SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 80 matches

by Stochastix
September 19th, 2008, 12:58 pm
Forum: Technical Forum
Topic: Short selling constraint and options markets
Replies: 3
Views: 48512

Short selling constraint and options markets

<t>Here is the excerpt from the SEC release:"Finally, to facilitate the expiration of options on September 20th, options market makers are excepted from the requirements of this Order until 11:59 p.m. on September 19th when selling short as part of bona fide market making and hedging activities rela...
by Stochastix
September 19th, 2008, 12:44 pm
Forum: Technical Forum
Topic: Short selling constraint and options markets
Replies: 3
Views: 48512

Short selling constraint and options markets

Any thoughts on the impacts? Dynamic hedgers will not want to bid for calls or offer puts....
by Stochastix
November 22nd, 2005, 4:44 pm
Forum: Programming and Software Forum
Topic: Bloomberg Anywhere and Excel API
Replies: 1
Views: 131792

Bloomberg Anywhere and Excel API

Hi,I'd like to know if it's possible to use the Excel API when logging to Bloomberg from the Web (CITRIX interface)?Thanks
by Stochastix
October 28th, 2005, 2:36 pm
Forum: General Forum
Topic: Basketball and options trading
Replies: 12
Views: 132073

Basketball and options trading

<t>I guess to start you would need to estimate, using historical data, the probability matrix of team A winning if it was losing by x points with y minutes still to play. If you assume all teams to be equal that would be it, but since teams are inequal, you should be considering additional parameter...
by Stochastix
October 28th, 2005, 11:05 am
Forum: General Forum
Topic: sense check FX
Replies: 2
Views: 131029

sense check FX

<t>Forward rates are not predicting anything. They are just the rates which make the trade of doing the spot trade, investing in the currency you are long and financing the one you are short of arbitrage free.The current JPY/GBP cross is 205.72 JPY per GBP. On oct 31, 2005 it was 159.6 JPY per GBP. ...
by Stochastix
October 26th, 2005, 4:02 pm
Forum: General Forum
Topic: Singular Spectrum Analysis
Replies: 1
Views: 131205

Singular Spectrum Analysis

Nobody predicts; everybody forecasts...
by Stochastix
October 20th, 2005, 3:09 pm
Forum: General Forum
Topic: basket dispersion
Replies: 2
Views: 132663

basket dispersion

<t>Given a correlation structure for the stocks in a basket and volatility surfaces for each of them, you should be able to compute the volatlity of options on the basket. There is obviously an upper bound to the basket's volatility (Jensen's inequality). Some will make the rough approximation of pu...
by Stochastix
October 19th, 2005, 2:09 pm
Forum: General Forum
Topic: treasury price
Replies: 7
Views: 133033

treasury price

Sorry guruboy, but I think you are wrong,Treasury prices are quoted in 32nds, but actually trade in 64ths or 128ths.. You will never see 99-71+, you might have 99-17+ which mean 99 + 17.5/32, the + meaning 1/2 of a 32nd.
by Stochastix
October 5th, 2005, 7:28 pm
Forum: General Forum
Topic: Catastrophe Bonds
Replies: 13
Views: 191669

Catastrophe Bonds

A lot of firms are providing indicative pricing list.
by Stochastix
October 5th, 2005, 11:07 am
Forum: General Forum
Topic: Catastrophe Bonds
Replies: 13
Views: 191669

Catastrophe Bonds

Hurricanes Katrina and Rita will most probably lead to the first capital losses on Catastrophe Bonds. An Issue called KAMP Re is currently quoted in the 40's...
by Stochastix
September 29th, 2005, 7:06 pm
Forum: Technical Forum
Topic: Eurodollar Fed Fund Spread
Replies: 4
Views: 134858

Eurodollar Fed Fund Spread

<t>Ok, looking at the Bloomberg codes you gave, what you are really interested in is the basis between 3M OIS and 3M LIBOR. Since the OIS floating leg is an average of the Fed effective rate, the spread varies depending on the liquidity of the overnight interbank market. There are some dates (first ...
by Stochastix
September 29th, 2005, 11:57 am
Forum: Technical Forum
Topic: Eurodollar Fed Fund Spread
Replies: 4
Views: 134858

Eurodollar Fed Fund Spread

What you should be looking for is the spread between the expected compounding of the Fed Fund rate and the 3m LIBOR (i.e. the risk premium). I think that a lot of the spread you see between FF and 3M is due to the timing and number of FOMC decisions inside the 3M period.
by Stochastix
September 27th, 2005, 3:28 pm
Forum: Technical Forum
Topic: commodities index ?
Replies: 2
Views: 135088

commodities index ?

Commodities only go up
by Stochastix
September 20th, 2005, 7:38 pm
Forum: Technical Forum
Topic: Second Moment of the Average Variance
Replies: 10
Views: 136146

Second Moment of the Average Variance

<t>I'm not sure why you refer to characteristic functions. Look at page 25 on Bollerslev and Zhou. It is straightforward to compute the mean of the integrated volatility for Log O-U (same method applies directly, since we now the conditional expectation of a log o-u process).I will look at the secon...
by Stochastix
September 20th, 2005, 3:27 pm
Forum: Technical Forum
Topic: Second Moment of the Average Variance
Replies: 10
Views: 136146

Second Moment of the Average Variance

<t>Well, I think you can replicate the calculation for log o-u. Since calculating the conditional expectation and variance of this process is pretty easy, computing moments of integrated volatility should be straightforward. Seehttp://members.shaw.ca/yinwong01/finance2.htmlfor the moments of log o-u...
GZIP: On