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by niki5
July 12th, 2011, 6:09 am
Forum: Book And Research Paper Forum
Topic: Recommendations for training material for quant interviews, anyone?
Replies: 8
Views: 26761

Recommendations for training material for quant interviews, anyone?

QuoteOriginally posted by: martingullyou must have heard of Paul Wilmott Introduces Quant Finance?If not, go get it.Never heard of Paul Wilmott?Shall I ?
by niki5
June 15th, 2011, 11:14 am
Forum: Trading Forum
Topic: WTI/Brent Spread Options
Replies: 19
Views: 22707

WTI/Brent Spread Options

<r>QuoteOriginally posted by: VolMasterYet, 20$ (or more, today) is way too wide (even with the "so called" fundamental reasons). Looking at the WTI-LLS spread you can see that it has been quite stable recently, however, the LLS-Brent spread has been the trigger for the collapse of the WTI-Brent spr...
by niki5
June 13th, 2011, 6:43 pm
Forum: Trading Forum
Topic: WTI/Brent Spread Options
Replies: 19
Views: 22707

WTI/Brent Spread Options

RWE Trading, Vitol, Glencore, Trafigura???
by niki5
January 24th, 2011, 12:04 pm
Forum: Book And Research Paper Forum
Topic: WACC books / articles
Replies: 5
Views: 25153

WACC books / articles

by niki5
February 4th, 2009, 8:22 am
Forum: Book And Research Paper Forum
Topic: Modeling Book
Replies: 3
Views: 43971

Modeling Book

QuoteOriginally posted by: fab10abTry Option Pricing and Volatility by Rouah and VainbergNice book Fabrice- we are wating for the second edition and dont forget to include this time merton- and bates model
by niki5
January 14th, 2009, 12:52 pm
Forum: Book And Research Paper Forum
Topic: sell CFA I books (almost new) and notes of 2007
Replies: 2
Views: 65574

sell CFA I books (almost new) and notes of 2007

I am giving for free CFA I 2008
by niki5
January 12th, 2009, 7:37 am
Forum: Student Forum
Topic: garch model based on first difference of index return
Replies: 14
Views: 47050

garch model based on first difference of index return

Hi Alan,would you mind taking short look at my GARCH model in the technical forum (EONIA)? I am doing something wrong since alpha+beta=> 1. What about EGARCH or IGARCH? Is IGARCH =EWMA?Thanks
by niki5
January 9th, 2009, 8:13 am
Forum: Technical Forum
Topic: EONIA
Replies: 6
Views: 46679

EONIA

<t>QuoteOriginally posted by: niki5I uploaded a GARCH file on EONIA. But i still having a problem with my model since i am not able to ensure the condition alpha+beta<1.Could someone help to adjust the model?I suppose my request is pretty ease for the quants and they are bored beyond belief, but I a...
by niki5
January 8th, 2009, 12:12 pm
Forum: Technical Forum
Topic: EONIA
Replies: 6
Views: 46679

EONIA

I uploaded a GARCH file on EONIA. But i still having a problem with my model since i am not able to ensure the condition alpha+beta<1.Could someone help to adjust the model?
by niki5
January 6th, 2009, 11:28 am
Forum: Book And Research Paper Forum
Topic: I need a topic for my thesis...
Replies: 9
Views: 45905

I need a topic for my thesis...

Pricing of Moment Swaps and their practical implementation
by niki5
January 2nd, 2009, 9:56 am
Forum: Technical Forum
Topic: EONIA
Replies: 6
Views: 46679

EONIA

<t>QuoteOriginally posted by: VegaPlusHi there,I'm still a student, it's my first message out there but let's try to answer.GARCH model can help you in that you estimate the volatility of the interest rate so its future values using the appropriate dynamic. You can use any interest rate model as you...
by niki5
December 22nd, 2008, 8:00 am
Forum: Technical Forum
Topic: EONIA
Replies: 6
Views: 46679

EONIA

<t>We have a energy contract, where the variable part is linked to EONIA (no other interest rates as benchmark). I woluld like to asses the the future spot rates (3-4 years) in order to calculate the price of the contract at any given time in the future (i have no access to Bloomberg or Reuters ). I...
by niki5
December 19th, 2008, 1:21 pm
Forum: Technical Forum
Topic: EONIA
Replies: 6
Views: 46679

EONIA

<t>Which method should I use in order to calculate/estimate EONIA? I need the result to simulate VaR. I have to admitt that i am not having too much experience with interest rate models. Which methods are employed by the banks ?Sorry, if the question sonds to easy or stupid for the most quants Thank...
by niki5
September 10th, 2008, 10:17 am
Forum: Student Forum
Topic: Stochastic Calcul- basic
Replies: 4
Views: 49427

Stochastic Calcul- basic

<t>How to solve this ? Any help apriciated.Consider the stochastic process Y(t) satisfying the SDE dY(t)=f(t)dt+g(t)dX(t), Y(0)=Y0 where f(t) and g(t) are two time-dependent functions and X(t) is a standard Brownian Motion How should we choose f(t) if we we want the process Z(t)=e^Y(t) to be an expo...
by niki5
August 28th, 2008, 7:12 pm
Forum: General Forum
Topic: anyone familiar with turbo certificate?
Replies: 1
Views: 50020

anyone familiar with turbo certificate?

Produktdesign und Semi–Statische Absicherung von Turbo–Zertifikaten-Dr. Antje Mahayni, Michael SuchaneckiMatthias Muck-Pricing Turbo Certificates in the Presence ofStochastic Jumps, Interest Rates, and Volatility
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