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by horacioaliaga
October 25th, 2013, 1:25 pm
Forum: General Forum
Topic: How Knight Capital died
Replies: 21
Views: 9632

How Knight Capital died

Amazing story, thanks for sharing.
by horacioaliaga
August 1st, 2013, 6:25 pm
Forum: Careers Forum
Topic: Independent Price Verification (IPV)
Replies: 14
Views: 15143

Independent Price Verification (IPV)

stay far, far, far ,far away
by horacioaliaga
July 15th, 2013, 4:55 pm
Forum: Off Topic
Topic: Summer vacations?
Replies: 68
Views: 10734

Summer vacations?

Fishing and kayaking around Calf Island, CT
by horacioaliaga
June 20th, 2013, 1:46 pm
Forum: General Forum
Topic: Bootstrapping Swaption Cube
Replies: 0
Views: 7706

Bootstrapping Swaption Cube

Anyone heard of an industry practice where the Swaption Cube is determined completely generically (like bootstrapping) from any Swaptions Instruments?
by horacioaliaga
February 5th, 2013, 3:18 pm
Forum: Brainteaser Forum
Topic: Consecutive Cards
Replies: 4
Views: 12008

Consecutive Cards

<t>On the First (couple of) Draws:P( first > second ) = 1/N * { P( first = N > second) + P( first = N-1 > second) + .... } = 1/N * { (N-1)/(N-1) + (N-2)/(N-1) + .....+ 1/(N-1) } = 1/N * (N-1)*N / 2 /(N-1) = 1/2On the third Draw:P( second > third | first > second ) = 1/2 * 1/2On the last Draw:P( (N-1...
by horacioaliaga
February 5th, 2013, 2:29 pm
Forum: Brainteaser Forum
Topic: Simple "rolling 2 dice" interview question... can't remember the exam question
Replies: 19
Views: 14880

Simple "rolling 2 dice" interview question... can't remember the exam question

<t>P( rolling 6 ) = 5/36P( not rolling pair ) = 1 - P(rolling pair) = 1 - 6/16 = 5/6P( rolling 6 before rolling pair ) = P(rolling 6 on first) + P(not rolling pair on first)*P(rolling 6) + P(not rolling pair on first&&second) * P(rolling 6) + ...... = 5/36 + 5/36 * 5/6 + 5/36 * (5/6)^2 + ......
by horacioaliaga
February 5th, 2013, 2:11 pm
Forum: Brainteaser Forum
Topic: What is the probability to toss HH in 10 tosses?
Replies: 11
Views: 15454

What is the probability to toss HH in 10 tosses?

The Probability of getting HH on the 10th toss is equal to the probability of not having it (3/4)^9 during the first 9 tosses, times the probability of having it exactly on the 10th toss (1/4):1/4 * (3/4)^9 = 1.8771%
by horacioaliaga
December 21st, 2012, 6:29 pm
Forum: General Forum
Topic: Post crisis financial innovations in the banking industry
Replies: 16
Views: 12121

Post crisis financial innovations in the banking industry

Long term ccy swaps that allows tax evasion and credit improvement scores
by horacioaliaga
September 26th, 2012, 12:45 pm
Forum: Off Topic
Topic: Greatest USA National Anthems Every Performed
Replies: 29
Views: 14408

Greatest USA National Anthems Every Performed

So bad was the fact that the local multitude was booing the Arg Anthem. Not a big fun of Santa, but I think he is excused in this case...
by horacioaliaga
September 25th, 2012, 5:24 pm
Forum: Off Topic
Topic: Greatest USA National Anthems Every Performed
Replies: 29
Views: 14408

Greatest USA National Anthems Every Performed

Argentinian National Anthem, by Charly Garciahttp://www.youtube.com/watch?v=ygkWHdVb4RY&feature=related
by horacioaliaga
September 21st, 2012, 5:20 pm
Forum: General Forum
Topic: Swaption silly question
Replies: 12
Views: 13404

Swaption silly question

Brazil....
by horacioaliaga
September 17th, 2012, 3:53 pm
Forum: General Forum
Topic: Swaption silly question
Replies: 12
Views: 13404

Swaption silly question

Got it, thanks !
by horacioaliaga
September 14th, 2012, 4:39 pm
Forum: General Forum
Topic: Swaption silly question
Replies: 12
Views: 13404

Swaption silly question

My point was that with a ITM European Call, you'll get a positive cash flow at expiration. In this case you don't need to own the underlyingOn a Swaption, at expiration you might enter the swap if looks favorable (you paid for the right to enter), and you might end up losing money.
by horacioaliaga
September 5th, 2012, 8:28 pm
Forum: General Forum
Topic: Swaption silly question
Replies: 12
Views: 13404

Swaption silly question

That would mean that a European Swaption protects much less than an European Option..... Interesting....
by horacioaliaga
September 5th, 2012, 7:36 pm
Forum: General Forum
Topic: Swaption silly question
Replies: 12
Views: 13404

Swaption silly question

If a purchase a Swaption now, and at expiry I decide to enter the Swap, I could be losing the premium of the Swaption and the money from entering the Swap as well right? Assume that the Swap have several future cashflows.Thanks.
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