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by Edgey
December 13th, 2020, 9:00 pm
Forum: Numerical Methods Forum
Topic: Swish function call payoff approximation
Replies: 8
Views: 7226

Re: Swish function call payoff approximation

Thanks. The solution in that thread is more generic and useful. It also means that now I don't feel guilty about abandoning this train of thought.
by Edgey
December 10th, 2020, 12:51 am
Forum: Numerical Methods Forum
Topic: Swish function call payoff approximation
Replies: 8
Views: 7226

Re: Swish function call payoff approximation

Yes.  The Wikipedia version of the function has a Beta parameter to control the degree of smoothing.  I removed it from the wolfram alpha (you'd think they'd be in beta by now) link to keep the plot as 2D.
by Edgey
December 7th, 2020, 11:48 pm
Forum: Numerical Methods Forum
Topic: Swish function call payoff approximation
Replies: 8
Views: 7226

Re: Swish function call payoff approximation

Up close it doesn't look like a good approximation to a call payoff
Image
But zoom out and the smoothness around k (=0) is barely noticeable

https://www.wolframalpha.com/input/?i=x ... 28-x%29%29
by Edgey
December 7th, 2020, 4:29 pm
Forum: Numerical Methods Forum
Topic: Swish function call payoff approximation
Replies: 8
Views: 7226

Swish function call payoff approximation

The swish function looks a lot like a call payoff, but is differentiable at x=0 (aiding back propagation in neural network calibration).  

Are there any mathematical finance problems that could benefit from this function's properties?  
by Edgey
November 27th, 2018, 11:12 am
Forum: General Forum
Topic: Boring
Replies: 36
Views: 8426

Re: Boring

Being a quant is the join between maths and finance.  Finance on it's own is boring, but stick some maths on it and it's suddenly interesting (and you can get paid a lot of money for it).   Maybe you just need some suggestions for new maths that can be applied to finance.   For example, are you fami...
by Edgey
February 7th, 2018, 11:13 am
Forum: Trading Forum
Topic: Some volatility products may terminate tomorrow
Replies: 13
Views: 6952

Re: Some volatility products may terminate tomorrow

How do banks like Credit Suisses hedge their "short volatility etf XIV" products?  
I presume they sell options at various strikes and maturities, but how do they control the basis risk?
by Edgey
June 21st, 2017, 3:25 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 917
Views: 199280

Re: End of bitcoin?

The headline Bitcoin Mining Craze Sees US Sell Out Of AMD Graphics Cards is incorrect.  

GPUs are too slow.  The hash calculation for bitcoin has moved to ASICs.  
Maybe they are being used for other coins, like ethereum or zcash (which would be much better for ransomware as it is anonymous)
by Edgey
May 15th, 2017, 3:56 pm
Forum: Trading Forum
Topic: Implementing put protection - theory
Replies: 2
Views: 3571

Implementing put protection - theory

I'm looking into implementing put/put spread protection for a pension scheme, probably written on the Eurostoxx 50.   I've got some trading advice from Bloomberg (e.g. buy at 25-30 delta, currently historically low implied vol), but I'm looking for some financial theory.  For example:-  When is the ...
by Edgey
January 13th, 2017, 11:03 am
Forum: Programming and Software Forum
Topic: Execute R script from Excel
Replies: 4
Views: 4529

Re: Execute R script from Excel

Try sticking with RExcel.  I think you can control Rexcel through VBA, so that may reduce the clicking.  

Otherwise why not ignore excel completely and let R do all the work.  Use the libraries XLConnect, r2excel etc. to read and write what you need directly to the spreadsheets.  
by Edgey
August 30th, 2016, 4:49 pm
Forum: Trading Forum
Topic: Modelling Bid-Ask spread using explanatory variables
Replies: 26
Views: 4402

Re: Modelling Bid-Ask spread using explanatory variables

Are you looking at spot prices or futures?  Asking about Bid and Ask pricing is very confusing in this context.  Do you actually mean Supply and Demand pricing? In terms of spot price Renewable (Wind/Hydro/Solar/Nuclear) tend to bid at 0 Thermal (Coal, Gas, Bio) bid at their marginal cost, sometimes...
by Edgey
August 17th, 2016, 1:43 pm
Forum: Economics Forum
Topic: Blockchain ledgers for banks
Replies: 29
Views: 10972

Re: Blockchain ledgers for banks

1 Ledgers can be public, but (partially) encrypted.  Value could be determined by the regulator without exposing all information to all parties.   2 If the ledger is self contained (a la bitcoin) then reality = record.  But if you want some real world value on the blockchain then you need some sort ...
by Edgey
July 12th, 2016, 2:36 pm
Forum: Book And Research Paper Forum
Topic: [Request] Fixed vs Floating irates - Existence of a risk premium
Replies: 11
Views: 7042

Re: [Request] Fixed vs Floating irates - Existence of a risk premium

List1 - Paul restates my question far better than I could explain.  Please let me know if I can clarify further.   Paul - Found a copy.  Thanks!  Paper link A very interesting read.  Just what I was looking for.  I'll add some comments if I may:- The sample period covered in the paper is one of decr...
by Edgey
July 11th, 2016, 4:56 pm
Forum: Book And Research Paper Forum
Topic: [Request] Fixed vs Floating irates - Existence of a risk premium
Replies: 11
Views: 7042

Re: [Request] Fixed vs Floating irates - Existence of a risk premium

It seems this new formatting has some teething trouble.  Anyway. An example.   I can issue fixed at 2% for 10 years or I can issue floating at 0.5% now and take a gamble on future rates.   No arbitrage/financial theory tells me that I should be indifferent.  On average the floating rate will follow ...
by Edgey
July 11th, 2016, 10:03 am
Forum: Book And Research Paper Forum
Topic: [Request] Fixed vs Floating irates - Existence of a risk premium
Replies: 11
Views: 7042

[Request] Fixed vs Floating irates - Existence of a risk premium

So I got into an office argument about whether or not there is a risk premium for issuing debt as a floating rate risk rather than fixed (ignoring credit spread effects).   What I'm looking for is an empirical paper that shows that a premium doesn't (or does) exist.  Can anyone point me towards a so...
by Edgey
June 14th, 2016, 2:50 pm
Forum: Technical Forum
Topic: Reliability of historical Bundesbank data for risk management purposes?
Replies: 6
Views: 1305

Reliability of historical Bundesbank data for risk management purposes?

Whatever risk management you are doing, I'd look to repeat the same analysis using long term historical GBP and USD rates to get a fuller picture.
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