<t>In my view, the quality of questions and comments on this website has really collapsed over the last few months. Levels of stupidity seem to have gradually grown, repelling anyone with even half a brain, until now 99% of what is said is just drivel. Nothing left here but morons answering moronic ...

<r>the fund i mentioned below has officially wound up. S&P called it a "change in investment strategy". Ha!Would be intrigued to hear from any commodity traders on how this fund could of got so wacked over. Someone clearly figured out their 'arb' and KO'd them within a few weeks. NAV chart here ...

type this into excel, and you'll get as good an estimate as is possible=NORMINV(RAND(),1,0.25)

<r>This manager (<URL url="http://www.goldlinkcapital.com.au">www.goldlinkcapital.com.au</URL>) runs this fund (<URL url="http://www.incomeplus.com.au">www.incomeplus.com.au</URL>) using a gold lease rate arb strategy. BAck 5 years ago they were making consistently good returns...though judging from...

Thanks for that. Good article.Any CDO sales people here that can comment?

<t>Credit isnt my area, but id be interested in any comments on this:When subprimes default, who is it that takes the hit?I presume its the equity tranche of a RMB CDO that is the worst hit.Questions:1. Who is the biggest class of investor in these things? (insurers, pension funds, hedge funds??)2. ...

“An economist is someone who knows more about money than the people who have it”.Utility 'theory' illustrates this point perfectly.

<r>What about math lectures on DVD.You can choose lectures from this list:<URL url="http://www.msri.org/communications/vmath/index_htmlOr">http://www.msri.org/communications/vmath/index_htmlOr</URL> if you dont know which particular branch of maths he's interested in, pick a Special discussion topic...

I hate to say it Nik, but you should just stick to stock-picking otherwise your small investment company may get even smaller.Take the time to learn about portable alpha properly (not from some chat room), then decide whether to implement it. Think of your investors.

<t>Jungix;A few things:1. In your first post, you say you got a correl in vol of 15%. In your second post its 50%. Which is it?2. A 15% correl in implied vol is indeed low if returns have an 80% correl. Its either option market specific, or the return correl is spurious. Which stocks are they btw?3....

one of the most interesting quant books ive read in ages....Born on a Blue Day

Does anyone know of some good papers specifically dealing with replicating or pricing a multi-index put, where the payoff is linked to the worst performing asset out of a goup of assets ie max[X-min(s1,s2,s3,...)] ?

<t>Your assumption of negative interest rates violates first principals, so its no surprise you cant solve it using variational inequalities. Negative rates would mean negative stock price which would obviously never be in the exercise region.What is surprising is that you say it can be solved using...

<t>If you are just vega neutral, any profits will be a function of both chnages in vol and index. You therefore need to delta hedge to remove the effect of index changes leaving you as a result exposed just to vol changes. Using straddles, because they're ATM, have higher gamma, so it will mean reba...