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by jwbosu
November 17th, 2016, 2:32 pm
Forum: General Forum
Topic: Is Hedgable a word?
Replies: 24
Views: 2072

Re: Is Hedgable a word?

All, This post was originally written because, what I thought was, a commonly used finance term, was not defined in two of our often used dictionaries: Websters and Oxford.  Also, there are two ways this term is spelled in practice.  I thought I would ask the experts their opinion, I did, and it has...
by jwbosu
November 15th, 2016, 2:52 pm
Forum: General Forum
Topic: Is Hedgable a word?
Replies: 24
Views: 2072

Re: Is Hedgable a word?

I am not a copy editor.  Only a Finance/Risk professional that was ask this question by a colleague working on a strategy presentation for management. I also have very poor grammar even though English is my first language.  I did some additional research and found this site for adding -able to words...
by jwbosu
November 14th, 2016, 10:27 pm
Forum: General Forum
Topic: Is Hedgable a word?
Replies: 24
Views: 2072

Re: Is Hedgable a word?

Two things I notice in the comments.  One we do have a dictionary that defines this, though one for uncommon terms,  This is acceptable,  But, this dictionary shows that we have been misspelling and should be Hedgeable. Second, could we say "The portfolio is hedgeless?"  All other examples were for ...
by jwbosu
November 14th, 2016, 7:45 pm
Forum: General Forum
Topic: Is Hedgable a word?
Replies: 24
Views: 2072

Is Hedgable a word?

I was asked today if hedgable was a word.  I said yes, but it was pointed out to me that it is not in any dictionary.  A search of the forums here show it has actively been used.  I would also argue that many of our peered reviewed articles have it in them.  Also, a quick search using google returns...
by jwbosu
May 9th, 2007, 3:03 am
Forum: Off Topic
Topic: Nassim on Colbert Report
Replies: 0
Views: 71768

Nassim on Colbert Report

Did anyone watch Nissam on the Colbert Report?That took guts since Colbert is known for turning a guest's words around. Nissam was game.
by jwbosu
November 1st, 2004, 5:46 pm
Forum: Technical Forum
Topic: structured product on oil
Replies: 14
Views: 172952

structured product on oil

<t>An easy way to think of convenience yield is1. a producer/marketer is being paid to hold inventory, benefits my portfolio, positive convenience yield.2. a producer/ marketer is paying to hold inventory, hurts my portfolio, negative convenience yield.For Example the current US Nat Gas forward mark...
by jwbosu
February 12th, 2004, 3:20 pm
Forum: Numerical Methods Forum
Topic: Testing Monte Carlo Results
Replies: 4
Views: 190177

Testing Monte Carlo Results

df/F=mu dt + sigma dz.This is the BS lognormal SDE. df= F(t)-f(T-1). This model depends on past returns. In the continuous limit this is an AR(1) model in the price changes.
by jwbosu
February 11th, 2004, 9:47 pm
Forum: Technical Forum
Topic: PDE pricing by local volatility
Replies: 14
Views: 190335

PDE pricing by local volatility

<t>QuoteOriginally posted by: FermionBecause then we can use it to value derivatives.Very true. QuoteDupire's work is a mathematical tautology (correct me on this term if I am wrong).Yes if you believe that local volatility is a deterministic function of price. But just do a scatter plot of volatili...
by jwbosu
February 11th, 2004, 3:48 pm
Forum: Technical Forum
Topic: asian options
Replies: 13
Views: 190848

asian options

<t>QuoteOriginally posted by: tonycbut there is no unique solution to the above problem, which is why i say there are no good models . . . the fact is, the seasonal nature of commodity forward markets [as opposed to the simple cash and carry nature of equity and interest rate forward markerts], make...
by jwbosu
February 11th, 2004, 3:04 pm
Forum: Technical Forum
Topic: asian options
Replies: 13
Views: 190848

asian options

<t>QuoteOriginally posted by: Bazman2Cheers guys.If I do go for the finite differences approach realistically how much computation time would I be looking at?There is very little computational time when you use a closed form formula like the ones other posts have mentioned. Just change an input like...
by jwbosu
February 11th, 2004, 2:57 pm
Forum: Technical Forum
Topic: PDE pricing by local volatility
Replies: 14
Views: 190335

PDE pricing by local volatility

<t>QuoteOf course. Local volatility is a very powerful concept. It just needs a more subtle definition -- one in which it can indeed be quantified and measured.Now you are making it a meta-physical debate. Why do we need to be able to quantify and measure it? Though I agree we need to. It might be, ...
by jwbosu
February 8th, 2004, 2:26 pm
Forum: Numerical Methods Forum
Topic: Testing Monte Carlo Results
Replies: 4
Views: 190177

Testing Monte Carlo Results

<t>You wroteAlso, when performing a simple linear regression and correlation on two variables, can someone confirm that it is never appropriate to perform the analysis on the changes in the levels of the indices/rates but only on the LN returns of the indices/rates (For example BMA (y) and 1M LIBOR ...
by jwbosu
February 8th, 2004, 12:19 pm
Forum: Technical Forum
Topic: PDE pricing by local volatility
Replies: 14
Views: 190335

PDE pricing by local volatility

<t>There is nothing "flawed" with Dupire's formulae. Others lead to the same conclusions, see Breeden and Litzenberge (78), Derman, etal (Risk and Goldman Sach's Quant White papers). Local volatility is the fundamental concept of noise in the stochastic process, but this fundamental noise is scaled ...
by jwbosu
February 8th, 2004, 11:41 am
Forum: Technical Forum
Topic: asian options
Replies: 13
Views: 190848

asian options

<t>Are you trying to price an Asian on the forward ( you said you had a term structure which I take is a Forward curve) or an Asian on the Spot?All the models are comparable with only minor differences that you might impact your valuation. The problem is the Greeks are not derived for them though co...
by jwbosu
September 21st, 2003, 3:46 am
Forum: Programming and Software Forum
Topic: random number generation and Monte Carlo simulaiton in C++
Replies: 11
Views: 191150

random number generation and Monte Carlo simulaiton in C++

Numerical Recipies in C have some good material too. The Cd accompanying the book contains a file of truly independent random numbers. The book is also a good reference for other material.
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