Serving the Quantitative Finance Community

Search found 23 matches

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by gnunk
July 16th, 2003, 12:49 am
Forum: General Forum
Topic: Risk Free Rate - Treasury or LIBOR curve?
Replies: 20
Views: 193415

Risk Free Rate - Treasury or LIBOR curve?

thank you all for your informative but sarcastic advice.
by gnunk
July 15th, 2003, 7:37 am
Forum: General Forum
Topic: Risk Free Rate - Treasury or LIBOR curve?
Replies: 20
Views: 193415

Risk Free Rate - Treasury or LIBOR curve?

<t>hello, what is the opinion of you guys out there on this subject? e.g. pricing options. since the libor curve is higher than the UST curve, the fwd prices would be higher hence calls would be slightly more cheaper if implied using LIBOR curves. also, the discount factors would be lower for LIBOR ...
by gnunk
July 7th, 2003, 8:56 am
Forum: General Forum
Topic: Help on Cut-Loss Policies
Replies: 15
Views: 190542

Help on Cut-Loss Policies

<t>thank you andym. u have been the most helpful among the lot.so last question about the parameters :the riskier the product, the higher or lower the stop-loss amount?i feel that a higher stop loss would be in order for riskier products. if lower, it would defeat the purpose of investing in a risky...
by gnunk
July 7th, 2003, 2:45 am
Forum: General Forum
Topic: Help on Cut-Loss Policies
Replies: 15
Views: 190542

Help on Cut-Loss Policies

<t>can you guys give me a serious answer from a risk management perspective for a trading house guys?> Stop losses should be set for individual (or correlated) trades, rather than by portfolio, otherwise you end up funding your losers with your winners and breaking one of the few iron rules of tradi...
by gnunk
July 4th, 2003, 6:48 am
Forum: General Forum
Topic: Help on Cut-Loss Policies
Replies: 15
Views: 190542

Help on Cut-Loss Policies

<t>Hi, can somebody tell me how does their bank implement cut-loss policies for bond or derivatives trading?e.g. for US Treasuries, Eurodollar futures and Corporate bonds...Is it a % figure? e.g. 10% of initial purchase proceeds? By individual trade? By consolidated porfolio?Thank you in advance! </t>
by gnunk
June 5th, 2003, 6:34 am
Forum: Careers Forum
Topic: NTU Financial Engineering
Replies: 28
Views: 198642

NTU Financial Engineering

side track... does anybody have contacts for openings in Singaporean hedge funds? any website or head hunters to recommend?
by gnunk
April 14th, 2003, 4:56 am
Forum: Off Topic
Topic: I Love the Iraqi Information Minister
Replies: 5
Views: 189893

I Love the Iraqi Information Minister

Check out my new icon !
by gnunk
April 2nd, 2003, 2:57 am
Forum: General Forum
Topic: Volatilities for exotic options
Replies: 32
Views: 192478

Volatilities for exotic options

you mean mark-to-market using historical vol? is that good practice?
by gnunk
April 2nd, 2003, 2:12 am
Forum: General Forum
Topic: Volatilities for exotic options
Replies: 32
Views: 192478

Volatilities for exotic options

<t>hi guys...don't mean to hijack this thread, but can you guys give advice on how to mark-to-market OTC options without any implied vol from exchange traded options to speak of ? what is the common practice ? say we have a convertible bond and we strip out the option component to sell to clients. t...
by gnunk
April 2nd, 2003, 12:58 am
Forum: General Forum
Topic: Exact formula for interest rate futures
Replies: 12
Views: 192721

Exact formula for interest rate futures

<t>since there is a bond future expert here, can i ask FDAXHunter something?my bank wants to hedge a bunch of USD corporate credits quoted at T+spread by shorting UST Futures - this is to isolate the credit spread which my bank wants to trade. based on mock trading on real prices, there seems to be ...
by gnunk
March 14th, 2003, 12:00 am
Forum: Off Topic
Topic: Scuba Diving
Replies: 13
Views: 190510

Scuba Diving

I'm currently based in Malaysia
by gnunk
March 12th, 2003, 12:10 am
Forum: Off Topic
Topic: Scuba Diving
Replies: 13
Views: 190510

Scuba Diving

boy. hearing diving stories in the UK make me so grateful for where i am currently based
by gnunk
March 7th, 2003, 1:41 am
Forum: General Forum
Topic: Option Data needs
Replies: 12
Views: 190319

Option Data needs

<t>hi,just to let you guys know, there is an exchange traded options market in Malaysia (index options) but volume nowadays has been zero for the past 3 years and counting. liquidity has gone away along with the 'foreigners' since the capital controls in 1998. the local index futures market is more ...
by gnunk
March 7th, 2003, 1:35 am
Forum: General Forum
Topic: Moving to Asia ?
Replies: 28
Views: 192083

Moving to Asia ?

hey vengeance,can you personal message me more about the opening in UBSW? how did you hear abt it?
by gnunk
March 7th, 2003, 1:30 am
Forum: Off Topic
Topic: Scuba Diving
Replies: 13
Views: 190510

Scuba Diving

<t>aquaG,i'm currently based in malaysia and there is a myriad of diving sites available here. You get to see a lot of turtles, barracudas, rays, garoupas, snappers, lionfish and other little fishies here. i haven't really seen any really huge fishes yet like sharks. maybe if you go further into the...
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