<t>"The interesting consequence of this were that (re)insurersreally would best be understood as giant leveraged hedge funds"I think i read somewhere that this is the reason Buffet bought insurance companies (to invest the premium in stocks). In the US i'm pretty sure you cant invest insurance premi...

<t>Paul,I certainly don't use "academic" pejoratively. I mean such questions are usually battered about in Finance/Econ departments. For instance: Are larger banking systems good? I would say this is an academic question insofar as it interests academics, however there may not be a direct way to mak...

<t>"one side may be dynamically hedging with the underlying" - but now you are trading in the underlying. The question is whether trading in the derviative is zero sum. Moreover, they "may" be dynamically hedging.Trading derivatives is zero sum. For every dollar my swap/option/etc goes up someone el...

"Much of the press about derivatives repeats the tautology that they are a zero sum game."Watch Lou Dobbs for five minutes. He would have you believe derivatives are things that live under bridges and and eat old ladies on their way to church.

"I guess really what I am asking for is in data feeds like bloomberg, what is the mechanism by which you extract the volatility for a specific equity option to plug into B-S formula? "For each stock Bloomberg will have historical vol (I think its over the past 100 days).

<t>"they should notch up the rates, which would slow them and curb the inflation at the same time. they can also let their currency appreciate to Dollar, which would achive [somewhat] similar effect"Under fixed exchange rates no autonomous monetary policy is possible (Mundell-Fleming model). This is...

I just looked at yahoo finance and they now list AMZN's book value per share as 1.834 and so P/B is 50.51.Well done ladies and gentlemen.

<t>Book value can also be misleading with regards to tangible fixed assets. Assets values are carried on the books at historical cost (what the firm paid for the assets). So the assets of a railroad, or any other company that bought large amounts of land a long time ago, are likely to be severly und...

<t>If you want to estimate GARCH parameters, the statistical software you use will have documentation. If you use R, look in the documentation for the tseries and fSeries packages. These packages allow you to estimate GARCH(p,q) models, however they do not allow you to estimate Multivariate GARCH (m...

I'm not a fan of any sort of government involvement in this mess, however if there must be some sort of intervention I think the plan announced today should be sufficiently ineffectual.If the gov't wants to help, it should make "Manias, Panics, and Crashes" recommended reading. That is all.

<t>Yes, in general firm returns (and by extension the standard deviation of returns) are correlated with firm market value. In a given data set you are likely to find that the lower the firm's size, the higher the standard deviation of returns. This is why in any given empirical investigation of fir...

<t>Are your series something like stock data? If so we can assume, given the same variance of returns, you want to choose the stock with the greatest mean return. So convert your series to returns and find the mean return. If your return series have different variances you should take a look at the ...

<t>Option data are usually a bit tricky to deal with. In what you are trying to do I think you may run into a couple of issues:1. Option quotes for many of the strikes are very old. So you can't use all the strikes, you'll have to look and see if there was a trade recently. 2. Depending on your weig...

<t>With respect to how quickly you you finish your dissertation, keep in mind the quality of your dissertation and the amount of other publications you have will have an impact (a rather large impact if you are searching for an assistant professor position) on the job you get after the PhD. If you r...