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by Collector
October 4th, 2001, 1:40 am
Forum: Student Forum
Topic: Does garch really work?
Replies: 22
Views: 190942

Does garch really work?

<t>Some times GARCH is the best estimate, some times implied vol, some times plain historical close to close vol. Some times all these estimates are completely out of line. it also depends on the market, in a very liquid option market implied vols are often the best estimate, in less liquid we have ...
by Collector
October 3rd, 2001, 9:35 pm
Forum: General Forum
Topic: The history of hedging
Replies: 4
Views: 189430

The history of hedging

<t>Hi,My mother language is not English so I was wondering about the origin of the word hedging in finance. For this reason I went to an antique bookstore and bought the oldest book I could find on hedging:Caldwell’s 1870 "Treatise on Hedging: History of Hedging". Published by Segners & Condit.F...
by Collector
October 3rd, 2001, 6:10 pm
Forum: Student Forum
Topic: career change for an engineer ??
Replies: 23
Views: 190404

career change for an engineer ??

Bloomberg top news:"Credit Suisse Cuts 20% of Investment Banking Jobs"Almost every day we see similar news, I am not sure about financial engineers..If you start on a master today you should be ready for the next boom in the market a few years from now? So just go for it!!
by Collector
October 2nd, 2001, 5:35 pm
Forum: Technical Forum
Topic: Nomenclature for Volatility
Replies: 13
Views: 189856

Nomenclature for Volatility

<t>Here are a few of the vol terms most used:A) Historical vol:Volatility over a specific period in the past, 1 week, 3 moths....Many ways to measure this: standard deviation, mean absolute deviations, GARCH...What type of data: daily close, high, low, intra day...?How long period should you look at...
by Collector
September 24th, 2001, 1:26 pm
Forum: Technical Forum
Topic: Volatility and Dividends
Replies: 2
Views: 189126

Volatility and Dividends

A way to do this is described in the book:Chriss, N. 1997 : " Black-Scholes and Beyond", Irwin, page 157
by Collector
September 20th, 2001, 2:50 am
Forum: General Forum
Topic: Terrorist options trades?
Replies: 17
Views: 190730

Terrorist options trades?

Paul, by some "accident" my personal icon got lost, I hope you can get someone to help me restore it?Collector
by Collector
September 20th, 2001, 12:15 am
Forum: General Forum
Topic: Terrorist options trades?
Replies: 17
Views: 190730

Terrorist options trades?

<t>Well I guess the terror bosses behind are more interested in real cash (to fund possible attacks), and to their suicide mission guys they just give a dream (quite cheap).Buying put options would naturally also be the perfect way to minimize potential losses in case the terrorist attack should fai...
by Collector
September 19th, 2001, 10:58 pm
Forum: General Forum
Topic: Terrorist options trades?
Replies: 17
Views: 190730

Terrorist options trades?

<t>Bloomberg news:'Market makers who handle trading in AMR and UAL (airlines) options said yesterday they had noticed "suspicious" or "peculiar" trading in the days before the terrorist attack and have been questioned by regulators.'Over three days before terrorists flattened the World Trade Center ...
by Collector
September 19th, 2001, 1:29 am
Forum: Technical Forum
Topic: Closed form solution available?
Replies: 7
Views: 190126

Closed form solution available?

<t>I don't know of any published paper on this barrier variant. This is a strong path dependent option. One way is naturally to use Monte Carlo simulation (at least if European style, American more difficult). I know this special case of a barrier option is quite popular in the equity market (as war...
by Collector
September 12th, 2001, 7:13 pm
Forum: General Forum
Topic: Safe and Sound in the Financial District
Replies: 25
Views: 190814

Safe and Sound in the Financial District

<t>I was luckily up in Greenwich (CT), several of our traders had signed up on a conference for today (Wednesday) in world trade center, luckily not yesterday. It is only a week ago I brought a friend visiting me from Norway up to the top of the World trade center. This is just a terrible tragedy. <...
by Collector
September 10th, 2001, 2:58 pm
Forum: General Forum
Topic: Paraskevidekatriaphobia
Replies: 10
Views: 189880

Paraskevidekatriaphobia

<r>Henriette, I don't know about Tuesday, but I strongly believe the English names for the days: Wednesday, Thursday and Friday are named for Viking Gods!Friday from Frigg the beautiful goddess who was married to Odin.Thursday from the Thunder God Thor.<URL url="http://va.essortment.com/whatareorigi...
by Collector
September 7th, 2001, 2:31 pm
Forum: General Forum
Topic: Who's Publishing What and Where?
Replies: 46
Views: 191698

Who's Publishing What and Where?

<t>Susan wrote:"I agree that many companies are "results oriented". This makes it hard to justify research that will take a long time until it bears fruit (i.e. for the company -- making money is "bearing fruit")"Let’s face it, most people in this business are Greedy. But there is short-term-greedy ...
by Collector
September 6th, 2001, 3:51 am
Forum: General Forum
Topic: How to fall
Replies: 8
Views: 189440

How to fall

<t>In the back wash of the collapse of Barings Banks, LTCM among others there have never been more focus on stress testing and worst case scenarios. Working for a bank or hedge fund you probably spend most of your time and a lot of the companys money to make sure "you" never will end up in a collaps...
by Collector
August 30th, 2001, 1:09 am
Forum: General Forum
Topic: Ranking FE/MathFinance in the world
Replies: 22
Views: 190744

Ranking FE/MathFinance in the world

<t>I don't have to many opinions about this. But this is also a lot about marketing. In US a lot of the top universities are very good at marketing, this often make people believe they are better than they actually are??. At least European universities should get better at marketing themselves?. To ...
by Collector
August 30th, 2001, 12:44 am
Forum: General Forum
Topic: Regarding "running a book"
Replies: 6
Views: 189723

Regarding "running a book"

<t>There are more different OTC exotics than you can imagine. Liquidity is variable. Size is normally not a problem (if you not are Soros) but spreads can be wide or thin.Currency options OTC: plain knock-in and knock-out options are popular. The big banks like JPM/Chase (let me advertise a bit for ...
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