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by DavidJN
Yesterday, 4:06 pm
Forum: Trading Forum
Topic: Early Exercise Risk Management for American Option
Replies: 3
Views: 149

Re: Early Exercise Risk Management for American Option

Unless there is no liquidity, in which case much of theory becomes less useful, the suggestion that a market maker can only delta hedge is unrealistic. I say that as a former option trader in a number of underlyings (fixed income, equity, FX). Simulation is a good framework to investigate your own a...
by DavidJN
September 4th, 2019, 1:52 pm
Forum: Student Forum
Topic: Interview Question
Replies: 2
Views: 904

Re: Interview Question

I’ve seen this question before and thought it insufficiently phrased. Apart from not knowing the investment purpose and the investment horizon (a pension plan might logically operate differently than a bank trading desk), what is the regulatory capital treatment of the asker? The question is likely ...
by DavidJN
September 2nd, 2019, 12:49 pm
Forum: General Forum
Topic: Does Macro Variables help in predicting Market Retrun?
Replies: 5
Views: 740

Re: Does Macro Variables help in predicting Market Retrun?

The financial sector is typically simplistically represented in DSGE (distributed stochastic general equilibrium) macroeconomic models, sometimes as simple as plug variables that assumes perfect competition and deny the possibility of a financially induced recession. Macroeconomics as   a discipline...
by DavidJN
August 27th, 2019, 10:22 pm
Forum: Off Topic
Topic: Is Ayn Rand God?
Replies: 119
Views: 40444

Re: Is Ayn Rand God?

Wasn't Alan Greenspan one of her many lovers? Yuck!
by DavidJN
August 27th, 2019, 10:19 pm
Forum: Student Forum
Topic: PnL for dividends and REPO
Replies: 2
Views: 15974

Re: PnL for dividends and REPO

What do you mean by a "PnL formula for dividends"?  A rate of return over an arbitrary holding period consists of two parts - any cash income received (e.g. dividend), plus the capital gain or loss.
by DavidJN
August 23rd, 2019, 4:24 pm
Forum: Economics Forum
Topic: Is economics a science?
Replies: 14
Views: 903

Re: Is economics a science?

 ‘A science’ containing contradictions is not a science, but an intellectual mess.

Has mathematics resolved the incompleteness theorems (e.g. Godel)? That is a question rather than a statement.
by DavidJN
August 22nd, 2019, 2:43 am
Forum: General Forum
Topic: Quant based Momentum Trading Framework
Replies: 6
Views: 1044

Re: Quant based Momentum Trading Framework

I posted to the wrong thread. Sorry for your ouch. 
by DavidJN
August 1st, 2019, 2:25 pm
Forum: General Forum
Topic: Circular barrier
Replies: 14
Views: 824

Re: Circular barrier

Try Kunitomo and Ikeda (1992), which is likely referenced in more recent papers.
by DavidJN
July 19th, 2019, 1:20 pm
Forum: Numerical Methods Forum
Topic: High Accuracy Greeks computation under trinomial model
Replies: 12
Views: 815

Re: High Accuracy Greeks computation under trinomial model

You can improve the accuracy of delta computations by implementing the "overshoot" technique, which removes the dt issue you described.  This technique is described in Hull's classic textbook.
by DavidJN
July 10th, 2019, 4:41 pm
Forum: Technical Forum
Topic: A proposal
Replies: 6
Views: 795

Re: A proposal

And at the risk of moving into something of a rant, despite a very unimpressive track record of macroeconomics in forecasting pretty much anything, regulators are increasingly requiring financial firms to include forecasts of macroeconomic variables in their assessment of capital adequacy (e.g. CCAR...
by DavidJN
July 10th, 2019, 4:30 pm
Forum: Technical Forum
Topic: A proposal
Replies: 6
Views: 795

Re: A proposal

What you seek seems to be a model that connects the "real" economy including fiscal and taxation policies with the financial economy.  As far as I am aware, no one has achieved anywhere near such an integrated view. DSGE (distributed stochastic general equilibrium) macro models as used by central ba...
by DavidJN
July 10th, 2019, 4:11 pm
Forum: General Forum
Topic: Quant Commodities Interview questions
Replies: 2
Views: 614

Re: Quant Commodities Interview questions

You might be underestimating the difficulty of working in that asset class. At the risk of being less than scientific, I recall more commodity desk blowups than in other asset classes. Commodities are notoriously difficult to model and hedge because of evident price gapping behaviour, the markets ar...
by DavidJN
May 5th, 2019, 5:28 pm
Forum: Off Topic
Topic: Global Warming - What We Can Do (Mitigation)
Replies: 579
Views: 196491

Re: Global Warming - What We Can Do (Mitigation)

BTW, the authors of that article are just journalists, if I'm not mistaken...."

You are mistaken. This particular research was done by qualified scientists and peer reviewed. And yes, having fewer or no children is something also found high on their list of things people can do on their own.
by DavidJN
May 5th, 2019, 1:14 pm
Forum: Off Topic
Topic: Global Warming - What We Can Do (Mitigation)
Replies: 579
Views: 196491

Re: Global Warming - What We Can Do (Mitigation)

A couple of years ago I corresponded with one of the authors of a refereed article that rated the efficacy of actions for reducing one's personal environmental footprint. The article included the obvious suggestions (ditching the car, going vegetarian, etc.) but completely missed an obvious one - na...
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