SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 35 matches

by DrEvil
April 29th, 2004, 6:44 pm
Forum: Programming and Software Forum
Topic: Hiding your work email return address
Replies: 4
Views: 189520

Hiding your work email return address

<r>One trick is to use a forwarding address that doesn't actually have an e-mailbox, but that you can configure to send mail (or stop sending mail) to your work address. If you are a Perl programmer, cpan.org is a good one, and there are several similar options.Another option which I think is worth ...
by DrEvil
April 29th, 2004, 1:05 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is hedging?
Replies: 33
Views: 244972

What is hedging?

I've heard two definitions of a 'Texas Hedge':1.) It loses money whether the underlying goes up or down (basically refuses to admit a residual volatility exposure).2.) The hedge is approximate, and tries to keep P&L within a band of acceptable error across a range of scenarios.
by DrEvil
April 29th, 2004, 12:01 am
Forum: Careers Forum
Topic: klhj
Replies: 1
Views: 189309

klhj

Ask for LIBOR +20-35 bps :-D
by DrEvil
April 28th, 2004, 6:04 pm
Forum: Careers Forum
Topic: Any Willmot readers doing MiF2005 at LBS?
Replies: 7
Views: 190426

Any Willmot readers doing MiF2005 at LBS?

It looks like a quant could go there to learn finance, but it doesn't look like a quant program...
by DrEvil
April 28th, 2004, 5:57 pm
Forum: General Forum
Topic: Best choice between Fidelity, Merrill, and Schwab?
Replies: 3
Views: 189518

Best choice between Fidelity, Merrill, and Schwab?

<t>If an individual used to no-advice deep discount brokers must choose only between Fidelity, Merrill Lynch, and Charles Schwab for trading an aggresive portfolio, what experiences/praises/horror stories do Wilmotters have to share?Compared to Interactive Brokers, FOLIOfn, and OANDA, these shops se...
by DrEvil
April 27th, 2004, 10:49 am
Forum: Careers Forum
Topic: The Options Group
Replies: 4
Views: 189620

The Options Group

Not bad...they seem well connected. Only problem I noticed is that they tend to "pigeon hole" and see a candidate only as a quant type or a trader type, etc., not as much focused on using all their skills.
by DrEvil
April 26th, 2004, 7:51 pm
Forum: Off Topic
Topic: Housing in Boston
Replies: 16
Views: 190476

Housing in Boston

QuoteOriginally posted by: HeatOilTraderNow for the more important subject: bar and restaurant recommendations...John Harvard's on Harvard Square has some nice brews and an amusing crowd.
by DrEvil
April 26th, 2004, 4:47 pm
Forum: Book And Research Paper Forum
Topic: Is there are any alternatives to Hull's book ?
Replies: 31
Views: 194880

Is there are any alternatives to Hull's book ?

I like Wilmott's books; they seem to be easier to read and have nice cartoons of Paul in them For specific topics, Cox and Rubinstein have written books on options, and Rebonatto's books are good...Tavella and Randall wrote a book good for the PDE math useful across much of finance
by DrEvil
April 26th, 2004, 4:09 pm
Forum: General Forum
Topic: "Superproject" bonds
Replies: 2
Views: 189394

"Superproject" bonds

<t>Uncommon as it is for me, I recently picked up an issue of Popular Science which inguigingly enough described projects like a submerged vacuum tunnel through which Maglev trains could get from New York to London in about an hour. Given that such a project would easily cost over $100 billion, take...
by DrEvil
April 26th, 2004, 2:50 pm
Forum: Technical Forum
Topic: Soluton to a HW/HW/Black model
Replies: 2
Views: 189873

Soluton to a HW/HW/Black model

<t>Yes, triplets of equations like this are quite commonly used (numerically) by FX quants for all sorts of FX derivatives, since each equation is a "classical" Ito process for the modelled rate.If I understand your question about the correlation, the IR-IR correlation only has to make the matrix po...
by DrEvil
April 26th, 2004, 2:17 pm
Forum: Technical Forum
Topic: Forward Curve Construction
Replies: 10
Views: 197088

Forward Curve Construction

You could also use regression/optimization to fit the parameters of a Merton, CIR, LMM, Hull-White, etc. model. That way you actually have an implied short rate volatility and expectation, rather than just an interpolation.
by DrEvil
April 26th, 2004, 1:18 pm
Forum: Careers Forum
Topic: pde for basket option
Replies: 1
Views: 189170

pde for basket option

<t>I don't know why you wrote this in the careers forum, but put simply, your system of SDEs for the 3-4 underlyings can be written with a decomposition of the covariance matrix of those assets, which takes into account all the volatilities and correlations between the assets. Once you've written th...
by DrEvil
April 26th, 2004, 1:04 pm
Forum: Off Topic
Topic: Are Asian girls more attractive than Beckham ?
Replies: 6
Views: 189440

Are Asian girls more attractive than Beckham ?

If you mean Victoria Beckham, simply put: NO!
by DrEvil
April 25th, 2004, 10:03 pm
Forum: Programming and Software Forum
Topic: Notebooks - Dell or IBM
Replies: 15
Views: 190281

Notebooks - Dell or IBM

<t>QuoteOriginally posted by: peacewhy not try e-machine? there is a model for AMD 6400.On the other extreme, Apple makes the best laptops, but if you need any Windows-specific software (although Excel X serves me fabulously), and if you've already narrowed down between Dell and IBM, all I have to s...
by DrEvil
April 25th, 2004, 9:44 pm
Forum: The Quantitative Finance FAQs Project
Topic: Subjects, please...
Replies: 430
Views: 338969

Subjects, please...

What is the definition of quantitative finance and how is it different/related to other types of finance and economics (e.g. technical analysis, econometrics, fundamental/macro analysis).
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