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SPAAGG
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July 19th, 2005, 8:56 am

What is Behavioral Finance ?What is Decision Theory ?
 
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funktionality
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August 3rd, 2005, 1:08 pm

What are some of the most prevalent "curves" used in interest rate derivatives trading? What market data do they use, how are they constructed, and how are they used by traders?
 
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SierpinskyJanitor
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August 8th, 2005, 9:38 am

1. What are the five most famous or important unsolved financial maths problems today? 2. What is the most difficult-to-understand areas of financial maths today? 3. Who are the five most influential financial mathematicians that ever lived? 4. Who are the five most influential financial mathematicians alive today? 5. Who was the strangest financial mathematician that ever lived? 6. What are the five most interesting financial numbers? (And 5 most interesting integers?)
 
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Cuchulainn
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August 27th, 2005, 3:11 pm

TITLE: What are Levy/CGMY processes:Stumbled across a paper on Levy Processes. Anyone know what they are modelling?They certainly look a bit different from GBM? thanks for any insights. Main question is how to 'use' them, for example getting meaningful numbers from them and maybe using them with BS.
Step over the gap, not into it. Watch the space between platform and train.
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http://www.datasim.nl
 
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N
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August 27th, 2005, 9:39 pm

Last edited by N on August 27th, 2005, 10:00 pm, edited 1 time in total.
 
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Antonio
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September 8th, 2005, 1:59 pm

What are the most popular stochastic volatility models ?Thanks
 
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Cuchulainn
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September 9th, 2005, 3:35 pm

QuoteOriginally posted by: AntonioWhat are the most popular stochastic volatility models ?ThanksThat's a nice one IMHOHeston?Heston?...
Step over the gap, not into it. Watch the space between platform and train.
http://www.datasimfinancial.com
http://www.datasim.nl
 
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Antonio
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September 12th, 2005, 3:42 pm

But do banks really use Heston as it is proposed, or do they use Some transformed versions of it ? I that case, what kind of changes do they use ? deterministic parameters ? ...Thanks
 
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Alan
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September 17th, 2005, 2:02 pm

Here's a topic: What are some good smaller problems, suitable for a student (master's thesis or part of a dissertation).regards,
 
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exotiq
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September 25th, 2005, 9:36 pm

What are all the different types of financial instruments? Basically, what is the difference between stock, bond, preferred, convert; between option and warrant, between future and forward; what's for institutions vs. retail, why choose one over another?
 
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exotiq
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September 25th, 2005, 9:39 pm

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: AntonioWhat are the most popular stochastic volatility models ?ThanksThat's a nice one IMHOHeston?Heston?...I like this FAQ as well, but IMHO, eliminate the word "stochastic", and simply ask: "What are the most popular volatility models?"Heston has several problems despite its popularity. I'd like to see a discussion of local vs. stochastic vs. regime switching vol, time-variant versions of SABR, naive methods of interpolating/extrapolating vol curves, and especially which exotics these do/do not work for...
 
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exotiq
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September 30th, 2005, 11:51 pm

What is an index?I absolutely love this question because it sounds so obvious that I'm sure we'll get at least 10 different answers and tangential arguments on it. In detail, a good FAQ thread would define investibility and tradability of an index, the differences between arithmetic and geometric indices, different techniques of weighting (equal, price, expert rebalancing, and for equities, market cap), the effect of capping weights, and how different types of indices are used in different markets. The FAQ could also list some of the most important examples of indices of equities, commodities, bonds, credit, interest rates, hedge funds, strategies, derivatives, or other variables and special features and how-tos of each such index. Just as important in the list of examples ar the ones not worth mentioning because of lack of liquidity or usability, etc.
 
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tbatson
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November 5th, 2005, 10:15 pm

Trivia question:Who was the first person to use the word “martingale” to describe a certain type of stochastic process, and why did they choose this word.Previous historical definitions of the word martingale:1589 – A strap(s) fastened at one end to the bit and at the other to the girth, to prevent a horse from rearing its head.1794 – A rope for guying down the jib-boom to the dolphin-striker.1815 – A system in gambling, which consists in doubling the stake when losing in order to recoup oneself.
 
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vinayboy
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November 16th, 2005, 3:59 pm

I am currently a student and as i am reading up on some of the theoretical models (such as binomial asset pricing model, CAPM, Black Scholes Model etc) i always wonder what are the limitations of the models that i am reading in the text books. Most books do give the theoretical assumptions behind this model (so you know that in a way they might be limitations). However i want to get a feel of the applicability of these models in the industry.Given the wealth of practical experience in this forum, it would be great if practicioners can enlist their experiences of using these models and where it fails them. I could make a list which can be extended 1. Binomial pricing model2. CAPM3. Black Scholes Model4. No Arbitrage Assumption (ok its an assumption which is fairly used in literature and it almost gives me a feeling that this is an axiom..am i right?)
 
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monlavingia
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November 25th, 2005, 2:17 pm

SDE vs. PDE approach:Differences, ease of calculation/analysis, etc.
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