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by GWB
May 14th, 2007, 6:20 pm
Forum: General Forum
Topic: Equity derivatives books
Replies: 4
Views: 73534

Equity derivatives books

QuoteOriginally posted by: GammaSkimmer1.Hull2.Dynamic HedgingPlease be aware I am not looking for any generic option pricing/trading books. I would like to see something on Equity Derivative.anyway thanks for your reply ...
by GWB
May 11th, 2007, 5:50 pm
Forum: General Forum
Topic: Equity derivatives books
Replies: 4
Views: 73534

Equity derivatives books

<t>Could anyone suggest a couple of books on equity derivatives? Ideally, they should to readable to a person who is an entry-level quant (in FI) and who wants to be working in trading/structuring rather than in duilding models... Thanks in advance.The goal is to get a relative broad picture of the ...
by GWB
May 11th, 2007, 5:31 pm
Forum: Technical Forum
Topic: ISDA language - equity derivatives dividends
Replies: 2
Views: 72577

ISDA language - equity derivatives dividends

<t>Thanks.Let me clarify. An option under ISDA standard terms will ignore any dividend paid during the ternor. e.g. if a investor buys an Ford call option with strike = 6 and expiration date = 01/08. and if F pays any dividend between the purchase day and the expiration day, neither the dividend wil...
by GWB
May 10th, 2007, 5:02 pm
Forum: Technical Forum
Topic: ISDA language - equity derivatives dividends
Replies: 2
Views: 72577

ISDA language - equity derivatives dividends

<t>Could anyone explain what the ISDA standard methods are regarding the dividends paid during the ternor of a stock put option? regular dividend - should the paid dividend be simply pass to the option buyer, or , should the strike/notional be adjustedother dividends, e.g. exceed dividend, one time ...
by GWB
May 1st, 2007, 1:11 pm
Forum: General Forum
Topic: Corn at $5/bushel
Replies: 9
Views: 73781

Corn at $5/bushel

<t>QuoteOriginally posted by: DavidJNHis knucke-dragging, neocon political/environmental views nothwithstanding, I think a great place to look for insight into commodities (esp. corn) is the daily Dennis Gartman Letter.Thanks. The Gartman Letter is for subscribed clients, which I am not. Any other r...
by GWB
May 1st, 2007, 12:27 pm
Forum: General Forum
Topic: Corn at $5/bushel
Replies: 9
Views: 73781

Corn at $5/bushel

Thanks for the insights.What is the story of soybean price? is that because more lands are being used to plan corn? BTW, could any GS folks kindly upload a Jeffrey Currie research report on these? Thanks.
by GWB
April 30th, 2007, 2:26 pm
Forum: General Forum
Topic: Corn at $5/bushel
Replies: 9
Views: 73781

Corn at $5/bushel

Yes. that is the reason cited by GS. I am more interested in their price targets...
by GWB
April 30th, 2007, 1:57 pm
Forum: General Forum
Topic: Corn at $5/bushel
Replies: 9
Views: 73781

Corn at $5/bushel

While we are digesting the $100/bbl oil, GS said that corn will be at $5 and Soybean at $10.Any comments?
by GWB
March 23rd, 2007, 1:19 pm
Forum: Technical Forum
Topic: Convertible bonds
Replies: 0
Views: 76373

Convertible bonds

Does anyone have the DB paper on CB Convertible bonds - "Convertible Securities, An Investor Guide", 2001Thanks.
by GWB
February 14th, 2007, 7:35 pm
Forum: General Forum
Topic: Help needed - fx fwd question
Replies: 9
Views: 81272

Help needed - fx fwd question

Please try Reuters. Some big houses have dedicated pages for their NDF and NDSWAP quotes. However, it is not free/cheap.
by GWB
February 14th, 2007, 4:43 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is CPPI?
Replies: 13
Views: 156729

What is CPPI?

<t>Usually structured as a combination of three parts: risky asset unit, zero bond unit, and the leverage unit.When the risky unit is invested in illiquid assets, such as hedge funds, it becomes tricky to estimate the Gap risks.CPPI is a negative gamma product. Wonder why investors want it at all. <...
by GWB
February 12th, 2007, 8:22 pm
Forum: General Forum
Topic: Help needed - fx fwd question
Replies: 9
Views: 81272

Help needed - fx fwd question

Talked to a trader and was told that the bid/offer spread of the NDF Dec07 contract is usually less than 1%.Anyone knows what the bid/offer spread of a CME Dec07 contract look like?Thanks.
by GWB
February 12th, 2007, 1:44 pm
Forum: General Forum
Topic: Help needed - fx fwd question
Replies: 9
Views: 81272

Help needed - fx fwd question

<t>Yes. My real queestion is whether there is any arbritrage opportunity out there.My understand is that the CNY/ USD market in the OTC, i.e. the NDF prices reflect where the markets. What confused me was the CME future price. I am thinking that I might have missed something (such as special feature...
by GWB
February 7th, 2007, 10:10 pm
Forum: General Forum
Topic: Help needed - fx fwd question
Replies: 9
Views: 81272

Help needed - fx fwd question

<t>the question is about the CNY/USD forward fx rate on .as of 02/07, we can get the following prices from Bloomberg for the CNY/USD fwd fx rate on 17Dec07 price 1: DOZ7 <currency> <go> 02/07 settle price is 0.13292 translating into 7.523 RMB/USD (this is the price implied by CME futures)price 2: ND...
by GWB
September 20th, 2006, 4:51 pm
Forum: General Forum
Topic: Long-dated vol
Replies: 10
Views: 94121

Long-dated vol

<t>Traden4Alpha, thanks for your sharing.yes, I agree with you that understanding nature of the underlying is critical. The products that are covering are broadly ranged, i.e. from energy to IR/CR to equity. That makes the job a little bit harder.Taking the equity class as an example, among other th...
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