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by gjlipman
April 22nd, 2009, 8:43 am
Forum: General Forum
Topic: Mark-to-Market
Replies: 5
Views: 40488

Mark-to-Market

<t>It has been a while since I looked at these things, but when it was IAS39, it did have some rules and some guidance on what constituted an active or inactive market.And most banks have developed guidance on what evidence is required to show that a market is active or inactive (based on discussion...
by gjlipman
March 31st, 2009, 4:57 am
Forum: Careers Forum
Topic: experience vs. new tech skills
Replies: 22
Views: 45168

experience vs. new tech skills

<t>My two cents worth:1. "I even got the impression that BO quant positions are not even respected as an equal functionality to the counterparts in FO and MO. But at the same time, isn't risk management one of the most important perspective of a financial institute? " Just because a job is crucial, ...
by gjlipman
March 23rd, 2009, 9:36 pm
Forum: Careers Forum
Topic: Should I tell the truth about current salary?
Replies: 19
Views: 45229

Should I tell the truth about current salary?

I think it is perfectly reasonable to say "my current salary is x, but I get these other benefits as part of my package". That way they can take it into account, but won't feel lied to if they find out.
by gjlipman
March 4th, 2009, 1:52 pm
Forum: Student Forum
Topic: Valuing binary option with delayed payment
Replies: 6
Views: 42937

Valuing binary option with delayed payment

I agree Vegawizard's way of discounting is better than assuming a constant rate.
by gjlipman
March 4th, 2009, 8:06 am
Forum: Student Forum
Topic: Valuing binary option with delayed payment
Replies: 6
Views: 42937

Valuing binary option with delayed payment

My reading of it was that it is the payment to the option buyer that is deferred; that the premium was paid by the buyer at the time of purchase as per normal.
by gjlipman
March 3rd, 2009, 9:54 pm
Forum: Student Forum
Topic: Valuing binary option with delayed payment
Replies: 6
Views: 42937

Valuing binary option with delayed payment

Assuming deterministic interest rates (or at least uncorrelated with the equity performance), which is a reasonably standard assumption, that is exactly what I'd do.
by gjlipman
February 22nd, 2009, 8:23 am
Forum: Careers Forum
Topic: Coding reviews -- walkthroughs
Replies: 4
Views: 43095

Coding reviews -- walkthroughs

In my career I've seen disappointingly little code review - there is an assumption that if the output appears correct, then the code isn't too bad.
by gjlipman
February 1st, 2009, 9:35 am
Forum: Careers Forum
Topic: valuation consulting shop?
Replies: 2
Views: 43729

valuation consulting shop?

<r>Check out:<URL url="http://www.wilmott.com/messageview.cfm?catid=16&threadid=54263http://www.wilmott.com/messageview.cfm?catid=16&threadid=63764My"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... id=63764My">http://www.wilmott.com/messageview.cfm?catid=16&threadid=54263ht...
by gjlipman
January 25th, 2009, 11:49 am
Forum: Student Forum
Topic: About the oil term structure.
Replies: 19
Views: 47025

About the oil term structure.

Sorry - I am struggling to understand your questions, and don't have time to write 20 answers to questions that might be what you are really trying to ask. Try asking your questions a bit more clearly, and I'll try and answer them.
by gjlipman
December 29th, 2008, 9:14 pm
Forum: Student Forum
Topic: Newbie question on cont. compounding
Replies: 5
Views: 45374

Newbie question on cont. compounding

If you invest $1 at 6% continuously compounding, at the end of the year you will have e^(0.06)=1.0618.If you invest $1 at x semiannual, at the end of the year you will have (1+x/2)^2.So, x=2[sqrt(1.0618)-1]=6.09%.
by gjlipman
December 28th, 2008, 9:30 pm
Forum: Student Forum
Topic: 2 RVs with same distribution should be same a.s ?
Replies: 6
Views: 45602

2 RVs with same distribution should be same a.s ?

<t>While I agree with ChaitanyaBandi that having the same distribution doesn't imply being equal almost surely, with the added statement that X<=Y almost surely, it does become so. Also, we are told that X and Y have the same distribution - so how can they not be defined on the same sample space? </t>
by gjlipman
December 28th, 2008, 12:39 pm
Forum: Student Forum
Topic: 2 RVs with same distribution should be same a.s ?
Replies: 6
Views: 45602

2 RVs with same distribution should be same a.s ?

<t>It has been so long since I did any of this sort of thing (and wasn't even any good at it back then!), so apologies if I'm way off the mark.I'd go for a proof by contradiction. We know that X>Y with probability zero. Assume that X<Y with probability greater than zero. Then, the expectation of X w...
by gjlipman
November 20th, 2008, 11:21 am
Forum: Careers Forum
Topic: Excel and VB skills
Replies: 6
Views: 47427

Excel and VB skills

<t>I would want someone who had "good" Excel skills to be able to type numbers into cells, use a range of Excel formulas (and certainly understand the if and vlookup function), do charts, and maybe record a macro. I wouldn't count on them being able to do conditional formatting, pivot tables, VBA or...
by gjlipman
November 20th, 2008, 11:10 am
Forum: General Forum
Topic: Random Walkers October
Replies: 44
Views: 57049

Random Walkers October

I'll come along if we agree a place.
by gjlipman
October 15th, 2008, 7:25 pm
Forum: Technical Forum
Topic: Commodity Option on Futures - deriving the formula
Replies: 18
Views: 54399

Commodity Option on Futures - deriving the formula

<t>You say "at the expiry of the option you do not need to make any further payments". If I'm talking a sold Nymex european WTI options (so premium paid upfront), at expiry, money goes out of my interest earning collateral account, to the counterparty, I'd consider that an payment (even though the c...
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