SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Mukuzani
March 16th, 2004, 10:17 pm
Forum: Off Topic
Topic: French headscarf ban
Replies: 257
Views: 198676

French headscarf ban

<t>"... there are two good things in life, freedom of thought and freedom of action.In France you get freedom of action: you can do what you like and nobody bothers, but you must think like everybody else. In Germany you must do what everybody else does, but you may think as you choose. They’re both...
by Mukuzani
March 2nd, 2004, 5:39 pm
Forum: General Forum
Topic: Portfolio Correlation
Replies: 2
Views: 189507

Portfolio Correlation

<t>QuoteOriginally posted by: aptenodyteDoes anyone know how to calculate the correlation of two portfolios directly from the covariance matrix?i.e. if I have a CAPM model r(i) = B(i)*mkt+e(i) which gives me cov matrix C when B(i) and sigma(i) are known or estimatedhow would I calculate the correlat...
by Mukuzani
February 13th, 2004, 3:55 am
Forum: General Forum
Topic: Modeling Seasonal Volatility
Replies: 3
Views: 189461

Modeling Seasonal Volatility

<r>Couple of days ago I downloaded the paper M.Richter&C.Sorensen "Stochastic Volatility and Seasonality in Commodity Futures and Options : The Case of Soybeans", 2000. This is a generalization of a Schwartz (1997) model <URL url="http://www.nek.lu.se/ryde/wsef/Richter.pdf">http://www.nek.lu.se/...
by Mukuzani
February 11th, 2004, 6:41 am
Forum: Off Topic
Topic: Idiot
Replies: 2
Views: 189147

Idiot

Watched 10 series Idiot, 2003 (dir. Vladimir Bortko, Myshkin- Evgeny Mironov). Definitely the best movie after Dostoevsky and might be better than the novel. English subtitles has nothing to do with Dostoevsky's language, but if you read (reread) the novel first - you will enjoy it.
by Mukuzani
December 28th, 2003, 3:44 am
Forum: Off Topic
Topic: The Piano, The Pianist, The Piano Teacher
Replies: 5
Views: 189201

The Piano, The Pianist, The Piano Teacher

The Piano is among my favorite films: the actors, Nyman's music and the permanent rain - everything is outstanding, The Piano Teacher is better than the book, The Pianist is made to win awards - too politically correct.
by Mukuzani
October 29th, 2003, 3:03 am
Forum: Technical Forum
Topic: Quanto Barrier options
Replies: 3
Views: 189653

Quanto Barrier options

I cannot see any problems. The similarity between quantos and options on stocks with dividends would hold for barrier options.
by Mukuzani
October 22nd, 2003, 6:51 pm
Forum: Technical Forum
Topic: covariance between a basket and index????
Replies: 1
Views: 189064

covariance between a basket and index????

You got it
by Mukuzani
August 9th, 2003, 3:32 am
Forum: General Forum
Topic: Random walk and technical analysis: New Perspective
Replies: 74
Views: 194225

Random walk and technical analysis: New Perspective

Hey guys, did you really take a look at the paper?The only conclusion that can be made from their analysis is that the random generator they used is very bad.
by Mukuzani
August 1st, 2003, 7:05 pm
Forum: Off Topic
Topic: Programming Language Inventor Quiz
Replies: 31
Views: 190758

Programming Language Inventor Quiz

also 9/10, and ed gein again
by Mukuzani
August 1st, 2003, 6:52 pm
Forum: Off Topic
Topic: Woland, Behemoth, et al....
Replies: 36
Views: 191161

Woland, Behemoth, et al....

Quote I recommend Nabokov's preface to English edition of "Lolita" for discussion of relative advantages of Russian and English. There hardly ever was anyone more qualified to judge that then him.You mean Russian edition, don't you?Originally Lolita was written in English.
by Mukuzani
July 28th, 2003, 9:13 pm
Forum: Off Topic
Topic: Profound Quotes
Replies: 642
Views: 227115

Profound Quotes

QuoteContemplating a career change, zerdna? It's not so easy If zerdna has an experience in relations with clients it shouldn't be a problem - pussycats instead of fat cats.
by Mukuzani
July 25th, 2003, 5:05 pm
Forum: Off Topic
Topic: needless bureaucracy
Replies: 11
Views: 190006

needless bureaucracy

<r>QuoteOriginally posted by: FDAXHunterWell, I deal more with 6 sigma moves than 6 sigma people, but I personally think that all this MBA bullshit is totally opposed to doing clean, efficient business. For one thing, I completely agree with you that their good points are common sense anyway and the...
by Mukuzani
July 25th, 2003, 4:52 pm
Forum: Technical Forum
Topic: Kolmogorov Backward Equation
Replies: 4
Views: 189819

Kolmogorov Backward Equation

<r>I mean "Derivatives" that is always on my desk. PWQF is the extension of this book. If you want to learn about the methods of PDE solutions the differences are not important. Sorry, I don't remember what is in 'Mathematics for financial derivatives' For more systematic approach follow elan's reco...
by Mukuzani
July 25th, 2003, 3:04 pm
Forum: Technical Forum
Topic: Kolmogorov Backward Equation
Replies: 4
Views: 189819

Kolmogorov Backward Equation

The immortal classic isH.S. Carslaw & J.C. Jaeger, Codduction of Heat in Solids.for American options see also J. Crank, Free and Moving Boundary Problems.In Finance PW is the best.
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