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by ThinkDifferent
May 20th, 2016, 10:51 am
Forum: Technical Forum
Topic: Why Is Bond Time Value Risk Not Considered in Bond Immunization?
Replies: 209
Views: 12588

Why Is Bond Time Value Risk Not Considered in Bond Immunization?

<t>QuoteOriginally posted by: bearishQuoteAt the risk of saying something stupid again (yes, it has happened before), the passage of time is not a risk. The only reason theta is on the list of things you keep track of as an option trader (and no, bond traders do not keep track of their theta -- don'...
by ThinkDifferent
May 17th, 2016, 2:07 pm
Forum: Technical Forum
Topic: Why Is Bond Time Value Risk Not Considered in Bond Immunization?
Replies: 209
Views: 12588

Why Is Bond Time Value Risk Not Considered in Bond Immunization?

<t>As for the main debate, not exactly sure why lovenatalya behaved like that... One should remember that practical side comes first, and models, math etc. are secondary. One can introduce all sorts of concepts and there is nothing wrong with that, but the fact is that bond traders do not talk about...
by ThinkDifferent
May 17th, 2016, 1:34 pm
Forum: Technical Forum
Topic: Why Is Bond Time Value Risk Not Considered in Bond Immunization?
Replies: 209
Views: 12588

Why Is Bond Time Value Risk Not Considered in Bond Immunization?

<t>True. It depends on what are the basic/hedging instruments. Having said that, the (static) replication of a variance swap with options is a model-dependent result (static hedging of a (continuous) European type payoff is not model-dependent, but a variance swap replication is (e.g. does not work ...
by ThinkDifferent
May 16th, 2016, 4:43 pm
Forum: Technical Forum
Topic: Why Is Bond Time Value Risk Not Considered in Bond Immunization?
Replies: 209
Views: 12588

Why Is Bond Time Value Risk Not Considered in Bond Immunization?

See page 53 of this bookThe 'definition' of linear products there is along the same lines as acastaldo suggested below.
by ThinkDifferent
May 10th, 2016, 8:06 pm
Forum: Technical Forum
Topic: Why Is Bond Time Value Risk Not Considered in Bond Immunization?
Replies: 209
Views: 12588

Why Is Bond Time Value Risk Not Considered in Bond Immunization?

a heated discussion of a definition of short rate clearly doesn't belong to the Technical Forum :)
by ThinkDifferent
April 22nd, 2016, 6:41 pm
Forum: Off Topic
Topic: teach me to hate the jew
Replies: 63
Views: 11987

teach me to hate the jew

QuoteOriginally posted by: ppauperOxford University students seek to cut ties with NUS after 'anti-Semitism' row brave girl. I applaud her.
by ThinkDifferent
March 9th, 2016, 3:35 pm
Forum: Careers Forum
Topic: Bank or HFT prop shop?
Replies: 9
Views: 3648

Bank or HFT prop shop?

too many factors here (bank vs fund, location, etc.). all depends on how much risk you can afford, where you prefer to live, etc. Just keep in mind that your income tax bill in Singapore will probably be 1/3 of what you will pay in London.
by ThinkDifferent
March 3rd, 2016, 4:40 pm
Forum: Careers Forum
Topic: Job offer and ensuing hilarity
Replies: 5
Views: 3562

Job offer and ensuing hilarity

<t>QuoteOriginally posted by: OrbitQuote But I can firmly corroborate that banking is officially a shit-show. Seriously.thanks for a firm corroboration, but it's not news. was it UBS? or DB? e.g. if the latter, they didn't discuss a bonus with you because there was nothing to discuss...I am surprise...
by ThinkDifferent
February 16th, 2016, 6:45 pm
Forum: Careers Forum
Topic: Home Based Quant Job?- Does it exist?
Replies: 12
Views: 5762

Home Based Quant Job?- Does it exist?

QuoteOriginally posted by: ArthurDentTrade your personal account. Work from the beach.in the current market environment? good luck with that
by ThinkDifferent
October 20th, 2015, 2:54 am
Forum: Careers Forum
Topic: IR/FX Valuations Controller - What will I actually be doing?
Replies: 9
Views: 3638

IR/FX Valuations Controller - What will I actually be doing?

<t>QuoteOriginally posted by: betamaxxQuoteOriginally posted by: bearishThis is an accounting job, and the real accountants will look down on you because you don't actually understand accounting. Being a "controller" may impress some slightly drunk chicks in a bar of your choice, which may have valu...
by ThinkDifferent
September 18th, 2015, 9:17 am
Forum: Off Topic
Topic: London
Replies: 56
Views: 67616

London

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: tontonkumQuoteOriginally posted by: eDaveSo, I'll be in London for about another week -- helping a customer here.Any suggestions for things to do? -- other than the usual touristy things that I've already done.I should have this weeke...
by ThinkDifferent
September 18th, 2015, 9:11 am
Forum: Off Topic
Topic: London
Replies: 56
Views: 67616

London

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: tontonkumQuoteOriginally posted by: eDaveSo, I'll be in London for about another week -- helping a customer here.Any suggestions for things to do? -- other than the usual touristy things that I've already done.I should have this weeke...
by ThinkDifferent
September 17th, 2015, 2:21 am
Forum: Off Topic
Topic: The Donald Trump
Replies: 4405
Views: 147331

The Donald Trump

he can keep whatever book he wants by his bed.
by ThinkDifferent
August 31st, 2015, 4:30 am
Forum: Off Topic
Topic: an open letter To Dr Wilmott and fellow Indians in Wilmott
Replies: 40
Views: 4285

an open letter To Dr Wilmott and fellow Indians in Wilmott

<r>QuoteOriginally posted by: zerdnaI rarely read stuff here and speak even more rarely. Just saw my old friend samudra and thought it would be fun. But i got to say i am offended today. I am not so much offended by this story of Indians who are allegedly raping ladies in the process of defecation, ...
by ThinkDifferent
August 12th, 2015, 1:09 am
Forum: Careers Forum
Topic: Which banks has the best/most interesting model validation work?
Replies: 9
Views: 5372

Which banks has the best/most interesting model validation work?

QuoteOriginally posted by: StradleOn the other hand, model validation is not FO.that's an extremely deep observation
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