SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 1694 matches

by DavidJN
January 2nd, 2019, 3:10 pm
Forum: Book And Research Paper Forum
Topic: The FLAW & HOW TO FIX CAPITALISM
Replies: 15
Views: 693

Re: The FLAW & HOW TO FIX CAPITALISM

" yes this is an interesting topic, some we can find from option theory and practice." Indeed. I did that kind of research in the late 1980's and that is partly how I informed my opinion on the topic. Have you read any of the Free Banking literature? Kevin Dowd from the UK is one proponent of this i...
by DavidJN
December 4th, 2018, 4:04 am
Forum: Book And Research Paper Forum
Topic: The FLAW & HOW TO FIX CAPITALISM
Replies: 15
Views: 693

Re: The FLAW & HOW TO FIX CAPITALISM

Limited liability is a fascinating topic. Assuming any private company ever had the wherewithal to sell it (which I totally doubt), what would the premium to buy limited liability insurance? I imagine it would be enormous. This being so, I have always thought that the corporate tax should be fairly ...
by DavidJN
December 4th, 2018, 3:57 am
Forum: Economics Forum
Topic: Seven Deadly Innocent Frauds of Economic Policy - Mosler Economics
Replies: 3
Views: 175

Re: Seven Deadly Innocent Frauds of Economic Policy - Mosler Economics

It is fascinating reading, at first blush its hard to tell if the guy is the next prophet (profit?) or a nut. There seems to be a lot of the confidence fairy within it, I assume that would be the angle against it that Krugman would take.As for alternate theories of finance, I find the free banking i...
by DavidJN
November 25th, 2018, 4:17 pm
Forum: Numerical Methods Forum
Topic: Difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio
Replies: 9
Views: 272

Re: Difference between pricing a closed form and finite difference method whilst pricing liquid CDS portfolio

Especially back in older days with limited computing power, it was not uncommon for risk systems to use closed-form approximations  in the interests of reducing computation times. It is not unusual to see this still today when dealing with products requiring slow path-dependent valuation like you ar...
by DavidJN
October 14th, 2018, 5:06 pm
Forum: Technical Forum
Topic: Libor rates
Replies: 1
Views: 269

Re: Libor rates

LIBOR stands for London Interbank Offer Rate. 3-month LIBOR is the rate that applies over a 3-month interbank loan/deposit.  3-month LIBOR is not a compounded interest rate, but is typically quoted as a money market rate with the actual/360 day count. So, the PV of $1 discounted at 3-month LIBOR wou...
by DavidJN
September 30th, 2018, 4:01 am
Forum: General Forum
Topic: Different Options Dividends Adjustment
Replies: 2
Views: 201

Re: Different Options Dividends Adjustment

Presumably the strike would drop at the ex-dividend date. I am pretty sure the old finance and investment textbooks used to suggest that the ex-dividend price drop may be less than the dividend amount due to tax effects. And I recall academics used to work that logic backward to estimate the margina...
by DavidJN
July 19th, 2018, 10:51 pm
Forum: Politics Forum
Topic: Trudeau the Groper
Replies: 30
Views: 964

Re: Trudeau the Groper

Why the hack job on Trudeau? Because he is a Liberal? He is also a pretty tough guy, check out on youtube how be beat up a brutish and much physically larger Tory senator in a charity boxing match. The loser's name was Patrick Brazzeau, who, inexplicably had pending criminal cases and previous convi...
by DavidJN
July 19th, 2018, 10:46 pm
Forum: Technical Forum
Topic: Local Volatility
Replies: 4
Views: 807

Re: Local Volatility

It is common in option modeling to differentiate between diffusion or volatility time, and the forward period for the underlying. The instant you execute an option trade you are exposed to price movements in the underlying even though a spot trade in the underlying made at the same time hasn’t yet s...
by DavidJN
July 14th, 2018, 2:57 pm
Forum: General Forum
Topic: Should You Pay More Than Assets Less Liabilities For A Company?
Replies: 8
Views: 581

Re: Should You Pay More Than Assets Less Liabilities For A Company?

Get a copy of the undergrad corporate finance textbook textbook by Brealey and Myers and look up their stuff on PVGO - Present Value of Growth Opportunities. 
by DavidJN
March 19th, 2018, 11:31 am
Forum: Student Forum
Topic: Valuing Currency Forward ???
Replies: 10
Views: 9073

Re: Valuing Currency Forward ???

ppauper: I am not interested in any particular jurisdiction, just trying to throw some light on the poster's questions. So there is shade in America, imagine that!
by DavidJN
March 17th, 2018, 6:01 pm
Forum: Student Forum
Topic: Valuing Currency Forward ???
Replies: 10
Views: 9073

Re: Valuing Currency Forward ???

I didn't look at the reference provided by the previous poster, but a comparison of forwards and futures now needs to take into account whether the trade is collateralized. Collateral exchange makes a forward contract behave more like a future, although there is still a difference between the consta...
by DavidJN
March 1st, 2018, 9:59 am
Forum: General Forum
Topic: Swaption settlement trend
Replies: 24
Views: 19173

Re: Swaption settlement trend

It is indeed refreshing to see a thread that has not yet been hijacked into irrelevant humour by the usual suspects. From BNY Mellon's "Cleared Swap Handbook":  "– Centrally cleared OTC derivative contracts are valued by the CCPs independently using an auction process in which its members participa...
by DavidJN
February 6th, 2018, 3:41 am
Forum: Technical Forum
Topic: Basel LCR deposit product
Replies: 0
Views: 397

Basel LCR deposit product

Old news surely, but a deposit product that seems a dead ringer for gaming the Basel LCR calculation is the constant maturity deposit. It originates as a 32-day deposit with a fixed rate. Every day the deposit is automatically re-struck with a new maturity of 32 days and possibly a new fixed rate. A...
by DavidJN
December 18th, 2017, 11:49 pm
Forum: Trading Forum
Topic: What is Gamma scalping, really?
Replies: 21
Views: 1883

Re: What is Gamma scalping, really?

A fancy name for good luck, perhaps selling it as skill for a higher bonus.
by DavidJN
November 28th, 2017, 2:29 pm
Forum: Trading Forum
Topic: Risky Corporate Bond Settlement Scenario
Replies: 5
Views: 649

Re: Risky Corporate Bond Settlement Scenario

From a legal perspective, when a bond defaults all accrued and future interest payment obligations disappear and the principal payment becomes due immediately. The market price of a bond then becomes the risk-adjusted PV of the recovery of principal, implying a recovery rate.  Unless the default is ...
GZIP: On