SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by DavidJN
August 1st, 2019, 2:25 pm
Forum: General Forum
Topic: Circular barrier
Replies: 14
Views: 438

Re: Circular barrier

Try Kunitomo and Ikeda (1992), which is likely referenced in more recent papers.
by DavidJN
July 19th, 2019, 1:20 pm
Forum: Numerical Methods Forum
Topic: High Accuracy Greeks computation under trinomial model
Replies: 12
Views: 431

Re: High Accuracy Greeks computation under trinomial model

You can improve the accuracy of delta computations by implementing the "overshoot" technique, which removes the dt issue you described.  This technique is described in Hull's classic textbook.
by DavidJN
July 10th, 2019, 4:41 pm
Forum: Technical Forum
Topic: A proposal
Replies: 6
Views: 412

Re: A proposal

And at the risk of moving into something of a rant, despite a very unimpressive track record of macroeconomics in forecasting pretty much anything, regulators are increasingly requiring financial firms to include forecasts of macroeconomic variables in their assessment of capital adequacy (e.g. CCAR...
by DavidJN
July 10th, 2019, 4:30 pm
Forum: Technical Forum
Topic: A proposal
Replies: 6
Views: 412

Re: A proposal

What you seek seems to be a model that connects the "real" economy including fiscal and taxation policies with the financial economy.  As far as I am aware, no one has achieved anywhere near such an integrated view. DSGE (distributed stochastic general equilibrium) macro models as used by central ba...
by DavidJN
July 10th, 2019, 4:11 pm
Forum: General Forum
Topic: Quant Commodities Interview questions
Replies: 2
Views: 257

Re: Quant Commodities Interview questions

You might be underestimating the difficulty of working in that asset class. At the risk of being less than scientific, I recall more commodity desk blowups than in other asset classes. Commodities are notoriously difficult to model and hedge because of evident price gapping behaviour, the markets ar...
by DavidJN
May 5th, 2019, 5:28 pm
Forum: Off Topic
Topic: Global Warming - What We Can Do (Mitigation)
Replies: 579
Views: 196078

Re: Global Warming - What We Can Do (Mitigation)

BTW, the authors of that article are just journalists, if I'm not mistaken...."

You are mistaken. This particular research was done by qualified scientists and peer reviewed. And yes, having fewer or no children is something also found high on their list of things people can do on their own.
by DavidJN
May 5th, 2019, 1:14 pm
Forum: Off Topic
Topic: Global Warming - What We Can Do (Mitigation)
Replies: 579
Views: 196078

Re: Global Warming - What We Can Do (Mitigation)

A couple of years ago I corresponded with one of the authors of a refereed article that rated the efficacy of actions for reducing one's personal environmental footprint. The article included the obvious suggestions (ditching the car, going vegetarian, etc.) but completely missed an obvious one - na...
by DavidJN
May 4th, 2019, 6:19 pm
Forum: Technical Forum
Topic: Simulate extremes of a Brownian motion
Replies: 6
Views: 412

Re: Simulate extremes of a Brownian motion

Seeing as both Monte Carlo and binomial trees can be used to price options, can the poster's questions be related to the geometry of the binomial tree? 
by DavidJN
March 14th, 2019, 9:52 pm
Forum: Book And Research Paper Forum
Topic: Machine Learning for Bond Options pricing/hedging
Replies: 5
Views: 412

Re: Machine Learning for Bond Options pricing/hedging

Does it have to be options? If not, how about Treasury bond futures?
by DavidJN
March 8th, 2019, 12:26 pm
Forum: General Forum
Topic: I want to steal his CEO job NOW!
Replies: 19
Views: 1141

Re: I want to steal his CEO job NOW!

".... it is very very hard, for a life insurance company to be under distress."

You might instead consider stand-up comedy as a career?
by DavidJN
March 4th, 2019, 11:56 pm
Forum: Off Topic
Topic: Sixties Music *****
Replies: 43
Views: 4938

Re: Sixties Music *****

Let's take this thread a little "outside"?
by DavidJN
February 21st, 2019, 2:14 am
Forum: Student Forum
Topic: SOFR discounting
Replies: 2
Views: 329

Re: SOFR discounting

I recommend you read this:
https://www.newyorkfed.org/medialibrary ... RC-faq.pdf
The ARRC is the  Alternative Reference Rates Committee.
by DavidJN
February 19th, 2019, 2:21 pm
Forum: Student Forum
Topic: ATMF ?
Replies: 4
Views: 373

Re: ATMF ?

Forgetting options for a moment, ATMF means that no money needs to change hands today when agreeing to a transaction settling at some date later than spot settlement. Don’t get too hung up on measure here, just think of what the price has to be for the transaction to be arbitrage-free. Review the 'c...
by DavidJN
February 15th, 2019, 4:20 am
Forum: Programming and Software Forum
Topic: Excel C API question
Replies: 5
Views: 367

Re: Excel C API question

Okay, I remembered it. Count the number of characters including blank spaces in the text string and convert the answer from decimal to octal. 
by DavidJN
February 13th, 2019, 4:17 am
Forum: Programming and Software Forum
Topic: Excel C API question
Replies: 5
Views: 367

Excel C API question

I've built my XLL add-ins using the Excel C API for ages but not lately, and I've forgotten a detail. The code line below assigns an error message string that will be returned by a function if a certain argument fails a certain error check: result.val.str = "\043Time_in_years must be non-negative!" ...
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