SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by DavidJN
October 15th, 2019, 2:18 pm
Forum: General Forum
Topic: money creation
Replies: 2
Views: 174

Re: money creation

I will read your reference, but before I do I will just note a couple of things. I share your skepticism about the received wisdom that banking activities increase the money supply With one exception, when they extend credit, banks lend out other people's money - either borrowed money (deposits, deb...
by DavidJN
October 10th, 2019, 11:06 pm
Forum: Numerical Methods Forum
Topic: Filling gaps in correlated bivariate data
Replies: 3
Views: 380

Re: Filling gaps in correlated bivariate data

SAS has functionality for this kind of stuff. E&Y has been applying it to fill in historical time series for FRTB clients.
by DavidJN
October 10th, 2019, 11:04 pm
Forum: Numerical Methods Forum
Topic: Filling gaps in correlated bivariate data
Replies: 3
Views: 380

Re: Filling gaps in correlated bivariate data

There's a lot of real estate to fill in there. Might the correlated Brownian bridge technique be useful?
by DavidJN
October 3rd, 2019, 1:36 pm
Forum: General Forum
Topic: Inner Circle
Replies: 6
Views: 528

Re: Inner Circle

Recalling the process of signing up, wasn't the idea behind it the same idea as with all forms of social media -  to learn things about you that can be somehow exploited for money? 
by DavidJN
September 20th, 2019, 4:06 pm
Forum: Trading Forum
Topic: Early Exercise Risk Management for American Option
Replies: 9
Views: 740

Re: Early Exercise Risk Management for American Option

Unless there is no liquidity, in which case much of theory becomes less useful, the suggestion that a market maker can only delta hedge is unrealistic. I say that as a former option trader in a number of underlyings (fixed income, equity, FX). Simulation is a good framework to investigate your own a...
by DavidJN
September 4th, 2019, 1:52 pm
Forum: Student Forum
Topic: Interview Question
Replies: 2
Views: 2534

Re: Interview Question

I’ve seen this question before and thought it insufficiently phrased. Apart from not knowing the investment purpose and the investment horizon (a pension plan might logically operate differently than a bank trading desk), what is the regulatory capital treatment of the asker? The question is likely ...
by DavidJN
September 2nd, 2019, 12:49 pm
Forum: General Forum
Topic: Does Macro Variables help in predicting Market Retrun?
Replies: 6
Views: 1560

Re: Does Macro Variables help in predicting Market Retrun?

The financial sector is typically simplistically represented in DSGE (distributed stochastic general equilibrium) macroeconomic models, sometimes as simple as plug variables that assumes perfect competition and deny the possibility of a financially induced recession. Macroeconomics as   a discipline...
by DavidJN
August 27th, 2019, 10:22 pm
Forum: Off Topic
Topic: Is Ayn Rand God?
Replies: 119
Views: 42528

Re: Is Ayn Rand God?

Wasn't Alan Greenspan one of her many lovers? Yuck!
by DavidJN
August 27th, 2019, 10:19 pm
Forum: Student Forum
Topic: PnL for dividends and REPO
Replies: 2
Views: 16764

Re: PnL for dividends and REPO

What do you mean by a "PnL formula for dividends"?  A rate of return over an arbitrary holding period consists of two parts - any cash income received (e.g. dividend), plus the capital gain or loss.
by DavidJN
August 23rd, 2019, 4:24 pm
Forum: Economics Forum
Topic: Is economics a science?
Replies: 14
Views: 1670

Re: Is economics a science?

 ‘A science’ containing contradictions is not a science, but an intellectual mess.

Has mathematics resolved the incompleteness theorems (e.g. Godel)? That is a question rather than a statement.
by DavidJN
August 22nd, 2019, 2:43 am
Forum: General Forum
Topic: Quant based Momentum Trading Framework
Replies: 6
Views: 1900

Re: Quant based Momentum Trading Framework

I posted to the wrong thread. Sorry for your ouch. 
by DavidJN
August 1st, 2019, 2:25 pm
Forum: General Forum
Topic: Circular barrier
Replies: 14
Views: 1499

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: 1493

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: 1537

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...
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