SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by hamster
October 9th, 2011, 1:24 pm
Forum: The Quantitative Finance Code Library Project
Topic: Architecture and Design
Replies: 236
Views: 26357

Architecture and Design

<t>QuoteOriginally posted by: CuchulainnMaster Planner: Fred Brooks Shows How to Design Anything QuoteWired: How has your thinking about design changed over the past decades? Brooks: When I first wrote The Mythical Man-Month in 1975, I counseled programmers to ?throw the first version away,? then bu...
by hamster
October 8th, 2011, 5:29 pm
Forum: The Quantitative Finance Code Library Project
Topic: Ideas about new open source quanfin project
Replies: 98
Views: 22304

Ideas about new open source quanfin project

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: hamsteris there an existing date/time class you prefer to use?In C++, Boost date and time I useIn C# we have a Date + Excel version (including day count)Maybe QL calendars?boost supports nanosecs (i guess clock, timespec).might be im...
by hamster
October 8th, 2011, 11:08 am
Forum: The Quantitative Finance Code Library Project
Topic: Ideas about new open source quanfin project
Replies: 98
Views: 22304

Ideas about new open source quanfin project

Hello, i dont have an idea rather a question.is the scope already defined?e.g.- what types of securities are covered?- is it just about derivatives?- what is about bonds/loans with embedded options?
by hamster
July 29th, 2011, 10:39 pm
Forum: General Forum
Topic: Basel II Pillar Two: Concentration Risk Add-on
Replies: 7
Views: 40234

Basel II Pillar Two: Concentration Risk Add-on

<t>it might not help you (i dont know any model for such things). as far as i have heard it mean something like...banks might compute different risk type seperatly. eg on department look at risks due interest rate changes, another might focus on defaults, for another prepayment might more relevant, ...
by hamster
July 23rd, 2011, 5:52 pm
Forum: Economics Forum
Topic: Requirement of a new Credit Rating Methodology
Replies: 23
Views: 58714

Requirement of a new Credit Rating Methodology

<t>QuoteOriginally posted by: zerdnaMost of the problem disappears if regulation to use rating from a particular company disappears and rating agencies are not government-approved corporations.100% agree. every word about ratings or implying ratings in any regulatory law have to be erased. relying o...
by hamster
July 19th, 2011, 8:34 pm
Forum: Trading Forum
Topic: Question on cointegration coefficient estimation
Replies: 3
Views: 19647

Question on cointegration coefficient estimation

if a model updates a parameter, it is not a parameter anymore. it become a variable. so you say that you want to estimate the parameter of a submodel what is a model for you cointegration model. what submodel are you talking about?
by hamster
July 19th, 2011, 5:56 pm
Forum: General Forum
Topic: The 1/N portfolio policy
Replies: 50
Views: 30042

The 1/N portfolio policy

<t>rebalancing, bubbles... indicies are artificial and can assume steady rebalancing (i think so. maybe index tracking people know that). 1/N caseif i allocate 1/N at t(0), the allocation at t(1) will be different. so you will sell winner and buy loosers at t(1). that is contrarian, negative feedbac...
by hamster
June 13th, 2011, 6:33 pm
Forum: General Forum
Topic: Actuarial Pricing vs Financial Mathematics Pricing
Replies: 57
Views: 26676

Actuarial Pricing vs Financial Mathematics Pricing

<t>QuoteOriginally posted by: MarsdenDifferent way of going about things, but should lead to same answers when asking the same questions. Actuarial is generally p(x,0)=E(x,t)*v(x,t) as opposed to (essentially) having building block prices based on derivatives with respect to time and an underlying. ...
by hamster
May 22nd, 2011, 10:00 pm
Forum: Careers Forum
Topic: Which topic for my PhD
Replies: 42
Views: 23711

Which topic for my PhD

<t>hi volasmiler, the particle filter thing sounds like applied math for process engg or automotive engg. As catalysator materials are scared resources (from geological point of view) it would be very useful for the world. However the outcome might be incremental innovation and nothing more. But the...
by hamster
May 5th, 2011, 9:56 pm
Forum: Programming and Software Forum
Topic: Ubuntu in prod
Replies: 5
Views: 20717

Ubuntu in prod

only for private usage at home. however i avoid updates bcoz it force x-server driver for my 2nd nvidia card. so i need to reconfigure after every update again and again to get the gpu running. i am too lazy for that.
by hamster
April 30th, 2011, 7:27 pm
Forum: General Forum
Topic: The role of maths in finance by Paul
Replies: 54
Views: 26316

The role of maths in finance by Paul

LOL the hurricane example is great
by hamster
January 2nd, 2011, 10:36 am
Forum: General Forum
Topic: Cash CDO Pricing
Replies: 1
Views: 33808

Cash CDO Pricing

how liquid are your market prices?
by hamster
November 12th, 2010, 1:19 am
Forum: The Quantitative Finance FAQs Project
Topic: What are ABS, MBS, CBO, CDO, CLO, CMO, CMBS etc. etc. etc.?
Replies: 18
Views: 301105

What are ABS, MBS, CBO, CDO, CLO, CMO, CMBS etc. etc. etc.?

QuoteOriginally posted by: SPAAGGFor MBA (master in business - administration) students I add the following :CEO : Chief Executive OfficerCFO : Chief Financial Officerinvestors should be aware that there are a lot of bad apples securitzed... very risky collateral portfolios...
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