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by dweeb
April 25th, 2017, 9:05 pm
Forum: General Forum
Topic: Valuation of a mine using options techniques
Replies: 4
Views: 970

Re: Valuation of a mine using options techniques

Re; hedging – some big commodity firms intentionally don’t hedge – investors get an exposure to the commodity cycle. Plus these firms also have natural hedges. Re; operational optionality – a Nat Gas power plant is an example. Relatively little start-up costs, and can switch on/off when power prices...
by dweeb
April 25th, 2017, 8:51 pm
Forum: General Forum
Topic: Valuation of a mine using options techniques
Replies: 4
Views: 970

Re: Valuation of a mine using options techniques

From memory one issue with the mine RO example is that commodity (forward) prices have mean reversion, which affects the forward value as a function of the vol term structure. There's an annual RO conference - this year in Boston:
http://www.realoptions.org/
by dweeb
March 26th, 2017, 5:47 pm
Forum: General Forum
Topic: WTI Options in Foreign Currency
Replies: 1
Views: 535

Re: WTI Options in Foreign Currency

Quanto.
by dweeb
March 26th, 2017, 5:44 pm
Forum: Programming and Software Forum
Topic: Python CUDA
Replies: 7
Views: 2255

Re: Python CUDA

Without getting lost in the details, is it a 32 bit v 64 bit issue??
by dweeb
September 2nd, 2016, 3:22 pm
Forum: Trading Forum
Topic: Modelling Bid-Ask spread using explanatory variables
Replies: 26
Views: 2675

Re: Modelling Bid-Ask spread using explanatory variables

I guess we’re talking spot electricity. The bid-ask spread itself is mean reverting/stationary, so this could be modeled as an AR process. and would be dynamic. Intra-day prices have seasonality, so a a fast Fourier regression can capture the cycles. Spot electricity is local – a function of weather...
by dweeb
August 29th, 2016, 12:21 am
Forum: Economics Forum
Topic: Devaluation within the Eurozone
Replies: 18
Views: 2778

Re: Devaluation within the Eurozone

Why wouldn't that work? What are the practical difficulties? Unions and political consequences. The traditional reason is to rebalance imports and exports by making the country's products relatively less expensive to outsiders and making imports relatively more expensive to citizens which favors gr...
by dweeb
August 7th, 2016, 7:09 pm
Forum: Economics Forum
Topic: Sources of Inflation
Replies: 30
Views: 3704

Re: Sources of Inflation

In general, wouldn't innovation be deflationary?  Innovation increases the variety goods, diluting the amount money available per item.  Moreover, innovation also increases consumer surplus so that even if consumers are willing to pay higher prices for the new products, it's not inflation in that t...
by dweeb
August 7th, 2016, 1:16 pm
Forum: Economics Forum
Topic: Sources of Inflation
Replies: 30
Views: 3704

Re: Sources of Inflation

Fracking, digital media, communications….. Yes Agreed, but we also create things that we didnt know we needed and spend money on them. This adds to the household expenses but I'm not sure if they would be inflationary over all. Thats what I'm thinking about !! They are deflationary, not inflationar...
by dweeb
August 7th, 2016, 1:15 pm
Forum: Economics Forum
Topic: Sources of Inflation
Replies: 30
Views: 3704

Re: Sources of Inflation

This is very interesting. Might take me some time to get my head around the idea.  Fracking, digital media, communications….. Yes Agreed, but we also create things that we didnt know we needed and spend money on them. This adds to the household expenses but I'm not sure if they would be inflationar...
by dweeb
August 6th, 2016, 7:48 pm
Forum: Economics Forum
Topic: Sources of Inflation
Replies: 30
Views: 3704

Re: Sources of Inflation

In general, wouldn't innovation be deflationary? 
This is very interesting. Might take me some time to get my head around the idea. 
Fracking, digital media, communications…..
by dweeb
August 5th, 2016, 3:19 pm
Forum: Economics Forum
Topic: Sources of Inflation
Replies: 30
Views: 3704

Re: Sources of Inflation

I'm closer to the great Austrian economists than to the Chicago school, but Milton Friedman has said that "Inflation is always and everywhere a monetary phenomenon." There was a lot of angst with QEx and hyperinflation. Arguably one reason this didn't happen was the the low velocity of money.  Defl...
by dweeb
July 8th, 2016, 1:49 pm
Forum: General Forum
Topic: No more quants in financial industry
Replies: 20
Views: 2443

No more quants in financial industry

Data science, ML??
by dweeb
June 27th, 2016, 12:45 pm
Forum: General Forum
Topic: Bookies on Brexit
Replies: 42
Views: 4535

Bookies on Brexit

QuoteOriginally posted by: Traden4AlphaWhen leaders fail to address the deepest fears of their citizens ......Or play to them.
by dweeb
June 27th, 2016, 11:56 am
Forum: General Forum
Topic: Bookies on Brexit
Replies: 42
Views: 4535

Bookies on Brexit

<t>QuoteOriginally posted by: MartinghoulQuoteOriginally posted by: PaulQuoteOriginally posted by: Cuchulainn The emotions that the leave politicians played on were divisive, negative to a bygone era. It is now 2016, not 1816.I know, I know. It was awful...loss of trade, unemployment, WW3, collapse ...
by dweeb
June 26th, 2016, 2:39 pm
Forum: General Forum
Topic: Bookies on Brexit
Replies: 42
Views: 4535

Bookies on Brexit

London finance jobs?
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