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by NeroTulip
October 19th, 2004, 3:08 pm
Forum: Technical Forum
Topic: periodic cap
Replies: 1
Views: 171102

periodic cap

<t>I'm looking at a Euro MTN that pays Euribor+X, with each coupon capped at the previous coupon+20.It is like buying an FRN and selling an option. The option is almost a bunch of forward starting caps, but not exactly (am I right?). Hmmm... how do I price this without too much effort? Forward smile...
by NeroTulip
September 26th, 2004, 3:35 pm
Forum: Off Topic
Topic: russian
Replies: 10
Views: 174280

russian

QuoteOriginally posted by: playerQuoteThese are not necessarily the words to get russian chick to part with her underwear What is??"Take off your clothes, we're going to my yatch" should do the trick.
by NeroTulip
September 17th, 2004, 8:05 am
Forum: Off Topic
Topic: New York Wilmotters Meet for Drinks
Replies: 393
Views: 213396

New York Wilmotters Meet for Drinks

I'd be interested in a copy too.Does Huberman own a stake in a money management firm that he may want to sell?
by NeroTulip
September 5th, 2004, 1:37 am
Forum: Careers Forum
Topic: What's with the French and Mathematics ?
Replies: 20
Views: 178849

What's with the French and Mathematics ?

Well definitely the Normaliens from Ulm are aliens. Some are able to have a regular conversation though. And some even trade Can somebody estimate the proportion of exotic traders in London who are french? I don't know everybody in the City, far from it, but there seems to be a pattern...
by NeroTulip
September 3rd, 2004, 6:24 am
Forum: Student Forum
Topic: Simple qn on stochastic vol model
Replies: 3
Views: 176627

Simple qn on stochastic vol model

Any ideas why it is not a slam dunk? What's wrong with this kind of models and what could be done to better them?
by NeroTulip
August 18th, 2004, 11:51 am
Forum: Technical Forum
Topic: Convexity in Eurodollar Futures
Replies: 4
Views: 178255

Convexity in Eurodollar Futures

I'm glad we're in agreement on this point.It seems to me you're about where Rentech was after they hired that string guy. You must be doing well these days.
by NeroTulip
August 17th, 2004, 10:52 pm
Forum: Technical Forum
Topic: Convexity in Eurodollar Futures
Replies: 4
Views: 178255

Convexity in Eurodollar Futures

No Newton, the convexity of eurodollar futures comes from the fact that they live on a curved manifold. Any former army code breaker knows that.
by NeroTulip
August 12th, 2004, 3:21 pm
Forum: Technical Forum
Topic: High frequency data..how high?
Replies: 6
Views: 178985

High frequency data..how high?

When people speak about exponential decay or power decay, what does it mean exactly? I understand it's about the tails of the distribution, but what is the variable decaying, and relative to what?
by NeroTulip
August 11th, 2004, 7:01 am
Forum: Off Topic
Topic: GAMING THE SYSTEM?
Replies: 24
Views: 180307

GAMING THE SYSTEM?

What's wrong with squeezing the sitting ducks?
by NeroTulip
August 9th, 2004, 8:10 am
Forum: Forum and Website Bugs and Suggestions
Topic: private message problem
Replies: 5
Views: 180595

private message problem

It could be because the user you tried to PM has been banned, no?
by NeroTulip
August 6th, 2004, 3:47 pm
Forum: Careers Forum
Topic: EDF Trading
Replies: 4
Views: 179795

EDF Trading

Mmmm, they do operate a couple nuclear power plants...
by NeroTulip
August 2nd, 2004, 8:17 am
Forum: Student Forum
Topic: US Style Option Vs European Style Option Volatilities
Replies: 21
Views: 181258

US Style Option Vs European Style Option Volatilities

... Internet troll awards ceremony, dec 2004:"And the troll of the year award goes to... Si!!!! Take example, Newton, no need for Banach space incantations, just plain old insults do the trick"Mohohohohahahahaha
by NeroTulip
August 1st, 2004, 7:53 pm
Forum: Forum and Website Bugs and Suggestions
Topic: do topics disappear after a while
Replies: 21
Views: 193728

do topics disappear after a while

There used to be a long thread (200ish posts) about cap/swaption abritrage... I can't find it anymore. Is it somewhere in the matrix?
by NeroTulip
July 28th, 2004, 5:36 pm
Forum: Off Topic
Topic: So bad they're good...
Replies: 30
Views: 187021

So bad they're good...

What did the eskimo say to the schoolgirl?"Are you in ice school?"Ahahahahahahahahahahha....ahahahahaha
by NeroTulip
July 23rd, 2004, 8:20 pm
Forum: Student Forum
Topic: Constant Maturity Swaps
Replies: 11
Views: 186616

Constant Maturity Swaps

<t>Wouldn't there be a strange signalling effect: Company XYZ buying protection on... XYZ, hmmm. It's much more fun to sell protection on your own name.... That is, if you can find buyers. Another question: how are the fixings for a constant maturity leg determined? Is there an official source like ...
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