<t>last guy i interviewed i asked him to derive expression for sigma(Firm Value) from sigma(Equity) as in the Merton 74 contextunlike others, i guess i also ask quite a few questions about the interviewee's knowledge of the literature; in my mind these questions are really good because they see how ...

<t>While personally I'd never go to graduate school because it's far too slow, in my mind some of the very best work right now is being done over at UCLA. They have a lot of really solid ideas going on over there right now.I don't know how academic you really want to get, but what I'd recommend is g...

<t>filthy i meant that the body of literature as a whole isn't that great, not that there aren't some useful individual articles. it's not the academics' fault, really. they just don't have access to the data and never will. you're just simply not going to see some guy using a CRSP data set say, wel...

<t>aaron the problem with PCA approaches on this type of problem comes from the fact that joint marginals aren't well behaved. you end up finding an orthogonal basis set that works well except for large comovements of the factors. considering that most dispersion trades are short the matrix this is ...

<t>Well, first of all, talking in terms of probability measures is pretty kooky when you can use god's way (PDE's) instead.The second point I'd like to make is that you don't HAVE to price in the risk-neutral world. Or the real one. If an arbitrage strategy exists then you can use whatever measure y...

<t>"the lion by his claw" ?? nice name, Mr 4th moment $$I'd enjoy helping you tremendously. I've been shoving your first edition off on my buddies for about three years now (think I got it in fall of 99 or so..)Have to say that I liked Fooled better, though, simply because you got to the meat of the...

<t>MobPsycho it's nice to read somebody on these boards with a "real" opinion.You come off like a pure cash trader? Is that true? The only dispute I have with any of your points is that ECN's add no value. 99% of the guys making markets in equities aren't that smart. You know it and I know it. So wh...

selling puts is the derivatives trading equivalent of driving your call into a wall at 80 mph because chicks dig it.

<t>Dispersion trades are very dangerous. One MAJOR point to make is that in down markets you're MUCH better off being long the matrix rather than short it; this is true across pretty much every single dispersive type situation. Just think of 87 (try to find a stock that went UP during the crash day)...

<t>1. Good marketmakers go after products where there is flow. It's marketmaking, not position trading. Read Wilmott 98 ch 30 if you want to see how market widths get determined. Pretty much all of marketmaking is an extension of the ideas in there..2. Depends on the firm. Most guys cover their delt...

boy that was a little bit of a shot, wasn't it?most people on this board would save themselves quite a bit of trouble if they spent more time reading and less time writing/positing halfhearted behavioral explanations.

screw the degree.get a job & read. work 60, learn 30.school is too slow and worthless.

<t>Most recent JoF has an article about survivor bias and the equity premium puzzle. Basically it says that survivorship bias likely only accounts for 1% of the excess returns in the US market. It's not bad.The question I find FAR more interesting than the equity premium:why are stocks so volatile?M...

one thing that people do is throw in a few really thinly sliced fully implicit steps near any big payoff discontinuities; this achieves the smoothing but you still some bit of oscillations and you're stuck doing extra timesteps; kinda defeats the point but that's what some players do.

<t>that's exactly what my mapping is doing, waagh. i never read the second wilmott, which is where i'm guessing he adresses his take on mapping.couple of finer points on it:1. i actually do get a higher concentration of points near the region of interest with this mapping; your dmap/ds is highest at...