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by bayes
December 27th, 2002, 4:42 pm
Forum: Off Topic
Topic: Quantitative Finance FAQ?
Replies: 34
Views: 194111

Quantitative Finance FAQ?

Let me add Baxter & Rennie and maybe Numerical Recipes in C to the cross-reference textbook list ... although this list should be very short (the de facto standards)
by bayes
December 27th, 2002, 4:39 pm
Forum: Off Topic
Topic: Quantitative Finance FAQ?
Replies: 34
Views: 194111

Quantitative Finance FAQ?

<t>Actually I wasn't thinking of a web-based FAQ, although as reza says the c++ faq is continually updated and could provide a convenient place to browse (an alternative to the search engine on wilmott.com). I was envisioning an edited book ala Cline & Lomow's C++ FAQ, possibly with CD for some ...
by bayes
December 26th, 2002, 5:46 pm
Forum: Off Topic
Topic: Quantitative Finance FAQ?
Replies: 34
Views: 194111

Quantitative Finance FAQ?

<t>I was only half-serious when I wrote the first post -- generally when I see others write posts like that (i.e. suggesting a cool but time-consuming project) I think "good idea -- you knock yourself out with that, chap!" But it's good to hear that there'd be interest in such a project (thank you N...
by bayes
December 26th, 2002, 3:17 am
Forum: Student Forum
Topic: How to put the stochastic volatility property into the binomial tree?
Replies: 2
Views: 189680

How to put the stochastic volatility property into the binomial tree?

<r>>> But does anybody know how to put the stochastic property into the binomial tree? ... The problem is I have two stochastic diffusion process. One is the forward >> LIBOR rate(df/f), and the other is the stochastic volatility(dv).You might want to check out Hilliard & Schwartz, "Binomial Opt...
by bayes
December 23rd, 2002, 5:26 pm
Forum: Book And Research Paper Forum
Topic: Fixed Income
Replies: 11
Views: 191559

Fixed Income

<t>QuoteOriginally posted by: OmarI'm not so sure how to phrase this carefully: There seems to be two types of books on fixed income/interest rate securities:1. Those that are based on determinitic models: These include all of Fabozzi's many many books (the man has his own publishing company), Garba...
by bayes
December 23rd, 2002, 3:36 pm
Forum: Off Topic
Topic: lottery for magicians
Replies: 7
Views: 190573

lottery for magicians

<t>>> A week before, he wrote his prediction on a book, which was put into a sealed box. One minute after the first price was known, on >> a TV show they opened the box, and the book, to reveal that the right number was written in the book!!Nicholas Taleb describes a suspiciously similar amazing pre...
by bayes
December 23rd, 2002, 3:16 pm
Forum: Off Topic
Topic: Thank You
Replies: 16
Views: 191458

Thank You

<t>>> First of all i would like to thank Paul and every single person for launching and maintaining this brilliant idea, and then i would like >> to thank Aaron, Pat, Johny, and James. Clearly you are among the best lecturers i ever had I heartily agree -- thanks guys, happy holidays. </t>
by bayes
December 23rd, 2002, 1:31 pm
Forum: Programming and Software Forum
Topic: Excel Matrix Question
Replies: 7
Views: 190364

Excel Matrix Question

<t>AthleteScholar -- A few problems here ... not sure the problem is well-posed: (1) The inequalities make this system under-determined -- is this intentional? You'll probably want to introduce non-negative dummy variables dummy1 >= 0 and dummy2 >= 0 so your system would then be:FIND x1, x2, and x3,...
by bayes
December 21st, 2002, 5:26 pm
Forum: Off Topic
Topic: Quantitative Finance FAQ?
Replies: 34
Views: 194111

Quantitative Finance FAQ?

I wonder if the wealth of knowledge and wisdom exchanged at wilmott.com to date could be culled into a FAQ textbook ... w/extra royalties due to Aaron Brown
by bayes
December 21st, 2002, 5:17 pm
Forum: Book And Research Paper Forum
Topic: Quant books for market risk people
Replies: 3
Views: 189900

Quant books for market risk people

I wholeheatedly recommend Carol Alexander's "Market Models".
by bayes
December 21st, 2002, 2:27 pm
Forum: Off Topic
Topic: Profound Quotes
Replies: 642
Views: 249164

Profound Quotes

"I protest against the use of infinite magnitude as something accomplished, which is never permissible in mathematics. Infinity is merely a figure of speech, the true meaning being a limit." - C.F. Gauss
by bayes
December 20th, 2002, 3:36 pm
Forum: Technical Forum
Topic: Positive Gamma-Positive Theta: Where do you lose?
Replies: 8
Views: 191413

Positive Gamma-Positive Theta: Where do you lose?

The theta of a deep put is mostly interest. The SPX Dec 1100 put (which expires today) is 200 bucks in the money, its theta = +$0.01. This is just interest, the cost of carrying the hedge portfolio for one day -- there is 0 optionality value left in this put.
by bayes
December 20th, 2002, 12:57 pm
Forum: Off Topic
Topic: .
Replies: 18
Views: 191100

.

<t>*** What if a golfball goes in a pond, and I can't bring myself to wade in after it. Is that an event horizon? ***Think of it this way: take a 3 iron, fire the golf ball toward a real event horizon ... from the ball's perspective, it falls (unhappily) past the event horizon never to be heard from...
by bayes
December 20th, 2002, 2:26 am
Forum: Off Topic
Topic: 12,000 pages of Arabic Text
Replies: 663
Views: 272132

12,000 pages of Arabic Text

DireStraits >> ... philosophy is useless, theology is worse ... Actually the best lyric in that song is "Two men say they're Jesus; one of them must be wrong."
by bayes
December 19th, 2002, 6:06 pm
Forum: Off Topic
Topic: .
Replies: 18
Views: 191100

.

Happy reading. Maybe we'll discuss someday over a beer or two ... or three ...