Could anyone share so light on convertible bonds market here in EU and UK?
How big is the market?
Who are the players, costumers, which software do they use?
Any books, notices, blog posts are welcome.

I know that Ito33 is/was sort of big there, but their site is not very active.

Well, some of Collector's postings invite themselves to be commented.

Shouldn't we have a possibility to leave comments in the blogsas everywhere? Or the danger of trolling is too big?

How does LAP is going to pay you?Or is it samizdat?

<t>No, how you will be able to replicate, say call at the money of the first asset? (there are too many possibilities)The one period market is complete iff you have n possible future states and n-1 differentlinearly independent risky assets. If You have a continuum...(well, a countable number of ass...

Is Mr Kat able to reproduce alpha of, say, Renaissance Technologies?At least it's _not_ what he claims in here

Calculator this one?Lotus 123 is dead loooong ago.Re: open office thingie, I wouldn't suggest it. I couldn't find a decent VBA equivalent in it...

<t>Your opinions?I've looked throught the Van Global Hedge Fund Indexand S&P Hedge Fund Index.From what I read I've understood that:First of all they define several categories of strategies(Arbitrage, Event Driven, etc) which in their humble opinion represent main types of hedge funds.ThenVAN ju...

try Jarrow's site http://www.johnson.cornell.edu/faculty/ ... jarrow/HTH

Well, these are preprint versions. Or do You need official ones? I wiil be of no help to You here.HTH

check google, or go directly to Citeseer

Maybe I'm too stupid this morning but hey, what I've got to looseMy two cents:It's easy to check thatE(X_{n+1}|F_n)=X_nTherefore for any n>mE(X_{n}|F_{m})=E..E(E(X_{n}|F_{n-1})|F_{n-2})....|F_{m})=E..E(E(X_{n-1}|F_{n-2})....|F_{m})= ... =X_mQEDHTH

Moi non plus...I'll test it when the occasion arises...

<t>It was over whole R^n, but out of big interval, there is no big difference (the parameters over whichthe integration should have been done are sort of normal).Actually, I've found another way: as Shadoks (the French cartoon caracters) say 'If there is no solution, then there is no problem!'... ( ...

Thanks... I should precise the question. The function to approximate is a black box, therefore the real problem ishow to choose the (say, interpolation) points. Or maybe just OLS, but, again, which points one has to choose.