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by Paul
October 27th, 2001, 12:02 pm
Forum: Off Topic
Topic: Pedantry of the self educated
Replies: 38
Views: 191588

Pedantry of the self educated

David, you're supposed to read it not eat it!P
by Paul
October 27th, 2001, 9:56 am
Forum: Off Topic
Topic: Pedantry of the self educated
Replies: 38
Views: 191588

Pedantry of the self educated

Nassim is a big pussycat and a wonderful guy. I will not hear a bad word spoken about him! BTW he never criticised anyone for the incorrect use of the word 'exponentially'! "Let he who is without sin..." P
by Paul
October 27th, 2001, 6:08 am
Forum: Student Forum
Topic: Interpretation of amount of borrowing in a dynamic replication/binomial tree setting
Replies: 18
Views: 189797

Interpretation of amount of borrowing in a dynamic replication/binomial tree setting

<t>With one exception...when the action of the option holder affects the option price: when their is early exercise, or other 'control' by the holder e.g. passport option. If the option holder's action depends on the direction that the stock is going then that will affect how much money the writer m...
by Paul
October 26th, 2001, 11:48 pm
Forum: Student Forum
Topic: Crash of LTCM
Replies: 22
Views: 190916

Crash of LTCM

<t>There are a couple of books on the subject:When Genius Failed by LowensteinInventing Money by DunbarI've only read the Lowenstein book which is pretty good. It paints an interesting picture of LTCM as being both naive and arrogant. Lots of nice details, such as the story of Merton dying his hair ...
by Paul
October 25th, 2001, 9:21 pm
Forum: Student Forum
Topic: Interpretation of amount of borrowing in a dynamic replication/binomial tree setting
Replies: 18
Views: 189797

Interpretation of amount of borrowing in a dynamic replication/binomial tree setting

<t>As Aaron points out, it is v important to remember that N(d2) is the risk-neutral probability of ending up in the money, not the real probability. (People always get this and d1 / d2 mixed up.) God knows what the real probability is, I'm sure CAPM has lots to say about this...but not necessarily ...
by Paul
October 25th, 2001, 9:15 pm
Forum: Technical Forum
Topic: Mean-reversion model
Replies: 11
Views: 190731

Mean-reversion model

I've looked at the spreadsheet, and I'm sure I could figure out what it's doing 'cos it's really short, but could you just give a simple explanation here...with a little bit of math? (I'm v tired right now!)P
by Paul
October 25th, 2001, 9:05 pm
Forum: Student Forum
Topic: Beginners question...Martingale measure
Replies: 38
Views: 192197

Beginners question...Martingale measure

Very good examples, Pat.P
by Paul
October 25th, 2001, 10:35 am
Forum: Student Forum
Topic: Beginners question...Martingale measure
Replies: 38
Views: 192197

Beginners question...Martingale measure

<t>I ran a little survey once, and found that quants use all different types of mathematics. No one methodology stands out as being significantly more or less popular. But, yes, ultimately they are all the same. However, once you start to move away from the nice probablistic world of BS you start to...
by Paul
October 25th, 2001, 10:29 am
Forum: Technical Forum
Topic: Exact calibration in implied trees ?
Replies: 61
Views: 192495

Exact calibration in implied trees ?

<t>Pat, you are "teaching your grandmother to suck eggs" I've been opposed to the whole calibration thing ever since I heard about it. Two problems (nothing to do with whether it's right or wrong) 1) some very famous quants invented the idea and 2) everybody does it. I prefer to model actual vol and...
by Paul
October 24th, 2001, 6:35 am
Forum: Technical Forum
Topic: Philosophy, Physics and Finance
Replies: 37
Views: 191868

Philosophy, Physics and Finance

ZATAOMM is a great book to read as a youth. I tried Pirsig's follow up not so long ago and found it exceedingly tedious, gave up on it. (I'm still only half way through Joyce's Ulysses and have been for years, but I don't think of myself as having given up on that yet!)P
by Paul
October 23rd, 2001, 7:13 pm
Forum: Technical Forum
Topic: Philosophy, Physics and Finance
Replies: 37
Views: 191868

Philosophy, Physics and Finance

<t>Mathematical Biology is the area of mathematics closest to finance. Many, many problems there are diffusion type (zebra stripes, spread of anthrax, ... = BS) or nonlinear o.d.e.s (predator-prey = market microstructure). As in finance the results are often at best qualitative, with parameters that...
by Paul
October 22nd, 2001, 4:33 am
Forum: General Forum
Topic: The Bonuses, The Pay, The Greed, The :-$
Replies: 36
Views: 192237

The Bonuses, The Pay, The Greed, The :-$

<t>Since none of us was present at the meeting between Potter and the reporter we cannot assume that he was "bragging" about his TV set. An innocent remark to a reporter is very easily "misinterpreted" by the media. Anyway, what's wrong with such bragging? For a short while the TV set probably made ...
by Paul
October 21st, 2001, 11:09 am
Forum: Technical Forum
Topic: Exact calibration in implied trees ?
Replies: 61
Views: 192495

Exact calibration in implied trees ?

<t>It's a tough problem numerically. And whether you take this approach at all depends on your later use of the vol surface.I usually recommend something like you are suggesting. Just try and fit the ATM vol and the skew represented by a risk reversal. And don't worry too much about being exact, or ...
by Paul
October 21st, 2001, 11:05 am
Forum: General Forum
Topic: Suggestions for buying data?
Replies: 8
Views: 189613

Suggestions for buying data?

A very good question, to which I don't know the answer. For stocks I use Yahoo! I'm expecting to get a datafeed myself soon and will be looking into the possibilities. Any advice? E.g. stock data real time and historical that can be fed directly into Excel, plus option prices/vols.P
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