Anyone have a paper on how to replicate plain vanilla interest rate swaps with eurodollar futures?

<t>"Is it too much to suggest that current work might prove as influential in this development as the work of Adam Smith was in the initial settlement of Massachusetts and Virginia?"Clearly this is tongue in cheek. Adam Smith wrote The Wealth of Nations in 1776, long after Massachusetts and (eastern...

In OTC space, yes, but bid-ask tends to be wide. Also, though they will quote you a vol, they don't really trade like longer options, because of the difficulty of hedging.

Ultimately, the real difference between Luther and Roman Catholicism isn't the 95 theses perse, but soteriology. The gulf between Lutheran soteriology and Roman Catholic soteriology is so wide it is at times difficult to put Protestantism and Catholicism in the same religious bucket.

<t>Simple accounting gimmick. Say I'm CITI or JPM or BA. I have some CDOs, CDOs of CDOs, or subprime CMOs. Bids for the junk are at 50. I say they are worth 90. Total market value according to my valuation is $20 billion. According to the bids it is $11.1 Billion. I buy $20 billion of shares in the ...

<t>Niederhoffer knows that selling naked options works great for long enough to get unsavvy people to pay you a lot of money. Until you get a 3,4,5 sigma event. But your payoff in money management is a call option, so you walk away with millions earned over 5 years or so, do it again somewhere else ...

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: jawabeanI heard Andrew Lo say that economics advances one funeral at a time, which is a sentiment that seems true in a wide range of fields. What the original poster is asking is whether recent events represent the funeral for one ...

<t>Works like this: Say you have a file called rates.xls with FX spots from bloomberg along the top. Call that range FXSpotsSay you want that data to go into in another file, update.xls.Make two macros, UpdMacro and openratesbook.First run openratesbook macro-----------------------------------------...

<t>Solved it. Solution is to use a macro to open the file, then in that macro us an application.ontime reference to start another macro. First macro ends, second macro starts. Second macro polls to see if sheet is updated using isnumeric() and application.min(). If sheet isn't updated, another appli...

What was the solution?

No matter what business you work in (except some non-profit stuff), you get money for making money. Pure and simple. In finance, the by-product is a more efficient capital allocation for the economy.

Poutine. 'Nuff said.

"Bear Stearns High Grade ......."Evidently it wasn't.

Just thought I'd bring this up again. I originally posted this 2 years ago, and since I'm an arrogant ass, I figured I'd do an "I told you so."

<t>You forgot 5: Efficiency is not an objectively-defined concept. Any strategy that seems to make excess profits can easily be explained by the Deus Ex Machina of some risk premium "we didn't realize existed before." 6. Efficiency is untestable. Efficiency implies no excess returns, but no excess r...