Mortgages are a great area to be in. It depends on what you like. I personally would prefer mortgages.

QuoteOriginally posted by: HansiNope, you are right. As I mentioned I was tired.Not a problem. Thank you anyways.

<t>QuoteOriginally posted by: HansiI'm a bit tired but with tau = T-t and h(tau) = 1-exp(-r*tau), dh(tau) = r*exp(-r*tau)I'd assume that lim[tau -> 0] (1-h(tau)) = 0 and lim[tau -> inf] (dg/dh(tau)) = 0 be the case for r>0.Haven't read the paper but I'm assuming they ignore r<0 and possibly supply a...

<r><URL url="http://www.rhsmith.umd.edu/faculty/nju/JZ99JD.pdfIf">http://www.rhsmith.umd.edu/faculty/nju/JZ99JD.pdfIf</URL> you goto page 3 it says that the Barone-Adesi/Whaley approximation is good for short maturities since 1-h is close to zero and for long maturities since g/h is close to zero. M...

<r><URL url="http://hq.ssrn.com/rankings/Ranking_Display.cfm?TMY_gID=2&TRN_gID=2"><LINK_TEXT text="http://hq.ssrn.com/rankings/Ranking_Dis ... &TRN_gID=2">http://hq.ssrn.com/rankings/Ranking_Display.cfm?TMY_gID=2&TRN_gID=2</LINK_TEXT></URL> This should help with some idea.I would add guy...

I would say Jim Gatheral's Volatility Surface too.

<t>I like crack spreads, if that is something that interests you. Calendar spreads on Crude oil and it's products are fun too. I know people who do just pork belly spreads too for a career. It is very interesting because of the time lines of pork bellies. There are crush spreads with soybean, but I ...

Truly sad. I just talked to him a few weeks ago. Rest in Peace