<t>I always wondered: +C -P to short div on a stock with a lot of CB positions which results in high repo from CB hedge. So in a sense shorting repo through synthetic forward position. Then I build a portfolio with top 5 CB names with highest repo, and I do dispersion on it, with all options being s...

<t>I caught onto this thread late but just a comment on HK/NY/London. The issue with Shanghai and Beijing not being able to allow complex derivatives trader is beyond the infrastructure in place. If you ever go to China looking to sign a contractual deal or to handle matters linked to judicial law o...

<t>Hi, I second that Princeton has the best Masters in Finance program. I mean look at the placement rate this year, Columbia's MSFE dropped to 30-40% (as it stands) and Princeton is still at 100% (or near that figure anyways). Granted that Princeton has a smaller class size but still .... Also, age...

<t>I can't say which books are good for your purpose since I am more a market participant rather than an academic ..... BUT I think you should buy Smirnov (Smirnoff) a meal and be great friends, that will get you a job rather than reading all the books in the world (hehe). Anyways, congrats on a fin...

<t>Hey Infidel, This is an interesting issue you brought up and I would just like to offer my 2 cents. 1. Yes employers are definitely going to be more willing to hire a younger guy. I mean, if from my perspective, if I have candidate A and B, the latter being someone in your situation and the forme...

What about Murex?

You can use a MA(25) to initialize if you want to perform the forecast? What kind of data set are you using? Frequency? I would definitely suggest GARCH(1,1), it gives a better forecast using most tests, backtesting, out-of-sample etc.

<t>Hi, 1) Anyone heard of a dwarf CDO? 2) I am trying to come up with the pricing + sensitivities for Cash Flow CDOs, but there are just so many grey areas I'm not clear of at this point. i) When a trader wants to buy a 0-3% (Class A note) tranche in the CF CDO, does he pay up front a full amount or...