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by flairplay
February 4th, 2007, 2:16 pm
Forum: General Forum
Topic: Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Replies: 11
Views: 82062

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

<t>QuoteOriginally posted by: Gmike2000There has to be at least some sort of "note" on the model, describing e.g. input and output of its functions, otherwise it is hard to understand for the end user (the trader) or for other quants. The places that are behind are those where knowledge is not distr...
by flairplay
February 4th, 2007, 10:06 am
Forum: Off Topic
Topic: Other interests
Replies: 7
Views: 79770

Other interests

<t>Curious to know what other interests people have. First, actual interests, and second the sub set of intellectual interests:ALL OTHER INTERESTS:For me it would be 1) reading good literature2) playing competitive sport, because it fouses the body, mind and soul.3) plus anything/anyone that/who she...
by flairplay
February 4th, 2007, 9:51 am
Forum: General Forum
Topic: Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"
Replies: 11
Views: 82062

Volatility Smile: "Small Bone, Big Bone, Scaled Vol of Vol, Delta Left, Delta Right, Tau Left, and Tau Right"

<t>QuoteOriginally posted by: Gmike2000If it is the bank that has no documentation on anything, it must be the one I am working for...The best documentation is a model that is implemeted.In my experience, those places that are behind are the ones who talk endlessly about procedures, documentations e...
by flairplay
February 3rd, 2007, 1:59 pm
Forum: General Forum
Topic: Compliance and risk management
Replies: 3
Views: 79789

Compliance and risk management

<t>QuoteOriginally posted by: oyvinmotWhere can I find decent literature on pre-trade compliance and risk management in an investment bank? I'm especially interested in state of the art systems and methods within risk measurement (market, credit and operational risk)."State of the art" in risk manag...
by flairplay
February 3rd, 2007, 1:42 pm
Forum: General Forum
Topic: do old quants just fade away?
Replies: 18
Views: 82308

do old quants just fade away?

<t>Is it possible some get found out as well?I personally feel there is far too much cult and hero worship in what is still a rather young discipline. There have been some fine quants who have added insight and methods to the discipline over the years. As well, there have been a few who have made a ...
by flairplay
January 19th, 2007, 8:35 am
Forum: General Forum
Topic: Agent Based Computational Economics
Replies: 76
Views: 88801

Agent Based Computational Economics

Multiple message being posted by yours truly - a lag between the button and appearance on the page does not mean the action has not been registered.
by flairplay
January 19th, 2007, 8:35 am
Forum: General Forum
Topic: Agent Based Computational Economics
Replies: 76
Views: 88801

Agent Based Computational Economics

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by flairplay
January 19th, 2007, 8:35 am
Forum: General Forum
Topic: Agent Based Computational Economics
Replies: 76
Views: 88801

Agent Based Computational Economics

<t>QuoteOriginally posted by: farmerI have done a ton of economic simulations. I find they are slightly useful in thinking about how something works, but not in predictions.I find I can't simulate something unless I can already understand and it better than any simulation could explain or reproduce....
by flairplay
January 16th, 2007, 12:35 pm
Forum: General Forum
Topic: Behaviourial Finance Models
Replies: 74
Views: 85692

Behaviourial Finance Models

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: torontosimpleguyThere are 2 types of traders - rational traders (they trade based on fundamentals) and noise traders (they trade based on "irrationals").Whoa. Whoa. Whoa. That's an interesting pair of labels. Isn't fairer to say th...
by flairplay
January 13th, 2007, 9:57 am
Forum: General Forum
Topic: Behaviourial Finance Models
Replies: 74
Views: 85692

Behaviourial Finance Models

<t>The best way to understand the market is to know that it is full of dopes. Behavioural Finance is a fancy term for this.There are dopes in the cash business, in the derivatives business, there are dopes with PhD's, perhaps even Nobel's and so on. And I am not kidding either. Dont mistake the conc...
by flairplay
January 13th, 2007, 9:18 am
Forum: General Forum
Topic: Can dealer hedging depress realized volatility?
Replies: 6
Views: 82979

Can dealer hedging depress realized volatility?

<t>Forgetting what is in the literature and looking at reality:Of course:Market makers long gamma in "size" depresses volatility - both implied and realMarket makers long volga in "size" depresses vol of vol - at least the implied.Carry guys long carry (what else) increases skews - at least implieds...
by flairplay
January 10th, 2007, 3:17 pm
Forum: Off Topic
Topic: London Property Prices &"Middle Class Investment Bankers"
Replies: 11
Views: 83337

London Property Prices &"Middle Class Investment Bankers"

<t>London is where world's serious rich bring their money to.In the face of such continued capital influx, property prices in fashionable areas stay bid. The City too pays billions of GBP in bounses every year. So it is simple supply and demand. Lots of supply of capital, not enough supply of housin...
by flairplay
January 9th, 2007, 4:50 am
Forum: Off Topic
Topic: London Property Prices &"Middle Class Investment Bankers"
Replies: 11
Views: 83337

London Property Prices &"Middle Class Investment Bankers"

<t>Opinions?There was a time when 1 Mio GBP was reasonable money. These days, if you are looking at a place reasonably central but not necessarily posh, even 1.5mio GBP does not go very far. Let's give the hypothetical City Trader, 35 years old, 2.4 kids+dog, 1.5mio GBP to buy a property with 250 - ...
by flairplay
January 6th, 2007, 6:35 am
Forum: Technical Forum
Topic: IF EUR/USD appreciated from 1.31 to 1.35 the vol of atm vol and 25d vol ,which one vol is go up faster?
Replies: 2
Views: 83123

IF EUR/USD appreciated from 1.31 to 1.35 the vol of atm vol and 25d vol ,which one vol is go up faster?

QuoteOriginally posted by: danielliuHi:If we say eur/usd is appreciated from 1.31 to 1.35 ,the vol will be going up ,but which one will run faster ? ( if atm vol or 25d vol )Can I answer this with a question:Why do you think vols change?
by flairplay
January 6th, 2007, 6:23 am
Forum: General Forum
Topic: Question for the traders out there...
Replies: 15
Views: 83945

Question for the traders out there...

<t>"Book size" is just loose vernacular, the meaning of which is apparent only in context. There is no unique meaning or description.Examples:1) When you issue a structured note, there is a period of "book building", the subscription period. So for a particular issue it's just the notional. 2) The s...
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