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by Gmike2000
November 15th, 2011, 2:51 pm
Forum: Trading Forum
Topic: hedging a callable bond
Replies: 4
Views: 18497

hedging a callable bond

I am sure you don't need the probability of the call for hedging. Why would you...
by Gmike2000
November 15th, 2011, 2:48 pm
Forum: Numerical Methods Forum
Topic: Spread Option Analytical Greeks
Replies: 5
Views: 23779

Spread Option Analytical Greeks

as if all those working papers are ever going to be published. it is a pain in the ass to read papers like that.
by Gmike2000
November 15th, 2011, 2:47 pm
Forum: Economics Forum
Topic: Who was auditing Dexia?
Replies: 10
Views: 22534

Who was auditing Dexia?

Belgium The Next GreeceBRUSSELS - Belgian EU commissioner Karel De Gucht has warned that his country could be in line to suffer a Greek-and-Italian-type loss of market confidence if it does not quickly form a new government.Ooops!
by Gmike2000
November 15th, 2011, 2:47 pm
Forum: Economics Forum
Topic: Who was auditing Dexia?
Replies: 10
Views: 22534

Who was auditing Dexia?

by Gmike2000
November 15th, 2011, 2:41 pm
Forum: General Forum
Topic: Discounting swap termination below Libor - does this make any sense?
Replies: 10
Views: 24186

Discounting swap termination below Libor - does this make any sense?

<t>QuoteOriginally posted by: sme123We want to terminate a 10yr interest rate swap that has a negative MTM to us (we pay fixed vs 3M Libor). The swap sales guy told us that we have to pay an additional 5 bps over the mid-market rate because the bank discounts swap terminations at the FF curve rather...
by Gmike2000
November 10th, 2011, 9:08 pm
Forum: Economics Forum
Topic: Italy madness - betting against society is 'legit'?
Replies: 44
Views: 19783

Italy madness - betting against society is 'legit'?

<t>I dont think this is about M1. This is about higher orders of M, credit that was extended multiple times on the back of M1. If it was up to the Southerners, they would just keep printing M1 until they run out of ink. They need to learn that wealth comes from working hard, not from drinking coffee...
by Gmike2000
November 8th, 2011, 9:30 pm
Forum: Trading Forum
Topic: Curve Flattener/Steepener
Replies: 17
Views: 25243

Curve Flattener/Steepener

<t>no there is not, besides, how long do you want to wait for your trade to make money? if one year is too long then maybe your timing is offalso, if you buy fancy things like cms products, they will incorporate the 'slide' and bill you implicitly for it (though the slide tends to be positive for a ...
by Gmike2000
November 8th, 2011, 9:26 pm
Forum: Economics Forum
Topic: Who was auditing Dexia?
Replies: 10
Views: 22534

Who was auditing Dexia?

<t>QuoteOriginally posted by: AnthisQuoteOriginally posted by: Gmike2000This is not surprising at all. It happened before in 2008. The next question is why the Belgian government guarantees for Dexia do not feed into that country's debt to GDP ratio (should increase by almost 15%). The German bank r...
by Gmike2000
November 8th, 2011, 9:19 pm
Forum: Technical Forum
Topic: Deriving pdf of underlying from option prices
Replies: 16
Views: 18677

Deriving pdf of underlying from option prices

<t>..and also, the tails of the distribution, what about them. there are many fancy methods to create this missing information. so you loose information in the middle, by smoothing, and create information in the tails. also, some options are marked at minimum tick prices that overstate implied vol b...
by Gmike2000
November 8th, 2011, 9:17 pm
Forum: Technical Forum
Topic: Deriving pdf of underlying from option prices
Replies: 16
Views: 18677

Deriving pdf of underlying from option prices

why infer the pdf from option prices? what are you going to do with it? by smoothing the implied vol just to get nice 2nd derivatives you lose information.good example of not seeing the forest for the trees, in my view
by Gmike2000
November 3rd, 2011, 10:03 pm
Forum: General Forum
Topic: Greece Bailout
Replies: 34
Views: 21711

Greece Bailout

<t>Greece has for decades substituted lack of competitiveness and absence of economic potential by handing out generous social welfare gifts which were funded via government debt.Now they slowly realize that their "wealth" has been an illusion, and that they are an emerging market (at best) and in t...
by Gmike2000
October 18th, 2011, 4:41 am
Forum: Trading Forum
Topic: future of CDS trading from a buyside perspective?
Replies: 1
Views: 17005

future of CDS trading from a buyside perspective?

<t>Corporate risk will be a much more important area in the future. Because big corporations are going to be much more creditworthy than sovereigns, hence their importance for buy side investors will increase. Whether you trade CDS or cash (which you will also have to look at)...doesn't matter. Don'...
by Gmike2000
October 18th, 2011, 4:37 am
Forum: Economics Forum
Topic: Who was auditing Dexia?
Replies: 10
Views: 22534

Who was auditing Dexia?

<t>This is not surprising at all. It happened before in 2008. The next question is why the Belgian government guarantees for Dexia do not feed into that country's debt to GDP ratio (should increase by almost 15%). The German bank rescues increased German debt to GDP by almost 10%. I tell you why. Be...
by Gmike2000
October 18th, 2011, 4:30 am
Forum: Technical Forum
Topic: yieldcurve: bond position when positive-slope
Replies: 3
Views: 19223

yieldcurve: bond position when positive-slope

It's just like selling options. Produces income. Until it doesn't. Simple trade for simple minds.
by Gmike2000
September 20th, 2011, 9:40 pm
Forum: Numerical Methods Forum
Topic: How would I make volatility smile numbers more meaningful across maturities in a simple local volatility model?
Replies: 1
Views: 20299

How would I make volatility smile numbers more meaningful across maturities in a simple local volatility model?

<t>This is a very good question. What you want to do is investigate how these simplistic parametrizations of the vol smile (the ones you mention above) affect the underlying risk neutral distribution. Does a constant 'slope' over different maturities lead to the same implied distribution? Do this as...
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