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by tw
August 28th, 2008, 3:21 pm
Forum: Student Forum
Topic: Mean first passage time approximation
Replies: 5
Views: 50746

Mean first passage time approximation

<t>I noticed that the formula for mean first passage time for geometric Brownian motion passing out of a rectangular strip hasan irritating property. The formula is quoted in various books e.g. Wilmott's.If you take a driftless process, that starts exactly in the midpoint of the strip, the formula h...
by tw
August 9th, 2008, 9:24 am
Forum: Off Topic
Topic: olympic models
Replies: 6
Views: 50014

olympic models

<t>QuoteOriginally posted by: TraderJoeQuoteOriginally posted by: twQuoteOriginally posted by: ppauperQuoteOriginally posted by: twwhere's your market in the spread between total silver medals won and total bronze medals won in the next winter olympics?wouldn't they be the same number ?unless there'...
by tw
August 9th, 2008, 9:23 am
Forum: Off Topic
Topic: olympic models
Replies: 6
Views: 50014

olympic models

<t>QuoteOriginally posted by: TraderJoeQuoteOriginally posted by: twQuoteOriginally posted by: ppauperQuoteOriginally posted by: twwhere's your market in the spread between total silver medals won and total bronze medals won in the next winter olympics?wouldn't they be the same number ?unless there'...
by tw
August 8th, 2008, 2:10 pm
Forum: Off Topic
Topic: olympic models
Replies: 6
Views: 50014

olympic models

<t>QuoteOriginally posted by: ppauperQuoteOriginally posted by: twwhere's your market in the spread between total silver medals won and total bronze medals won in the next winter olympics?wouldn't they be the same number ?unless there's only 2 people in one event so no bronze is awarded ?ok. Making ...
by tw
August 8th, 2008, 11:53 am
Forum: Off Topic
Topic: olympic models
Replies: 6
Views: 50014

olympic models

where's your market in the spread between total silver medals won and total bronze medals won in the next winter olympics?
by tw
June 16th, 2008, 2:00 pm
Forum: Student Forum
Topic: Slotting a puttable bond into a liquidity ladder
Replies: 3
Views: 52999

Slotting a puttable bond into a liquidity ladder

I am curious. What's a liquidity ladder? I've not come across the term.Many thanks.QuoteOriginally posted by: phileas007Can anybody tell me how to slot a puttable bond into a liquidity ladder?That is to say how to treat the liquidity risk of a puttable bondThanks in advance
by tw
June 13th, 2008, 12:13 pm
Forum: Student Forum
Topic: The Minority Game
Replies: 1
Views: 52289

The Minority Game

<t>I've read a couple of articles on the Minority Game recently &, whilst the mathematics seems very interesting, I struggleto see much relevance at all to traded markets. It seems to miss some significant features, like the dissemination of private information through trading etc.Given the oppo...
by tw
June 2nd, 2008, 11:40 am
Forum: General Forum
Topic: Pricing vanilla options with CREDIT risk
Replies: 30
Views: 57217

Pricing vanilla options with CREDIT risk

I found the chapter on Default Risk in Gatheral's book on "The volatility surface" quite illuminating on this subject.
by tw
June 2nd, 2008, 11:40 am
Forum: General Forum
Topic: Pricing vanilla options with CREDIT risk
Replies: 30
Views: 57217

Pricing vanilla options with CREDIT risk

I found the chapter on Default Risk in Gatheral's book on "The volatility surface" quite illuminating on this subject.
by tw
May 27th, 2008, 4:42 pm
Forum: General Forum
Topic: delta gamma VAR
Replies: 3
Views: 59622

delta gamma VAR

<t>HiThanks for the reply.So if you have zero delta position, positive gamma gives larger VAR?I was a bit puzzled how to come up with a rule of thumb where one can adjust the delta in the standard formula to take into account gamma. Or indeed if that's possible.Couldn't get my head aroundI came acro...
by tw
May 20th, 2008, 11:31 pm
Forum: General Forum
Topic: delta gamma VAR
Replies: 3
Views: 59622

delta gamma VAR

HiDoes anyone know a simple approximation for delta-gamma VAR for a single asset?I feel it should be something like VAR(delta-gamma)=VAR(delta-only) + (gamma^2/(4*delta))*volatility*NORMINV(1-0.95)Cheers.
by tw
May 20th, 2008, 10:29 am
Forum: General Forum
Topic: commodities mutual funds?
Replies: 4
Views: 54663

commodities mutual funds?

<t>There are mortality derivatives, of course. You could make some argument about going long those is shortinghumanity somehow! (but only a dirty hedge vs. human capital, I think).QuoteOriginally posted by: KackToodlesare there any "pure plays" in alternative 21st century commodities, such as intell...
by tw
April 27th, 2008, 3:10 pm
Forum: General Forum
Topic: Taleb's crusade against BSM equation
Replies: 239
Views: 83670

Taleb's crusade against BSM equation

<t>QuoteOriginally posted by: CollectorQuoteI just find it an irony that one of the authors of a paper called "Why we have never used the Black-Scholes-Merton Option pricing Formula"is also the author of "The Complete Guide to Option Pricing Formulas", which makes no fine distinctions of attribution...
by tw
April 25th, 2008, 10:13 am
Forum: General Forum
Topic: Taleb's crusade against BSM equation
Replies: 239
Views: 83670

Taleb's crusade against BSM equation

<t>I just find it an irony that one of the authors of a paper called "Why we have never used the Black-Scholes-Merton Option pricing Formula"is also the author of "The Complete Guide to Option Pricing Formulas", which makes no fine distinctions of attribution between Black, Scholes, Merton, Bachelie...
by tw
March 20th, 2008, 9:17 am
Forum: General Forum
Topic: Investment bank credit spreads
Replies: 3
Views: 57069

Investment bank credit spreads

<t>Many thanks. Are those substantially up on 1 month ago?QuoteOriginally posted by: friesenjungsure. although the brokers are only trading liquidly during NY trading times... 5y CDS quotes yesterday late LDN trading wasBSC 365/395 28.5%LEH 270/290 21.9%MER 230/245 18.9%GS 150/160 12.8%JPM 110/120 9...
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