Is it reasonable to assume that there is not that much innovation as there is not much in terms of new products? The structured products investment and trading grinder to a halt in 2008/'09 and most advances in Quant trading these days are done with AI approaches (=Black Box = no material for papers...

<t>it depends on the structure of the trades you are doing.In case you are a long-only investor you can't do much about it apart from spreading the trades so that at least not one broker sees your entire strategy and maybe you mask the profitability of your book sufficiently so that nobody notices j...

great. thanks!

the t(shout(i)) is obv. meant as r(t(shout)i)... sry about that

<t>Hi all,I got a new portfolio recently and inherited a pretty ugly structure with it. The security in question works similar to a shout option on interest rates. In the beginning of the year a reference swap rate is determined and the investor (aka me) has a year to "shout" in oder to lock in a co...

<t>why should you be obliged to post collateral? you are paying a fixed rate, if the spread tightens or widens doesn't matter. in case of a credit event you receive the short protection leg of payments. The only counterparty risk for the protection seller is that you can't pay the upfront agreed pri...

great. Thanks a lot

<r>Hi,does anybody know an exhaustive list of credit events? I'm especially interested in credit events that happened in the iTraxx space. I was searching markit.com, but their news page (<URL url="http://www.markit.com/en/products/data/indices/credit-and-loan-indices/itraxx/news.page"><LINK_TEXT te...

depends on the underlying. But rule of thump is:1. 5y2. 10y3. 7y4. 3y5. 1y6. 2y7. all else

frontrunning

<t>QuoteOriginally posted by: farmerDoes anyone have any historical examples of a one-time tax in the UK or anywhere else? Isn't that like trying to eat one potato chip?I tried, but didn't find any example for it. Really great counter example though:The "Schaumweinsteuer" (sparkling wine tax) was in...

not entirely sure about the making of the law, but from what I hear it runs out in april, right? wouldn't it be sufficient to simply defer the bonus payment to may?

<t>To be honest I'm not entirely sure but it might have something to to with counterparty risk. If your issuer of the warrant defaults you become a general creditor (e.g. Lehman '08), whereas the ETF is an investment vehicle (i.e. ring fenced) and should survive the default of the original issuer. I...

QuoteOriginally posted by: plusIt will go to 5000000$ at some point in future.financial maths rock!!! but I doubt it despite the assumption of a brownian motion for the gold price.

<t>If you wanted to valuate your CDS for your own purposes, you'd have to take your own funding curve. However, if you want to terminate a CDS contract between two parties you have to find some kind of common ground. As the LIBOR is the "London Inter Bank Offering Rate" it serves as such because it ...