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by MCarreira
September 8th, 2016, 12:12 am
Forum: Book And Research Paper Forum
Topic: Volatility books 2016
Replies: 62
Views: 9293

Re: Volatility books 2016

"The Volatility Smile" by Emanuel Derman is now available:

The Volatility Smile
by MCarreira
July 7th, 2016, 6:45 pm
Forum: Book And Research Paper Forum
Topic: Quant Business Book: Manufacturing and Managing Customer-Driven Derivatives
Replies: 8
Views: 1224

Quant Business Book: Manufacturing and Managing Customer-Driven Derivatives

<t>Bought it at the Wiley stand during the Global Derivatives event.It is a good book, with practical details (like CME x LCH basis) showing how up-to-date it is.It doesn't have as much on FX as I would like, but it covers a wide range of products and most modern developments in models.Recommended. ...
by MCarreira
May 11th, 2016, 11:07 pm
Forum: General Forum
Topic: Minimum Time and Tick for Equities - Minimums, Boundaries
Replies: 3
Views: 856

Minimum Time and Tick for Equities - Minimums, Boundaries

<t>There is also the relationship between the tick size and the expected duration (expected time to a trade at a different price).Dayri and Rosenbaum submitted their paper to the SEC as part of the Tick Size Pilot Program Dayri and RosenbaumI used the Robert and Rosenbaum model and some calculations...
by MCarreira
April 9th, 2016, 7:37 pm
Forum: Book And Research Paper Forum
Topic: Upcoming book: Brazilian Derivatives and Securities (FX and IR focus)
Replies: 5
Views: 4997

Upcoming book: Brazilian Derivatives and Securities (FX and IR focus)

Hansi,Thanks for the feedback, will pass it to editors.
by MCarreira
April 7th, 2016, 11:23 pm
Forum: Book And Research Paper Forum
Topic: Upcoming book: Brazilian Derivatives and Securities (FX and IR focus)
Replies: 5
Views: 4997

Upcoming book: Brazilian Derivatives and Securities (FX and IR focus)

Now available (including on Kindle). You can buy it (or check the Table of Contents) here:Brazilian Derivatives and Securities: Pricing and Risk Management of FX and Interest-Rate Portfolios for Local and Global Markets - Kindle Edition
by MCarreira
September 5th, 2015, 12:22 am
Forum: Book And Research Paper Forum
Topic: Upcoming book: Brazilian Derivatives and Securities (FX and IR focus)
Replies: 5
Views: 4997

Upcoming book: Brazilian Derivatives and Securities (FX and IR focus)

<t>Available for pre-order at Amazon: Brazilian Derivatives and Securities: Pricing and Risk Management of FX and Interest-Rate Portfolios for Local and Global Markets Better than your 6 pages on the standard Emerging Markets Handbook published by some bank every two years. History of the market, he...
by MCarreira
April 1st, 2014, 11:55 am
Forum: Brainteaser Forum
Topic: 2048 game
Replies: 78
Views: 14148

2048 game

It's worth looking at the original:ThreesInteresting comments on strategy here:Ryan ClarkAnd yes, Collatz is a big time sink was well.
by MCarreira
May 21st, 2013, 5:36 pm
Forum: Brainteaser Forum
Topic: Hard brainteaser: how to optimally park a car?
Replies: 46
Views: 10922

Hard brainteaser: how to optimally park a car?

<t>The problem is not completely reversible (in practice) because when parking, you have a goal that does not allow for much variation (as parallel as possible, not too close to the other cars, not too far from the curb, ...) and some intermediate states force you to get out and start again.When lea...
by MCarreira
May 21st, 2013, 1:19 am
Forum: Brainteaser Forum
Topic: Hard brainteaser: how to optimally park a car?
Replies: 46
Views: 10922

Hard brainteaser: how to optimally park a car?

Optimal maneuvering
by MCarreira
May 15th, 2013, 10:27 pm
Forum: Brainteaser Forum
Topic: Hard brainteaser: how to optimally park a car?
Replies: 46
Views: 10922

Hard brainteaser: how to optimally park a car?

Solution: Kung-FuShaolin Soccer
by MCarreira
December 19th, 2012, 1:29 pm
Forum: Trading Forum
Topic: Delta Exchange with a Client
Replies: 6
Views: 13366

Delta Exchange with a Client

If a market maker is quoting the option, vol does not change as much as the spot. If you have to quote just the option, the spread will incorporate the spread of the delta hedge as well, and you'll need to update the prices quickly. It's one way of quoting, not the only way of quoting.
by MCarreira
December 17th, 2012, 8:14 pm
Forum: Trading Forum
Topic: Delta Exchange with a Client
Replies: 6
Views: 13366

Delta Exchange with a Client

It's a way of trading vol without having to change prices every 0.5 seconds, outrun got it.
by MCarreira
December 3rd, 2012, 10:48 pm
Forum: Brainteaser Forum
Topic: Coin problems: your days of solving with pencil and paper are over
Replies: 16
Views: 11722

Coin problems: your days of solving with pencil and paper are over

<t>I believe that what you're describing looks like this:System ModelerBack to the PDFs ...Follow these steps to suppress font embedding.Go to Format > Option Inspector. In the 'Scope' field, select 'GlobalPreferences'. In the 'Search' field, type in 'Embed'. The dialog should bepopulated. One of th...
by MCarreira
December 2nd, 2012, 6:55 pm
Forum: Brainteaser Forum
Topic: Coin problems: your days of solving with pencil and paper are over
Replies: 16
Views: 11722

Coin problems: your days of solving with pencil and paper are over

Workaround:Print as PDF (thanks to a friend who pointed this out).The whole thing now uploaded.
by MCarreira
December 1st, 2012, 3:33 pm
Forum: Brainteaser Forum
Topic: Coin problems: your days of solving with pencil and paper are over
Replies: 16
Views: 11722

Coin problems: your days of solving with pencil and paper are over

Do not upgrade !Serious problems in saving PDFs.For Windows serious problems with fonts (official email).
GZIP: On