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by StockBoss
December 8th, 2012, 2:43 pm
Forum: General Forum
Topic: you might as well buy that euroyen because it aint goin down
Replies: 76
Views: 15763

you might as well buy that euroyen because it aint goin down

<t>QuoteOriginally posted by: farmerSee, no love for either the dollar, or "some other dollar."Quote"The BOJ can and should buy foreign bonds," Ito said. This is possible if the finance minister publicly declares support for such purchases, he said, advocating the bank buy debt from issuers such as ...
by StockBoss
December 5th, 2012, 8:12 pm
Forum: General Forum
Topic: you might as well buy that euroyen because it aint goin down
Replies: 76
Views: 15763

you might as well buy that euroyen because it aint goin down

<t>QuoteOriginally posted by: farmerHere is my best theory. Here is this guy Joe at the central bank, the BOJ. And here is this guy Jim, who is the same age as Joe, and is a titan of industry. They know each other. Jim's company has billions in debt. If Joe prints money, then Jim will basically get ...
by StockBoss
December 2nd, 2012, 11:09 am
Forum: General Forum
Topic: you might as well buy that euroyen because it aint goin down
Replies: 76
Views: 15763

you might as well buy that euroyen because it aint goin down

I've been in it too, but got out of it for structural reasons at month end, but should probably reenter, as you point out lots off ppl been shorting into the spikes, even Financial Times on 2 occations last week. But why EURJPY? Why not just USDJPY or "some other dollar"/JPY?
by StockBoss
September 8th, 2012, 6:39 pm
Forum: General Forum
Topic: Draghi uses Wilmott's "Control Reversal" (sort of)
Replies: 8
Views: 11586

Draghi uses Wilmott's "Control Reversal" (sort of)

Sweet!!QuoteOriginally posted by: farmerAnyway I am buying the hell out of this euro. q]
by StockBoss
August 21st, 2012, 6:25 am
Forum: Numerical Methods Forum
Topic: Fastest numerical method to price barrier options?
Replies: 35
Views: 18411

Fastest numerical method to price barrier options?

Sorry I dont know, I've stumbled into a thread with much smarter ppl then me
by StockBoss
August 19th, 2012, 8:39 am
Forum: Numerical Methods Forum
Topic: Fastest numerical method to price barrier options?
Replies: 35
Views: 18411

Fastest numerical method to price barrier options?

<r>I think numerical path integration is pretty fast if you want flexibility in your underlying distribution. Check out <URL url="http://www.math.ntnu.no/preprint/statistics/2010/S13-2010.pdf"><LINK_TEXT text="http://www.math.ntnu.no/preprint/statis ... 3-2010.pdf">http://www.math.ntnu.no/preprint/s...
by StockBoss
May 23rd, 2011, 3:12 am
Forum: Student Forum
Topic: D Vol D Theta (Or relationship between Impl Vol and Time to maturity)
Replies: 2
Views: 20321

D Vol D Theta (Or relationship between Impl Vol and Time to maturity)

<t>Hi guys, looking for an analytical formula for the below in a BS world:Given constant option price, how much change in Sigma with current maturity T, would correspond to a (say) 1 day change in maturity T? DVolDThetaIs there an analytical formula for this "Greek"? I'm overseas for an extended per...
by StockBoss
March 21st, 2009, 6:00 am
Forum: Trading Forum
Topic: Trading (US equities) at the Open question
Replies: 8
Views: 43277

Trading (US equities) at the Open question

<t>maler, thats a great study. I don't trade much in US, but a lot in Europe and now Asia. Think the effects you investigate are very interesting when trying to achieve best execution against e.g. vwap.Could you explain a bit more detailed the PCA model you used to calculate the residual return? Hav...
by StockBoss
November 9th, 2008, 2:14 pm
Forum: Careers Forum
Topic: OR at Berkeley
Replies: 7
Views: 47724

OR at Berkeley

Brilliant
by StockBoss
September 14th, 2008, 11:15 am
Forum: Book And Research Paper Forum
Topic: Volatility Trading by Euan Sinclair
Replies: 31
Views: 71215

Volatility Trading by Euan Sinclair

<t>I certainly understand, got a bit concerned when reading that the author had spent his trading career only shorting on up-ticks Just started on your book, have to disagree with this negative LSEstat guy, seems like a strong bullcase to me, congratulations!!! If I see any more errors I'll be happy...
by StockBoss
September 13th, 2008, 3:41 pm
Forum: Book And Research Paper Forum
Topic: Volatility Trading by Euan Sinclair
Replies: 31
Views: 71215

Volatility Trading by Euan Sinclair

Page 12: "In the United States, stocks can only be shorted on an uptick"Thats wrong.
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