentiation?

2sqrt(g) - 1
by rowntree
December 5th, 2004, 4:02 am
Forum: General Forum
Topic: Tsioveriotis & Fernandes Convertible bond model....help!
Replies: 25
Views: 202591

Tsioveriotis & Fernandes Convertible bond model....help!

Thanks a lot Val. We will start trying out some of those suggestions on Monday. Appreciate the help.
by rowntree
December 3rd, 2004, 5:06 pm
Forum: General Forum
Topic: Stat Arb at Risk Invest
Replies: 0
Views: 166979

Stat Arb at Risk Invest

Hi All,There was supposed to be a stat-arb review talk by Henry Ma of Sun Life Financial at the recent Risk Invest conference in Boston. Does anyone have a copy of the presentation? Or a brief synopsis/review?Thanks,David
by rowntree
December 1st, 2004, 5:24 pm
Forum: General Forum
Topic: Inflation swaps historical data
Replies: 3
Views: 167732

Inflation swaps historical data

Hi All,I am looking for midmarket historical data for inflation swaps going back at least a few years, in order to examine TIPS OASs (and other currencies as well) versus the libor curve. Does anyone have any ideas where I might be able to find this data?Thanks
by rowntree
December 1st, 2004, 3:25 pm
Forum: General Forum
Topic: Tsioveriotis & Fernandes Convertible bond model....help!
Replies: 25
Views: 202591

Tsioveriotis & Fernandes Convertible bond model....help!

<t>Hi Val,We recently set up a FD convertible pricer based on the Ayache, et al papers. Unfortunately, we have found that convergence is too slow to make it practical (so we set up a trinom tree instead, but it has less flexibility). Your comment about needing 1-2 additional iterates intrigued me. W...
by rowntree
November 25th, 2004, 8:54 pm
Forum: General Forum
Topic: Goldman Sachs Research Paper 1994, Pricing Convertible Bonds
Replies: 10
Views: 170176

Goldman Sachs Research Paper 1994, Pricing Convertible Bonds

Hi Antonio,Could you please send me the Goldman Convert pricing paper as well? My email is david@watermarkgroup.com.Thanks,David
by rowntree
November 17th, 2004, 2:01 pm
Forum: Technical Forum
Topic: Convertible Website
Replies: 5
Views: 169452

Convertible Website

Lehman has a reasonably nice convertibles section on their websites, though you need to be permissioned for it. I haven't really looked at the others yet.What are the best sites for downloading bulk convertible data for developing internal models?
GZIP: On