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by LBL
January 8th, 2014, 7:20 pm
Forum: Numerical Methods Forum
Topic: The Color Greek and the Finite Differences Method
Replies: 6
Views: 6364

The Color Greek and the Finite Differences Method

Hi everyone,How could I calculate the color greek using finite differences?Thanks!
by LBL
January 7th, 2014, 12:04 pm
Forum: Trading Forum
Topic: FX Options most important greeks
Replies: 4
Views: 6677

FX Options most important greeks

So, if I'm 1 month away from expire, not need to worry about it, right?
by LBL
January 6th, 2014, 11:36 pm
Forum: Trading Forum
Topic: FX Options most important greeks
Replies: 4
Views: 6677

FX Options most important greeks

<t>You are absolutely right, Vanna is very important. What about Charm, Color and Veta? I mean, when options are more or less ATM and they are getting to expiration date, I guess they must also play an important role (especially Charm, right?). You are right about Speed, most of the time it doesn't ...
by LBL
December 30th, 2013, 2:02 pm
Forum: Trading Forum
Topic: FX Options most important greeks
Replies: 4
Views: 6677

FX Options most important greeks

What are the most important greeks when managing FX options risk? Besides Delta, Gamma, Vega, Theta, the 2 Rhos, what are other relevant greeks? My gut feeling would also add Vomma (Gamma of Vega) and Speed (Gamma of Gamma). Any other second or third derivatives that could also be relevant?
by LBL
December 12th, 2012, 9:41 am
Forum: Brainteaser Forum
Topic: Correlation
Replies: 24
Views: 13282

Correlation

I'm going to check it later, I have to go to work now! And thanks for all your help!
by LBL
December 12th, 2012, 9:24 am
Forum: Brainteaser Forum
Topic: Correlation
Replies: 24
Views: 13282

Correlation

<t>That's true, your data matches perfectly what I have posted here. The difference is that instead of writing down the total number of hours of sleep, the author wrote the gained hours of sleep (in relation to the Control column). If you check both tables (the one I posted and yours) you are going ...
by LBL
December 11th, 2012, 5:16 pm
Forum: Brainteaser Forum
Topic: Correlation
Replies: 24
Views: 13282

Correlation

And by the way, throught the whole book the author only mentions the "classifical" formula of correlation as an estimator for correlation. So I guess the different answer isnt due to the use of a different estimator for the correlation coefficient.
by LBL
December 11th, 2012, 7:37 am
Forum: Brainteaser Forum
Topic: Correlation
Replies: 24
Views: 13282

Correlation

<t>Sadly there arent more details. But I can still give you the introduction tp this experiment on pg. 149. Hold on."As an illustration of the use of the t distribution 'Student' considered some data showing the effects of two drugs in producing sleep. The sleep of ten patients was measured without ...
by LBL
December 10th, 2012, 9:24 am
Forum: Brainteaser Forum
Topic: Correlation
Replies: 24
Views: 13282

Correlation

<t>I checked, he really means r and not r^2. I know that because I checked the answer, where he explicits tells that r (and not r^2) is equal to 0.61. Besides that, the problem later asks you to do a significance test in order to test whether correlation os null or not. Then again, the answer provid...
by LBL
December 10th, 2012, 1:03 am
Forum: Brainteaser Forum
Topic: Correlation
Replies: 24
Views: 13282

Correlation

<t>Could someone help me with the following question? It's actually really simple. My calculated correlation coefficient is 0.79, while the official answer is 0.61."Use the data in table 19 on p. 149 to find the correlation between the hours of sleep gained by the use of hyoscyamine and of hyoscine....
by LBL
November 17th, 2012, 1:16 pm
Forum: Technical Forum
Topic: Jeffrey's Improper prios and posterior Probabilities
Replies: 0
Views: 9778

Jeffrey's Improper prios and posterior Probabilities

<r><URL url="http://mlg.eng.cam.ac.uk/zoubin/SALD/ImproperPriors.pdf">http://mlg.eng.cam.ac.uk/zoubin/SALD/ImproperPriors.pdf</URL> ==> Page 14 of 17"Recall that, by integrating out s from the joint posterior p(u | x, s²) is such that, sqrt(n)*(u-x)/s has a Student's t-distribution with n-1 df"Shoul...
by LBL
November 16th, 2012, 8:51 pm
Forum: Brainteaser Forum
Topic: Jeffreys' Improper Priors and Posterior Probabilities
Replies: 0
Views: 10734

Jeffreys' Improper Priors and Posterior Probabilities

<r><URL url="http://mlg.eng.cam.ac.uk/zoubin/SALD/ImproperPriors.pdf">http://mlg.eng.cam.ac.uk/zoubin/SALD/ImproperPriors.pdf</URL> ==> Page 14 of 17"Recall that, by integrating out s from the joint posterior p(u | x, s²) is such that, sqrt(n)*(u-x)/s has a Student's t-distribution with n-1 df"Shoul...
by LBL
September 28th, 2012, 5:24 pm
Forum: Brainteaser Forum
Topic: Cells in Suspension
Replies: 18
Views: 12728

Cells in Suspension

Outrun, agree completely with you. Just one thing, what would be the practical consequences of using "actual is within..." instead of "estimate is within"? Why do you personally prefer it? Another thing, calculating the number of cells using it I get 346 as the answer.
by LBL
September 27th, 2012, 6:56 pm
Forum: Brainteaser Forum
Topic: Cells in Suspension
Replies: 18
Views: 12728

Cells in Suspension

<t>Traden and outrun,The idea of diving the volume by squares is what I'm thinking. I'm also thinking that the probability of finding a cell in a square is REALLY small, but you have many Squares (that's why it follows a Poisson Distribution). Second, we consider the Volume V to be really large. The...
by LBL
September 27th, 2012, 1:39 pm
Forum: Brainteaser Forum
Topic: Cells in Suspension
Replies: 18
Views: 12728

Cells in Suspension

<t>We want to estimate the cell concentration of cells in suspension. How many cells do you have to count to be 95% confident that the sample cell concentration is within 10% of the correct (true) value?The author's answer is 400. Mine is 384. What am I doing wrong or is it just a question of approx...
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