SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 6 matches

by Sara
July 29th, 2009, 8:04 pm
Forum: General Forum
Topic: List of commercially available packages for banks
Replies: 1
Views: 36058

List of commercially available packages for banks

<t>Hi All,I am a student writing a paper on commercially availalbe packages providing banking soutions. Does any one has any list containing all the commercially available packages for banks?For example:Loan Originating Systems: for mortgages, for students loand, for commercial loans etc. etc.Tradin...
by Sara
February 20th, 2002, 1:13 pm
Forum: Technical Forum
Topic: VaR of a straddle -- Need your expert help:)
Replies: 11
Views: 191142

VaR of a straddle -- Need your expert help:)

<t>Dear Aaron,<br/> Thank you very much for your reply. I thought Options are nonlinear in nature and therefore deltanormal approach should not be close to the actual value. However, the Delta-gamma method should bring a better solution.<br/> <br/> You demonstrated that the actual var should be arou...
by Sara
February 20th, 2002, 12:21 am
Forum: Technical Forum
Topic: VaR of a straddle -- Need your expert help:)
Replies: 11
Views: 191142

VaR of a straddle -- Need your expert help:)

<t><br/> <br/> Dear Pat, <br/> I had some mistakes in the previous response. So please discard that and look at this one.<br/> <br/> Please have a look at them. <br/> <br/> Thanks a lot<br/> <br/> Sara <br/> ========================= <br/> <br/> <br/> $10000 of stocks at $35/share = 285.7 shares <br...
by Sara
February 19th, 2002, 11:22 pm
Forum: Technical Forum
Topic: VaR of a straddle -- Need your expert help:)
Replies: 11
Views: 191142

VaR of a straddle -- Need your expert help:)

<t>Dear Pat,<br/> Here are my calculations. I hope I have crunched the numbers ok.<br/> <br/> Please have a look at them.<br/> <br/> Thanks a lot<br/> <br/> Sara<br/> =========================<br/> <br/> <br/> $10000 of stocks at $35/share = 285.7 shares<br/> <br/> <br/> BlackShole Method to price C...
by Sara
February 19th, 2002, 7:12 pm
Forum: Technical Forum
Topic: VaR of a straddle -- Need your expert help:)
Replies: 11
Views: 191142

VaR of a straddle -- Need your expert help:)

<t>Dear Pat,<br/> <br/> Thank you very much for your quick reply. I want to make sure that I am crunching in the numbers ok. Is it ok if you could please give me the numbers assuming 3 months expiration time of the options.<br/> <br/> Or, would you mind if I submit my calculations so that you could ...
by Sara
February 19th, 2002, 5:58 pm
Forum: Technical Forum
Topic: VaR of a straddle -- Need your expert help:)
Replies: 11
Views: 191142

VaR of a straddle -- Need your expert help:)

<t>Dear Experts, <br/> I am an intern in a financial corp. I am trying to learn VaR. <br/> <br/> I need your help in the following problem. I am sure it may be real simple for many of you. But your help would help me a lot<br/> <br/> Say I have invested $10000 in a stock. The price per share is $35....
GZIP: On