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by tw
June 13th, 2008, 12:13 pm
Forum: Student Forum
Topic: The Minority Game
Replies: 1
Views: 52324

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: 57378

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: 57378

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: 59657

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: 59657

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: 54703

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: 84454

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: 84454

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: 57105

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...
by tw
March 20th, 2008, 8:44 am
Forum: General Forum
Topic: Investment bank credit spreads
Replies: 3
Views: 57105

Investment bank credit spreads

Hi,Could someone working in the credit markets give me a ball park estimate of what credit spreads, or more particularly default probs,US investment banks (e.g. JPM, GS, MER, LEH etc) are currently trading at?Many thanks!
by tw
March 12th, 2008, 8:35 pm
Forum: General Forum
Topic: swap on futures
Replies: 1
Views: 57399

swap on futures

<t>During Apr08 there is a front month futures contract (CLc1 for WTI crude). For approx the first 2/3rds of the month that is May08 and for the last part it's June08.The swap is settled against the average of the front month contract observed in April sometime in May QuoteOriginally posted by: babu...
by tw
February 6th, 2008, 12:18 pm
Forum: General Forum
Topic: Paul's 29 Jan 2008 blog
Replies: 24
Views: 62375

Paul's 29 Jan 2008 blog

This chap's not a resident of Gloucester, by chance?QuoteOriginally posted by: PaulGetting warm, Blazes!P
by tw
January 23rd, 2008, 1:57 pm
Forum: General Forum
Topic: How good is your options knowledge...one for the experts!!!
Replies: 24
Views: 63183

How good is your options knowledge...one for the experts!!!

I have no experience of variance swaps. Doesn't the spread on them include someone's costto replicate them with options?QuoteOriginally posted by: daveangelWhy don't you trade variance swap ?
by tw
January 21st, 2008, 2:42 pm
Forum: General Forum
Topic: Parkinson volatility estimator
Replies: 0
Views: 62163

Parkinson volatility estimator

<t>Hi The Parkinson (high/low) estimator has been discussed in a couple of threads in this forum: I have a couple of further questions.I've not managed to dig up the original paper: I assume the derivation is based upon the distribution of a the maximum and minimum of a Wiener process over a given t...
by tw
November 21st, 2007, 4:49 pm
Forum: Student Forum
Topic: best of 3 option/analytic
Replies: 1
Views: 62204

best of 3 option/analytic

Anyone out there know of any anaytic results for the value of a best of 3 option?Thanks,Tom
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