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by HOOK
December 26th, 2014, 3:02 pm
Forum: Off Topic
Topic: Merry Christmas and a Happy 2015
Replies: 85
Views: 7004

Merry Christmas and a Happy 2015

<t>QuoteOriginally posted by: CuchulainnThe first time I heard about Morgan was 25years ago. I was a teenager in a taxi in London, and the driver had some funny accent. When I asked where was he from, he raised his chest, turned to me, opened a huge smile and said: " BARDADOS! LAND OF CAPTAIN MORGAN...
by HOOK
December 24th, 2014, 11:42 am
Forum: Off Topic
Topic: Merry Christmas and a Happy 2015
Replies: 85
Views: 7004

Merry Christmas and a Happy 2015

QuoteOriginally posted by: trackstarAhoy, Captain Hook!May your Ships be fastYour Doubloons plentiful,Your Rum strong, andYour ladies lovely (and loving!) in 2015 Above all, endeavor to stay out of the Brig!HURRA!
by HOOK
December 23rd, 2014, 5:06 pm
Forum: Off Topic
Topic: Merry Christmas and a Happy 2015
Replies: 85
Views: 7004

Merry Christmas and a Happy 2015

Ahoy Mateys!My crew and I wish you a Merry Christmas and a Happy 2015!Cheers,Hook
by HOOK
September 19th, 2014, 5:22 pm
Forum: Off Topic
Topic: International Talk Like A Pirate Day
Replies: 127
Views: 80450

International Talk Like A Pirate Day

<t>Can you talk like a Pirate?Says you, says I, I can.I've been talking this waySince me birthday began.You can talk like a PirateC'mon and give it a try.Avast, Ahoy, Aye Aye!Avast, Ahoy, Aye Aye!Call my friends "me hearties"and call my pals "mateys."Call them golden coins"Dubloonies" if you please....
by HOOK
May 15th, 2014, 4:57 pm
Forum: Off Topic
Topic: Chuck Norris: The ultimate quant
Replies: 37
Views: 133362

Chuck Norris: The ultimate quant

QuoteOriginally posted by: CuchulainnWhen God created Adam, he was thinking of Chuck Norris.The serpent would be eternally injured by a roundhouse kick.
by HOOK
May 15th, 2014, 12:48 pm
Forum: Off Topic
Topic: Chuck Norris: The ultimate quant
Replies: 37
Views: 133362

Chuck Norris: The ultimate quant

"in the presence of Chuck Norris, all black swans become white"
by HOOK
May 14th, 2014, 12:06 pm
Forum: Off Topic
Topic: Chuck Norris: The ultimate quant
Replies: 37
Views: 133362

Chuck Norris: The ultimate quant

Q: What really happened to the markets in 2008?A: Chuck Norris woke in a bad mood.
by HOOK
May 13th, 2014, 2:05 pm
Forum: Off Topic
Topic: Chuck Norris: The ultimate quant
Replies: 37
Views: 133362

Chuck Norris: The ultimate quant

"In the presence of Chuck Norris, all Differencial Equation becomes dF(X(t),t)= dC(t), where C(t) is Chuck Norris desire at time t"
by HOOK
May 12th, 2014, 2:05 pm
Forum: Off Topic
Topic: Chuck Norris: The ultimate quant
Replies: 37
Views: 133362

Chuck Norris: The ultimate quant

"Chuck Norris does not do approximations to mathematical functions. They become what he writes""Chuck Norris does not calculate credit risks, he ensures no defaults occur"
by HOOK
May 12th, 2014, 1:49 pm
Forum: Numerical Methods Forum
Topic: quadri-variate normal distribution
Replies: 4
Views: 6392

quadri-variate normal distribution

Thank you, outrun.
by HOOK
May 9th, 2014, 4:57 pm
Forum: Numerical Methods Forum
Topic: quadri-variate normal distribution
Replies: 4
Views: 6392

quadri-variate normal distribution

Dear all,Does anyone know any polynomial approximation for the cumulative four-dimensional standard normal curve?Cheers,Hook
by HOOK
February 14th, 2014, 11:41 am
Forum: Economics Forum
Topic: London Property Price Rise - why?
Replies: 74
Views: 18868

London Property Price Rise - why?

12 - In 2013 London was the most visited city in the worldI guess the Olympic Games had some positive effect on tourism.
by HOOK
February 7th, 2014, 6:31 pm
Forum: General Forum
Topic: Smile correction for dual/double digital
Replies: 2
Views: 5993

Smile correction for dual/double digital

<t>NICE!I was woking on the derivatives of the bivariate lognormal with respect to each strike, but there was one missing term, I knew that.It was easily verifiable when rho=1 and rho=0 (situations that we know the result) that one term was missing.I did not consider the correlation might also chang...
by HOOK
January 29th, 2014, 3:30 pm
Forum: General Forum
Topic: Smile correction for dual/double digital
Replies: 2
Views: 5993

Smile correction for dual/double digital

<t>Dear all,Consider a binary option that pays $1 if at maturity asset A is above a level Xa and asset B is above a level Xb.To incorporate smile effects, in the univarite case we need to add -vega*d(vol)/d(strile). Does anybody know the smile correction term for this derivative on 2 assets?Cheers <...
by HOOK
January 17th, 2014, 11:27 am
Forum: General Forum
Topic: Expected spot of a GBM under a condition for its maximum
Replies: 7
Views: 6514

Expected spot of a GBM under a condition for its maximum

Consider an up and out call, with barrier B and strike =0 (zero).It will simply be the (present value) of expected value of S(T), conditioned of not having crossed the barrier.
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