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by newbanker
April 28th, 2015, 12:37 pm
Forum: General Forum
Topic: "Yield To Maturity Is Always Received as Promised"
Replies: 1
Views: 3142

"Yield To Maturity Is Always Received as Promised"

<t>Stumbled upon a 7-years old paper today, titled as above. It claims the following:This note comments on a misconception that yield to maturity from holding a coupon bond until maturity is only promised, but not really received, unless coupon payments are reinvested at the same rate as the (origin...
by newbanker
July 30th, 2014, 6:05 am
Forum: General Forum
Topic: Why we have never received a Noble prize?
Replies: 11
Views: 5373

Why we have never received a Noble prize?

Maybe because we have never used the Black-Scholes-Merton Option Pricing Formula.
by newbanker
May 30th, 2014, 8:04 am
Forum: Technical Forum
Topic: Errors in Hagan's papers on LGM
Replies: 2
Views: 5012

Errors in Hagan's papers on LGM

Thank you for reply. I looked again, and you are right. My mistake.
by newbanker
May 29th, 2014, 10:37 am
Forum: Technical Forum
Topic: Errors in Hagan's papers on LGM
Replies: 2
Views: 5012

Errors in Hagan's papers on LGM

<t>In the paper "Evaluating and Hedging swap instruments via LGM", on page 14, displayed equation (5.6), there appears to be a typographicalerror in passing from the second integral to the third. Instead of the square of the differences [$](H_i-H_0)^2[$], there should appearthe difference of the squ...
by newbanker
April 27th, 2011, 11:11 am
Forum: Technical Forum
Topic: Calibration of Quadratic Gaussian model
Replies: 10
Views: 24685

Calibration of Quadratic Gaussian model

According to Dr. Wilmott's recent talk in Paris, you should first ask the modelers if they use their own model, before you try and calibrate it.
by newbanker
April 27th, 2011, 11:09 am
Forum: Careers Forum
Topic: What exactly does a Quant Trader do??
Replies: 13
Views: 22178

What exactly does a Quant Trader do??

Forgive my boldness, but wouldn't the answer be a union of what a quant does (pure, unpure, doesn't matter) and what a trader does?
by newbanker
April 27th, 2011, 10:47 am
Forum: General Forum
Topic: The role of maths in finance by Paul
Replies: 54
Views: 26780

The role of maths in finance by Paul

It is when mathematicians stop doing mathematics and begin to talk about it, when things get too populistic for my little cup of tea. The talk was rather boring I thought.
by newbanker
July 6th, 2010, 5:56 am
Forum: General Forum
Topic: Cleaning Implied Volatility data
Replies: 1
Views: 26255

Cleaning Implied Volatility data

What time series are associated with your implied vol?
by newbanker
February 4th, 2010, 8:08 am
Forum: General Forum
Topic: FX correlation swap
Replies: 3
Views: 34113

FX correlation swap

<t>Most banks compute correlation between two currency pairs in the mathematical sense. Goldman, however,have a version they call "drift-free", whereby one computes the correlation as if the logarithmic ratesof change of both currency pairs have average = 0. Naturally there are differences between t...
by newbanker
September 19th, 2009, 8:22 am
Forum: General Forum
Topic: Nelson Siegel: Why a 2nd order linear ODE?
Replies: 9
Views: 37124

Nelson Siegel: Why a 2nd order linear ODE?

<t>I don't know to what extent they are of practical use. I do know that lots of folks use NS on a daily basis. Regardless, myquestion can be treated as purely theoretical: it is really interesting to know how come you decide that something obeysthis differential equation or that; it certainly sugge...
by newbanker
September 18th, 2009, 5:31 am
Forum: General Forum
Topic: Nelson Siegel: Why a 2nd order linear ODE?
Replies: 9
Views: 37124

Nelson Siegel: Why a 2nd order linear ODE?

<t>"my observation is that N&S is confined to undergraduate textbooks or old-school guys who spline the treasury curve for LTCM-style rich/cheap analysis"Gmike: We just about had a trifle too much and a little too many of the pompous new school guys whohave no clue as to what the letters C,D,O, ...
by newbanker
September 16th, 2009, 11:56 am
Forum: General Forum
Topic: Nelson Siegel: Why a 2nd order linear ODE?
Replies: 9
Views: 37124

Nelson Siegel: Why a 2nd order linear ODE?

<t>Nelson and Siegel derive their famous functional-form model for the spot & forward rates under (or rather, on-top-of)the assumption that the (instantaneous) forward rate satisfies a 2nd order non-homogeneous linear ODE. That is,if f(t) denotes the forward rate at future time t, (now equals ze...
by newbanker
March 22nd, 2009, 10:53 am
Forum: Student Forum
Topic: Hull White Calibration
Replies: 3
Views: 42841

Hull White Calibration

QuoteOriginally posted by: mirmihI think I've got it. HW sigma is volatility of the absolute changes while implied vol is the volatility of the logs.Almost.. the implied vol is the volatility of the rate of change (dR/R), not the logs of the change.
by newbanker
April 21st, 2008, 2:23 pm
Forum: General Forum
Topic: Why you should not sell a CDS to John Hull
Replies: 3
Views: 55973

Why you should not sell a CDS to John Hull

QuoteOriginally posted by: manolomTakashi Kanazawa already noticed a typo in that exampleThanks for pointing that out. However, the typo pointed out by Takashi Kanazawa has nothing to dowith the fact that the spread is calculated incorrectly. The mistake is by no means a typo.
by newbanker
April 21st, 2008, 11:36 am
Forum: General Forum
Topic: Why you should not sell a CDS to John Hull
Replies: 3
Views: 55973

Why you should not sell a CDS to John Hull

<t>I have in front of me the 5th edition of Hull's book. Chapter 27, Example 27.1, p. 640.A calculation of a vanilla CDS spread is presented. As in most of the other examples in the book,the calculation ought to be merely a matter of plugging numbers into a formula. Sure enough, numbersare plugged i...
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