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by pisia
September 19th, 2008, 3:13 am
Forum: Technical Forum
Topic: How investment bank deal with liquidity risk?
Replies: 5
Views: 49631

How investment bank deal with liquidity risk?

How do investments bank deal with liquidity risk? There are three main time-honored approaches:1. Go bankrupt2. Get taken over/sell themselves3. Close their eyes and hope for the bestThe literature on this is vast, just not very formal.
by pisia
May 25th, 2008, 4:03 am
Forum: General Forum
Topic: Taleb's crusade against BSM equation
Replies: 239
Views: 84445

Taleb's crusade against BSM equation

<t>QuoteOriginally posted by: torontosimpleguyQuoteOriginally posted by: MarsdenQuoteOriginally posted by: torontosimpleguy... and suggested there to use Stratonovich calculus instead of Ito ...Stratanovich calculus, if I recall correctly, requires knowing δ²G/δZ² at t+½dt in order to integrate over...
by pisia
May 23rd, 2008, 5:43 am
Forum: General Forum
Topic: Hakansson paradox
Replies: 6
Views: 56310

Hakansson paradox

<t>QuoteOriginally posted by: HerdThe Derman Taleb article "The illusions of dynamic replication" refers to Hakansson's paradox: "Hakansson's so -called paradox encapsulates the skepticism about dynamic replication: if options can only be priced because they can be replicated, then, since they can b...
by pisia
December 15th, 2006, 6:11 am
Forum: Off Topic
Topic: Amaranth
Replies: 63
Views: 96828

Amaranth

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: UnderTheRadarThe old reason of, "a highly unlikely event took place" is the blame. In other words, the spread did something I never expected it to do and I blew up because I was trading too many contracts. ........however, when the...
by pisia
March 20th, 2006, 1:56 pm
Forum: Careers Forum
Topic: GS vs the French quant
Replies: 61
Views: 120004

GS vs the French quant

<t>QuoteOriginally posted by: DCFCNo, you truly have no clue. You seem to think that if there are fees it's gonna mean the end of access to education.I observe the correlation between parental income and university.You done correlation or is that sort of thing or only for French quants ?Yes, there i...
by pisia
March 20th, 2006, 4:12 am
Forum: Careers Forum
Topic: GS vs the French quant
Replies: 61
Views: 120004

GS vs the French quant

<t>QuoteOriginally posted by: DCFC>You are missing the point. Would Einstein, who did not do too well at the University (failed to secure a reputable teaching position and had to settle for a patent clerk position), have a chance in a system that determines your life by the entrance exam? Or would i...
by pisia
March 20th, 2006, 1:04 am
Forum: Careers Forum
Topic: GS vs the French quant
Replies: 61
Views: 120004

GS vs the French quant

<t>QuoteOriginally posted by: DCFCThat the system is very rigid, and people confuse creativity with exams? Would Einstein (the patent clerk) be possible in France?Would Feynman have been possible in the USA ?Read up on his life. He was barred from his first choice of university. After the war a form...
by pisia
March 19th, 2006, 7:34 pm
Forum: Careers Forum
Topic: GS vs the French quant
Replies: 61
Views: 120004

GS vs the French quant

<t>QuoteOriginally posted by: DCFC>problem with this reasonong is that it does not exclude that french senior quants are prejudiced >towards people with their own background. I was quite specific that prejudice existed in QF, merely that it was less than other fields.As for French quants I think you...
by pisia
November 4th, 2005, 12:54 am
Forum: Technical Forum
Topic: Question for stats people - a correlation-like thing
Replies: 5
Views: 130740

Question for stats people - a correlation-like thing

This thing is "concordance". There are different measures of concordance, which will get you what you want: for example kendal's tau or Spearmans's rho. Look up papers by Embrechts or the book by Nelsen ("introduction to Copulas").
by pisia
November 3rd, 2005, 3:37 am
Forum: General Forum
Topic: From implied vol to implied distribution
Replies: 36
Views: 138758

From implied vol to implied distribution

<t>This is a well-known problem with an easy solution (by Dupire if I remember correctly). The second derivative of option prices with respect to the strike gives you the conditional density at the strike (discounted). So, if you have quotes for all the strikes (or at least a reasonable interpolatio...
by pisia
September 30th, 2005, 1:33 am
Forum: Off Topic
Topic: Global Warming - Scientific Aspects
Replies: 709
Views: 178449

Global Warming - Scientific Aspects

<r>QuoteOriginally posted by: TraderJoeHardly a week goes by anymore without yet another report indicating the effects of green-house gas induced climate change. Here's the latest just out:The current rate of Arctic ice cap shrinkage over the last thirty years scientists calculate at 8% per decade; ...
by pisia
May 26th, 2005, 3:10 pm
Forum: Book And Research Paper Forum
Topic: Weather Derivatives
Replies: 12
Views: 150885

Weather Derivatives

<r>QuoteOriginally posted by: TraderJoeQuoteOriginally posted by: JamesH83thanks pcerutii,Just took a look at this paper, which I found very clear.<URL url="http://www.energyforum.net/downloads/reports/fat_1.pdfThey"><LINK_TEXT text="http://www.energyforum.net/downloads/re ... _1.pdfThey">http://www...
by pisia
February 4th, 2005, 1:28 am
Forum: Off Topic
Topic: most outstanding litterature work and author
Replies: 89
Views: 166946

most outstanding litterature work and author

<r>QuoteOriginally posted by: mdubuqueQuoteOriginally posted by: brontosaurusQuoteOriginally posted by: mdubuqueAutumn of the Patriarch, by Gabriel Garcia Marquez. Marquez states that this is his personal favorite and it is a hilarious and indispensable guide to understanding Latin American politics...
by pisia
November 24th, 2004, 1:44 pm
Forum: Technical Forum
Topic: Modeling Spark Spread Distribution
Replies: 2
Views: 169578

Modeling Spark Spread Distribution

<t>QuoteOriginally posted by: GogolaAnitaQuoteOriginally posted by: iamlearner(...)historically it seems to be a normal distribution with fat tails.I.e. a Lévy distribution.I would use maximum likelihood m,ethod. It is not that difficult to calculate the conditional char function. You can even model...
by pisia
November 19th, 2004, 6:23 pm
Forum: General Forum
Topic: Pricing spread options using Black (1976)
Replies: 26
Views: 174060

Pricing spread options using Black (1976)

QuoteOriginally posted by: gnatty8pisia : have you found those word docs you referred to? I am anxiously awaiting them!!I tried uploading the file, but the forum software is not letting me do it. Send me your private e-mail, and I will send you the file.
GZIP: On