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by Vrank
December 20th, 2006, 9:16 pm
Forum: Off Topic
Topic: Waar zijn de Amsterdamse Wilmottertjses?
Replies: 216
Views: 159852

Waar zijn de Amsterdamse Wilmottertjses?

Cuchulainn,Are you SURE they have something to drink there?I AM SO THIRSTY!
by Vrank
December 4th, 2006, 5:07 pm
Forum: Off Topic
Topic: Those crazeeeee Dutch
Replies: 1755
Views: 207931

Those crazeeeee Dutch

<t>Bad intentions. They were planning to blow-up the building I'm working... I almost would be able to retire early. Or never retire at all.By the way, in Dutch media they are still referred to without their surnames, to respect their privacy. When an ultra left wing activist killed a populist runni...
by Vrank
December 2nd, 2006, 5:49 pm
Forum: Off Topic
Topic: Waar zijn de Amsterdamse Wilmottertjses?
Replies: 216
Views: 159852

Waar zijn de Amsterdamse Wilmottertjses?

<r>Den Haag is one of the few cities in the world where there is no night-life...However, I know the Irish bar in the Javastraat. Had a few times some drinks there. Nice place. The Javastraat used to be quite a popular street with a lot of bars. I live in the Hague, work in the Hague and spend my mo...
by Vrank
December 2nd, 2006, 1:43 pm
Forum: Off Topic
Topic: Those crazeeeee Dutch
Replies: 1755
Views: 207931

Those crazeeeee Dutch

<r>With the rising commodity prices, the return on the jar of guilders (earned by guilder-baht arbitrage) must be fantastic over the last few years. But I guess the commodity return should even be higher before the intrinsic value of the jar of guilders will match it's economic value (if you'd be ab...
by Vrank
December 2nd, 2006, 7:52 am
Forum: Off Topic
Topic: Waar zijn de Amsterdamse Wilmottertjses?
Replies: 216
Views: 159852

Waar zijn de Amsterdamse Wilmottertjses?

<t>I'm typically quite thirsty (=dorstig) in December, so that would be nice. However, would Den Haag Wilmotters be in scope as well?! The Amsterdam - Den Haag gap is quite big actually...Quote Vrank_1: "Het enige goede wat uit Amsterdam komt, is de trein naar Den Haag...." in English "The only good...
by Vrank
December 2nd, 2006, 7:42 am
Forum: Off Topic
Topic: Those crazeeeee Dutch
Replies: 1755
Views: 207931

Those crazeeeee Dutch

Our guilder used to be (physically!) highly correlated with Thai Baht... Talking about slot machine arbitrage.-------------------------Quote: HedgerJoe: "You ain't much, if you're ain't Dutch";-)
by Vrank
December 2nd, 2006, 7:33 am
Forum: Technical Forum
Topic: Calculating portfolio delta given not-fully-correlating processes
Replies: 0
Views: 86437

Calculating portfolio delta given not-fully-correlating processes

<t>Hi,Assume that you have two processes which are not fully correlated and which form a (diversifying) tradebale index.Now assume you would have option positions on both of the processes and you want to hedge those with the index.Do you for example take the delta's of the positions and then just us...
by Vrank
December 2nd, 2006, 7:19 am
Forum: Technical Forum
Topic: Calculating implieds on quanto's from plain vanilla implieds
Replies: 1
Views: 86597

Calculating implieds on quanto's from plain vanilla implieds

<t>Hi,I have historical data of implied vols of international equity index options in local currency, however for a back-test I would need implied vol data on the same options with Euro quanto'ed strikes and payoffs. Can I now simply use historical currency vols and histoical index-currency correlat...
by Vrank
December 2nd, 2006, 7:08 am
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97684

Covered Calls for asset management

<t>When you exchange equity risk premium for volatility risk premium you expect outperformance vs. a mix-fund that has the same market-beta as your overwriting strategy. Not the same or a better performance. However there are paths possible that this does work (wide vol-spread, certain market moves)...
by Vrank
October 10th, 2006, 3:30 pm
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97684

Covered Calls for asset management

<t>Sorry, DAA stands for Dynamic Asset Allocation. In the end you can use it much broader than just in a mutual fund context. DAA could be interesting for pension funds as well. Leveraged exposure to a risky asset is attractive on long-term, simply because of risk premium exposure. Need to be carefu...
by Vrank
October 10th, 2006, 4:39 am
Forum: Off Topic
Topic: Top 5...
Replies: 43
Views: 93876

Top 5...

<t>Wow doreilly,Salo is a very tough movie. I've seen it (Pasolini is great!) but to admit, sometimes I think that I wouldn't mind not having seen it. Quite intense images. One of the reason Pasolina was brutally murdered on a beach short after the movie came out (being anti-fascist homo-sexual in e...
by Vrank
October 9th, 2006, 9:06 pm
Forum: Off Topic
Topic: Is Communism a barrier to free markets ?
Replies: 22
Views: 92092

Is Communism a barrier to free markets ?

<t>Last year I've visited China, Russia, Belarus, and 9 East-European countries, former members of the Warschau pact. I got quite interested in the phenomenon communism earlier the year after bumping into Karl Marx' grave in London (just before FA-Cup match between Fulham and Leyton Orient, but ther...
by Vrank
October 9th, 2006, 8:22 pm
Forum: Off Topic
Topic: Top 5...
Replies: 43
Views: 93876

Top 5...

<t>Top 5 Directors with top 3 movies:Andrei Tarkovksi --> Andrei Rublyov, Stalker, SolyarisAkira Kurosawa --> 7 Samurai, Rashomon, DreamsIngmar Bergman --> Persona, 7th Seal, SmultronstalletValerio Zurlini --> La Prima Notte di Quite, La Ragazza can la Valigia, Cronaca FamiliareFederico Fellini --> ...
by Vrank
October 9th, 2006, 8:11 pm
Forum: Off Topic
Topic: Al Gore and his Predictions for the Netherlands
Replies: 35
Views: 92521

Al Gore and his Predictions for the Netherlands

<t>There is a lot of gas resources in the Netherlands.And a lot of wind.Given the change of tides every six hours and given waves in general, I never understood why it seems to be unpossible to profit from that.To me it looks like we're watching an enormous amount of free energy getting spoiled cont...
by Vrank
October 9th, 2006, 7:54 pm
Forum: Off Topic
Topic: Al Gore and his Predictions for the Netherlands
Replies: 35
Views: 92521

Al Gore and his Predictions for the Netherlands

Femke Halsema actually...She has a green one!
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