SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Collector
June 15th, 2002, 2:14 pm
Forum: Off Topic
Topic: .
Replies: 35
Views: 191644

.

<t>I still feel like a teenager boy, imortal, however I can not comment on me driving to fast or not, driving to fast is ilegal. and this off topic forum is limited to leagal activities. smoking is another example, in europe especially teenager girls start smoking, same reason I think, they beleive ...
by Collector
June 15th, 2002, 1:18 pm
Forum: Numerical Methods Forum
Topic: True Random vs' Pseudo-Random
Replies: 28
Views: 191808

True Random vs' Pseudo-Random

Random versus Pseudo-Random...."You belive in the God who playes dice, and I in complete law and order.", Albert Einstein to Max Born.Until homo sapiens have found all the laws and the orders of God's Pseudo-Random number generator we will all be fooled by randomness.
by Collector
June 15th, 2002, 2:29 am
Forum: Technical Forum
Topic: Correlation curve?
Replies: 4
Views: 189547

Correlation curve?

<t>Anyone familiar with the Bjerve and Doksum correlation curve? Also a guy named Blyth? has published some on this idea. Main idea i think: correlation is dependent on level of one of the variables. I just remember I was reading a paper about this many years ago, it looked very interesting and poss...
by Collector
June 14th, 2002, 3:19 pm
Forum: Technical Forum
Topic: Asian Vol versus Plain Vanilla Vols
Replies: 9
Views: 189727

Asian Vol versus Plain Vanilla Vols

Arg!
by Collector
June 14th, 2002, 2:02 pm
Forum: Technical Forum
Topic: Asian Vol versus Plain Vanilla Vols
Replies: 9
Views: 189727

Asian Vol versus Plain Vanilla Vols

<r>>Could you elaborate on how you calculate this adjustment?you must be kidding, grow up! even Margrabes 7 year old daughter know how to calculate Asian vols in her head. look for Celia in Derivatives land at this page <URL url="http://www.margrabe.com/Games/Games97.html">http://www.margrabe.com/Ga...
by Collector
June 6th, 2002, 1:26 am
Forum: Careers Forum
Topic: future of CompFin ?
Replies: 20
Views: 191270

future of CompFin ?

In general I think we only have seen the beggining of the development in quantitative finance. The big Big BIG things are still to come!!
by Collector
June 6th, 2002, 1:20 am
Forum: Off Topic
Topic: Congratulations to Reza!
Replies: 30
Views: 191225

Congratulations to Reza!

Are you sure the message marks only can increase ? or is he simply a Bubble that soon will burst!
by Collector
June 6th, 2002, 1:00 am
Forum: General Forum
Topic: VBA code for Crank-Nicolson
Replies: 4
Views: 189669

VBA code for Crank-Nicolson

As I remember P. Wilmott at least has some indications of putting together Crank-Nicolson in VBA ?. (in the bible PW on QF
by Collector
June 6th, 2002, 12:45 am
Forum: Off Topic
Topic: Options: A good buy!
Replies: 6
Views: 189354

Options: A good buy!

<t>>If you have a short-term horizon it's better not to hold options over the weekend (theta effect), I guess.That depends on the implied weekend vol versus expected realized I guess?? Interesting question is should it be fatter tails over the weekend versus from working days. Weekends are normally ...
by Collector
June 3rd, 2002, 5:10 pm
Forum: Technical Forum
Topic: First-then-knockout typo
Replies: 2
Views: 189181

First-then-knockout typo

<t>A reader of my paper "First-then-knockout options" just made me aware of wrong values for the plain vanilla Black-76 in the table. The mistake is interest rate 0 instead of 10%. The values should be 2.6828 (not 2.8204) with volatility 10%, and 8.0350 (not 8.4470) with vol 30%. The first-then barr...
by Collector
June 3rd, 2002, 10:11 am
Forum: Off Topic
Topic: Tired of Cigars
Replies: 25
Views: 191554

Tired of Cigars

Last time I had a house warming party (5 years ago) my house almost took fire, one of my friends stole my favorite girl.....but that was naturally back in norway, Vikings tends to be a bit wild, so I will still consider your suggestion MP
by Collector
June 1st, 2002, 8:39 pm
Forum: Off Topic
Topic: Tired of Cigars
Replies: 25
Views: 191554

Tired of Cigars

I never smoked before, but I will start smoking sigars in a few months time, not kidding.
by Collector
May 13th, 2002, 6:47 am
Forum: Student Forum
Topic: American Down and Out - In Option
Replies: 15
Views: 189937

American Down and Out - In Option

<t>>Thanks Collector I am beginning to understand now... just one more thing. Which of the two has a greater value?>1. An american call>2. An american down and in call plus an american down and out callmy intuition says alternative 2 is more valuable, let say futures price first goes up a lot, it ca...
by Collector
May 12th, 2002, 10:31 pm
Forum: Student Forum
Topic: American Down and Out - In Option
Replies: 15
Views: 189937

American Down and Out - In Option

<t>American barrier options in itself naturally makes sense. It is just how to value them.well more precisely, to construct an Amercian down-and-out call from going short American down-and-in call + go long a American call is a over hedge. Expected pay off is bigger than from a pure Amercan down cal...
by Collector
May 12th, 2002, 9:40 pm
Forum: Student Forum
Topic: American Down and Out - In Option
Replies: 15
Views: 189937

American Down and Out - In Option

<r>Hello Hari, I only have paper copies (need your snail mail adress) pls send it to <EMAIL email="espehaug@online.no">espehaug@online.no</EMAIL>, (expect 3 weeks.) Out-in parity:assume geometric Brownian motion:EUROPEAN OPTIONS (on stocks, currency, futures...) in-out parity always holds, for examp...
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