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by Bazman2
April 25th, 2014, 10:18 am
Forum: Book And Research Paper Forum
Topic: Immunization Using Principal Component Analysis
Replies: 1
Views: 5202

Immunization Using Principal Component Analysis

Hey there,Can anyone please pm me a soft copy of this paper?Or alternately post it (at my expense).Very hard to get hold of!Barbel J and Copper M., ?Immunization Using Principal Component Analysis?, The Journal of Portfolio Management ?, fall 1996, 99-105. Baz
by Bazman2
September 10th, 2013, 11:14 am
Forum: Technical Forum
Topic: PCA
Replies: 1
Views: 6749

PCA

<t>Hey there,When applying PCA it is usual to throw out the eigenvectors with small eigenvalues on the premise that these contribute relatively little to the process bwing studied.However I wondered if there was a more scientific way of testing which eigenvalues to keep and which to throw out?In ess...
by Bazman2
August 10th, 2013, 10:11 am
Forum: Book And Research Paper Forum
Topic: Libor Market Model by Irina Götsch
Replies: 4
Views: 53759

Libor Market Model by Irina Götsch

Just ordered the book but the website is down!Can someone post or pm me the code please.
by Bazman2
December 28th, 2012, 4:37 pm
Forum: Technical Forum
Topic: Bootstrapping Euro Swap Curve
Replies: 4
Views: 11436

Bootstrapping Euro Swap Curve

<t>Hi Searle,Sorry but I'm an outsider looking in too.I know a couple of traders in fixed income and they seem pretty cagey about giving out details.Its an interesting question and I'd love to know the answer. But from what I have heard I'm not sure there is one definitive set of instruments not in ...
by Bazman2
December 27th, 2012, 12:51 pm
Forum: Technical Forum
Topic: Bootstrapping Euro Swap Curve
Replies: 4
Views: 11436

Bootstrapping Euro Swap Curve

Thanks Searle,When you say sources are you looking for, papers/books?I assume you want references for 2 curve pricing?Baz
by Bazman2
December 13th, 2012, 3:12 pm
Forum: Student Forum
Topic: Roll Convention Euribor
Replies: 4
Views: 9893

Roll Convention Euribor

Perfect thank you.
by Bazman2
December 13th, 2012, 1:03 pm
Forum: Student Forum
Topic: Roll Convention Euribor
Replies: 4
Views: 9893

Roll Convention Euribor

Thanks for this the link is great!One question though, is the interest period as well as the cash payment dates calculated on the mod following convention? (I imagine it would be but can't find a source to confirm it.
by Bazman2
December 12th, 2012, 1:28 pm
Forum: Technical Forum
Topic: Bootstrapping Euro Swap Curve
Replies: 4
Views: 11436

Bootstrapping Euro Swap Curve

<t>Hi there,I am bootstrapping a Euro swap, the curve will be used for rich/cheap analysis and so by definition will not match the observed curve exactly.I was hoping to use Euribor rates at the short end, however there is a pronounced kink in the curve between the 12m Euibor rate and the 2y swap ra...
by Bazman2
December 9th, 2012, 5:39 pm
Forum: Student Forum
Topic: Roll Convention Euribor
Replies: 4
Views: 9893

Roll Convention Euribor

Can anyone tell me what the roll conventions are for Euribor rate settlement and payments?
by Bazman2
December 5th, 2012, 4:50 pm
Forum: Student Forum
Topic: Ridge Regression
Replies: 0
Views: 8890

Ridge Regression

Hi there,When using ridge regression, can I still use the standard t, F and hypothesis tests?I assume I can because you are not changing any assumptions about the error process?ThanksBaz
by Bazman2
November 5th, 2012, 2:53 pm
Forum: Student Forum
Topic: Multicollinearity
Replies: 2
Views: 9634

Multicollinearity

Hi there,Thanks for that, but the problem with PCA is that you usually have to take first differences there too, so I am still stuck for a way to get from those first difference dynamics to the dynamics of the actual curve?
by Bazman2
November 4th, 2012, 3:05 pm
Forum: Student Forum
Topic: Multicollinearity
Replies: 2
Views: 9634

Multicollinearity

<t>Hi there,I have seen it suggested is that one cure for high multicollinearity is to take first differences of the data.Now usually when you have integrated processes, there is no relationship between the regression coefficients of the first differenced process and the coefficients of the original...
by Bazman2
October 5th, 2012, 9:36 am
Forum: Technical Forum
Topic: Resampling Term strructure
Replies: 0
Views: 10237

Resampling Term strructure

<t>Hey there,I have a model that does rich/cheap analysis on the term structure of interest rates.The key idea is that the model using the most liquid points to imply where the less liquid points should be.Naturally as a rich/cheap model there is a implicit assumption that value of say the 21y relat...
by Bazman2
October 4th, 2012, 3:52 pm
Forum: Student Forum
Topic: Swaps Libor v OIS discounting
Replies: 5
Views: 10697

Swaps Libor v OIS discounting

I'm assuming you are refering to 1.)QE distorting the curve2.)More seriously the Libor manipulationHow far up the curve did the libor manipulation extend?Over what period did it occur?
by Bazman2
October 4th, 2012, 10:28 am
Forum: Student Forum
Topic: Swaps Libor v OIS discounting
Replies: 5
Views: 10697

Swaps Libor v OIS discounting

Hey maritnghoul, Even if you don't want to provide a yes/no answer, it'd be good to be aware of the issues to which you allude.Kind RegardsBaz
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