SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by sammus
February 9th, 2012, 3:08 am
Forum: Careers Forum
Topic: The right path for Quant trading
Replies: 21
Views: 18185

The right path for Quant trading

<t>QuoteOriginally posted by: bigbenny2010QuoteOriginally posted by: quantmehQuoteOriginally posted by: bigbenny2010what I mean "quant trading" is automatique trading (High freq. or Middle freq). Maybe the word is confusing, sorry for misleading.QuoteOriginally posted by: HansiSo the only non-quant ...
by sammus
April 24th, 2009, 12:21 am
Forum: Technical Forum
Topic: Has anyone a copy of this paper " Geman : Changes of Numeraire, Changes of Probability Measure and Option Pricing "
Replies: 13
Views: 110365

Has anyone a copy of this paper " Geman : Changes of Numeraire, Changes of Probability Measure and Option Pricing "

pls see the attachment for the copy of "Changes of Numeraire, Changes of Probability Measure and Option Pricing"
by sammus
April 13th, 2007, 11:32 am
Forum: Book And Research Paper Forum
Topic: R.Litterman's papers
Replies: 30
Views: 202562

R.Litterman's papers

by sammus
November 22nd, 2006, 3:43 am
Forum: Book And Research Paper Forum
Topic: Looking for a paper by Kunitomo and Ikeda
Replies: 16
Views: 94946

Looking for a paper by Kunitomo and Ikeda

<t>QuoteOriginally posted by: CuchulainnYou mean in general or FDM in particular? I have done two barriers and is it OK except we know that Crank Nicolson can produce a spurious spike at the barrier but we use a robuster marching scheme. Below is an early article on barriers that you might be intere...
by sammus
November 16th, 2006, 11:43 pm
Forum: Book And Research Paper Forum
Topic: Looking for a paper by Kunitomo and Ikeda
Replies: 16
Views: 94946

Looking for a paper by Kunitomo and Ikeda

Thanks a lot ppauper! You made my day
by sammus
November 16th, 2006, 1:43 am
Forum: Book And Research Paper Forum
Topic: Looking for a paper by Kunitomo and Ikeda
Replies: 16
Views: 94946

Looking for a paper by Kunitomo and Ikeda

Hi I am looking for the following article:Kunitomo, Ikeda (1992). "Pricing Options with Curved Boundaries." Mathematical Finance, Vol. 2, No. 4, pp. 275Many thanks.
by sammus
September 19th, 2006, 2:45 pm
Forum: Technical Forum
Topic: Skew swaps
Replies: 26
Views: 153369

Skew swaps

Just to bring this topic to life, any progress in skew swap replication recently?Thanks.
by sammus
August 14th, 2006, 2:55 am
Forum: Technical Forum
Topic: Heston model in VBA
Replies: 5
Views: 99486

Heston model in VBA

If you could take a little effort to search the forum, you would find this.
by sammus
June 14th, 2006, 12:14 am
Forum: General Forum
Topic: pairs trading
Replies: 37
Views: 116477

pairs trading

no. I mean by locking in the implied vol spread wrt moneyness (or strike), you are actually trading the corr skew. Maybe that is overkill.
by sammus
June 13th, 2006, 12:35 am
Forum: General Forum
Topic: pairs trading
Replies: 37
Views: 116477

pairs trading

Is there any way to trade the correlation skew there?Just a thought.
by sammus
June 1st, 2006, 2:11 pm
Forum: General Forum
Topic: Correlation Skew v Matrix
Replies: 7
Views: 173533

Correlation Skew v Matrix

Does the corr skew exist in the equity dispersion trading as well?
by sammus
May 31st, 2006, 12:46 am
Forum: Technical Forum
Topic: Has anyone a copy of this paper " Geman : Changes of Numeraire, Changes of Probability Measure and Option Pricing "
Replies: 13
Views: 110365

Has anyone a copy of this paper " Geman : Changes of Numeraire, Changes of Probability Measure and Option Pricing "

<t>QuoteOriginally posted by: JabbabEl Karoui, N. & Quenez, M.C. (1995) Dynamic programming and the pricing of contingent claims in incomplete markets, SIAM Journal of Control and Optimization, Vol 33, No 1, 29--66. What is your opinion about it ?check out the paper here. Also give a 30sec wait....
by sammus
May 29th, 2006, 10:38 pm
Forum: Technical Forum
Topic: Has anyone a copy of this paper " Geman : Changes of Numeraire, Changes of Probability Measure and Option Pricing "
Replies: 13
Views: 110365

Has anyone a copy of this paper " Geman : Changes of Numeraire, Changes of Probability Measure and Option Pricing "

Hope this could be of some help. *Edit: If you dont see the attached file, try on this. Wait for 30 sec before the "download" signal turns up.
by sammus
May 29th, 2006, 4:45 am
Forum: Off Topic
Topic: New York Wilmotters Meet for Drinks
Replies: 393
Views: 211925

New York Wilmotters Meet for Drinks

I guess at this time most students are just finishing their finals and taking the short break before the summer school starts. It would be great if you could come back again in the fall.
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