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by Alan
Yesterday, 9:46 pm
Forum: General Forum
Topic: Why is there prepayment risk for a TBA?
Replies: 1
Views: 130

Re: Why is there prepayment risk for a TBA?

Not really my area, but since our fixed income gurus haven't answered, I'll take a shot. If interest rates drop a lot before delivery, then the pool you end up with will likely pre-pay faster than it would have otherwise. After all, it must take some time to package the mortgages, so presumably many...
by Alan
December 13th, 2019, 8:37 pm
Forum: Book And Research Paper Forum
Topic: Volswaps in SV models driven by fractional noise
Replies: 3
Views: 225

Re: Volswaps in SV models driven by fractional noise

Yes, it does -- thanks.  Any comment on whether or not your [$]\sigma_t^2[$] is a martingale (under some filtration)? I really don't know. I assume my question is answered in the literature on the fractional Black-Scholes model, but my googling skills are failing me on that point today. So, if it is...
by Alan
December 13th, 2019, 4:43 pm
Forum: Book And Research Paper Forum
Topic: Volswaps in SV models driven by fractional noise
Replies: 3
Views: 225

Re: Volswaps in SV models driven by fractional noise

I just skimmed it and know almost nothing about fractional-noise volatility models. So, this is likely a very naïve comment.  Suppose a world where the risk-neutral volatility evolves as your (5.1),  assuming [$]H \not= \frac{1}{2}[$], and vanilla calls on the stock price, variance swaps and volatil...
by Alan
December 11th, 2019, 10:10 pm
Forum: Off Topic
Topic: Creationism vs. Evolutionism
Replies: 589
Views: 202872

Re: Creationism vs. Evolutionism

Can New Species Evolve From Cancers? Maybe. Here’s How. While Panchin was writing about transmissible cancers, he heard his colleagues express surprise at the genes for complex tissues that were turning up in certain unusual but simple parasitic animals. Further conversations led to what Panchin ca...
by Alan
December 10th, 2019, 4:22 am
Forum: Off Topic
Topic: Melodic Metal
Replies: 448
Views: 47952

Re: Melodic Metal

RATM -- Coachella 2020!

Trust me -- it will look like this:
(well, except the Besame Mucho art likely won't be there) 

Image

https://www.instagram.com/p/B4Tw4qFlA3D/
by Alan
December 10th, 2019, 3:58 am
Forum: Off Topic
Topic: A serious and good Wilmott thread could be written consisting entirely of jokes
Replies: 31
Views: 1191

Re: A serious and good Wilmott thread could be written consisting entirely of jokes

So, it's the bad sexist joke thread, eh? A blonde is watching the news with her husband when the newscaster says, "Six Brazilian men die in a skydiving accident." The blonde starts crying to her husband, sobbing, "That's horrible!" Confused, he replies, "Yes Dear, it is sad, but they were skydiving...
by Alan
December 10th, 2019, 3:24 am
Forum: Careers Forum
Topic: Front-office Quant trying to switch to Research
Replies: 4
Views: 309

Re: Front-office Quant trying to switch to Research

My advice is to aggressively network. Find out who is doing what you want to do; are they speaking at conferences? Attend and introduce yourself. Ask them how they recruit. Ask them what they look for in qualified candidates.  Hoping some headhunter will do this basic legwork for you may not advance...
by Alan
December 8th, 2019, 9:45 pm
Forum: Politics Forum
Topic: UK and the EU: In or out?
Replies: 2188
Views: 96955

Re: UK and the EU: In or out?

The many people in NYC with one leg shouting at lampposts probably don’t take part in online questionnaires.

(Who will be first with the punchline?!)
Free laptops for all crazy homeless people! 
by Alan
December 8th, 2019, 4:28 pm
Forum: Politics Forum
Topic: UK and the EU: In or out?
Replies: 2188
Views: 96955

Re: UK and the EU: In or out?

One of the interesting things about that unredacted document, the one all the  fuss is about, is the difference between the US and EU approaches to, well, everything. It seems that the difference between the legal systems also applies to business. I.e. in the US anything goes unless it is forbidden...
by Alan
December 7th, 2019, 4:03 am
Forum: Politics Forum
Topic: General Election 2019
Replies: 385
Views: 10329

Re: General Election 2019

I'm with Boris. First they ban the burka, then they ban Daft Punk ...

Image
by Alan
December 2nd, 2019, 4:35 pm
Forum: Technical Forum
Topic: volatility
Replies: 3
Views: 232

Re: volatility

Ignoring the delta-hedgeable requirement, my thought was a capped variance swap, as the cap is triggered by the total variance. 
by Alan
December 2nd, 2019, 3:46 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 797
Views: 83000

Re: End of bitcoin?

Cautionary story for investors: Cryptoqueen: How this woman scammed the world, then vanished My experience with one of the London unis taught me not to attach too much value to people's diplomas, even if from Oxford (a talented scientist can turn out to be a talented sneaky cheater, often protected...
by Alan
December 1st, 2019, 10:18 pm
Forum: Off Topic
Topic: Predictions for 2020
Replies: 30
Views: 664

Re: Predictions for 2020

you missed Daniel's link.
by Alan
December 1st, 2019, 10:11 pm
Forum: Off Topic
Topic: Predictions for 2020
Replies: 30
Views: 664

Re: Predictions for 2020

Haha -- yes, in SoCal. Here is further `proof' of my prediction. 
by Alan
December 1st, 2019, 9:02 pm
Forum: Off Topic
Topic: Predictions for 2020
Replies: 30
Views: 664

Re: Predictions for 2020

It will *not* rain on the Rose Parade in Pasadena on New Years day.
(In my lifetime, such rain has happened only twice). 
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