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by aemmedar
May 31st, 2007, 3:00 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is convexity?
Replies: 34
Views: 308106

What is convexity?

<t>EXPECTATION OF CONSTANT RATES WITH NO RISK1y zc rate in t=0 is 10%; investors expect that 1y zc rate in t=1 will be 10% with no riskP(1) = 1/1,10P(2) =1/(1,10)2 Spot(1)=spot(2)=10%The term structure of spot rates will be flat at 10%EXPECTATION OF CONSTANT RATES WITH RISK1y zc rate in t=0 is 10%; ...
by aemmedar
May 18th, 2007, 10:53 am
Forum: Technical Forum
Topic: cdo rom
Replies: 3
Views: 72439

cdo rom

I read that in 2004 Moody's introduced CDO Rom to rating synthetic CDOs and that it continues to use BET just for cash flow CDOs...Thanks however!
by aemmedar
May 17th, 2007, 12:50 pm
Forum: Technical Forum
Topic: cdo rom
Replies: 3
Views: 72439

cdo rom

I'm making a research on rating methodologies applied to synthetic CDOs. Could you suggest to me some papers about Moody's approach to estimate default probabilities used in CDO Rom?
by aemmedar
August 30th, 2005, 10:44 pm
Forum: General Forum
Topic: OHLC modelling
Replies: 6
Views: 145760

OHLC modelling

you are still alive!!!! anna
by aemmedar
August 30th, 2004, 5:21 pm
Forum: Student Forum
Topic: E' mancato il Professor Caparrelli
Replies: 2
Views: 177354

E' mancato il Professor Caparrelli

<r>Scomparso il Professor Franco CaparrelliIl giorno 26 agosto è venuto a mancare il professor Franco Caparrelli, ordinario di Tecnica di borsa presso la facoltà di Economia Richard Goodwin dell'Università di Siena. Il professor Caparrelli, che svolgeva le sue ricerche presso il dipartimento di Stud...
by aemmedar
August 30th, 2004, 5:20 pm
Forum: Technical Forum
Topic: E' mancato il Professor Caparrelli
Replies: 12
Views: 180342

E' mancato il Professor Caparrelli

<r>Scomparso il Professor Franco CaparrelliIl giorno 26 agosto è venuto a mancare il professor Franco Caparrelli, ordinario di Tecnica di borsa presso la facoltà di Economia Richard Goodwin dell'Università di Siena. Il professor Caparrelli, che svolgeva le sue ricerche presso il dipartimento di Stud...
by aemmedar
August 30th, 2004, 5:18 pm
Forum: General Forum
Topic: E' mancato il Professor Caparrelli
Replies: 1
Views: 177237

E' mancato il Professor Caparrelli

<r>Scomparso il Professor Franco CaparrelliIl giorno 26 agosto è venuto a mancare il professor Franco Caparrelli, ordinario di Tecnica di borsa presso la facoltà di Economia Richard Goodwin dell'Università di Siena. Il professor Caparrelli, che svolgeva le sue ricerche presso il dipartimento di Stud...
by aemmedar
April 27th, 2003, 10:43 pm
Forum: Off Topic
Topic: Who is from Italy in the community?
Replies: 71
Views: 200402

Who is from Italy in the community?

<t>endriux, volevo segnalarti che gironzolo spessissimo in wilmott.com, sono italiana, leggo studio e penso tutto il giorno in inglese, ma quando parlo non c'è niente da fare, mi sento sempre fuori luogo, penso sempre che tutti dicano "ihhhh, guarda questa come si esprime"... ; per questo in wilmott...
by aemmedar
April 8th, 2003, 9:16 pm
Forum: General Forum
Topic: time value and theta behavior
Replies: 2
Views: 190064

time value and theta behavior

thanks for your help FDAXHunter, bye Anna
by aemmedar
April 6th, 2003, 8:44 am
Forum: General Forum
Topic: time value and theta behavior
Replies: 2
Views: 190064

time value and theta behavior

<t>i would like to collect your ideas about the asymmetric shape of theta (and of time value). I am writing some notes on greeks and I want to be sure about the completeness of what I am writing. why theta remain "so high" for very deep in the money options? the sensitivity to the time seems to beco...
by aemmedar
January 28th, 2003, 8:17 pm
Forum: Book And Research Paper Forum
Topic: "option theory" book
Replies: 2
Views: 189998

"option theory" book

Any opinions of "Option Theory" by Peter James, Wiley, nov 2002? Thanks Anna Maria
by aemmedar
January 28th, 2003, 7:45 pm
Forum: General Forum
Topic: In London- where do I pickup some good books on Market Microstructure
Replies: 9
Views: 190867

In London- where do I pickup some good books on Market Microstructure

Foyle's (first floor) 113, Charing Cross RdBlackwell's 100, Charing Cross Road Financial World Bookshop (90 Bishopsgate, Liverpool St. Station)anna
by aemmedar
December 1st, 2002, 2:21 pm
Forum: Book And Research Paper Forum
Topic: bookshop in London
Replies: 31
Views: 193781

bookshop in London

I agree on FinWorld Bookshop, but Foyle's finance department is completely renewed, on the first floor, books are catalogued better, the room is new, luminous, there are also chairs