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by Paul
November 3rd, 2001, 8:21 am
Forum: Student Forum
Topic: Correlation Calculations
Replies: 14
Views: 191355

Correlation Calculations

<t>gemikon, we do care about correlation between the levels of FTSE and SPX. For example if we are making a convergence trade. But that may be better measured by cointegration than correlation. Anyway, I think that correlation between returns is nonsense. It's another case of putting the cart before...
by Paul
November 3rd, 2001, 8:01 am
Forum: Technical Forum
Topic: Exact calibration in implied trees ?
Replies: 61
Views: 192522

Exact calibration in implied trees ?

<t>There may be an analogy here with forward interest rates. Suppose you use bond prices to calculate forward rates, then they can be all over the place. That's because of the differencing that's taking place. But then when you use those forward rates you often sum/integrate them back up to get rate...
by Paul
November 2nd, 2001, 10:58 pm
Forum: Student Forum
Topic: Crash of LTCM
Replies: 22
Views: 190945

Crash of LTCM

I obtained an early draft of NNT's book in which he came very close to libelling me. In the final version the text was somewhat different! I could have retired on the libel damages had the original been published! Anyway, NNT is a great guy, and I won't hold any of this against him!P
by Paul
November 2nd, 2001, 1:54 pm
Forum: Off Topic
Topic: Pedantry of the self educated
Replies: 38
Views: 191612

Pedantry of the self educated

<t>To be fair Nassim did say that the motion was supposed to be "...Most Traders..." instead of "...All Traders...".I have no problems with the se7en deadly sins, most seem quite natural and harmless, often even beneficial to society. I never understood why "hypocrisy" was never among them...that's ...
by Paul
November 2nd, 2001, 6:36 am
Forum: Off Topic
Topic: Pedantry of the self educated
Replies: 38
Views: 191612

Pedantry of the self educated

Max, you should have been at Nassim Taleb's book launch debate at the Cambridge Union this week. Nassim was proposing the motion "This House Believes That All Successful Traders Are Just Lucky Fools." With your help he might have won!P
by Paul
November 1st, 2001, 5:10 pm
Forum: Off Topic
Topic: Exceptional Writing
Replies: 36
Views: 191311

Exceptional Writing

I can initiate a chat room...but then anyone could watch P
by Paul
November 1st, 2001, 3:02 pm
Forum: Off Topic
Topic: Exceptional Writing
Replies: 36
Views: 191311

Exceptional Writing

You two are flirting like a couple of teenagers!P
by Paul
November 1st, 2001, 2:45 pm
Forum: Technical Forum
Topic: Pricing of Lookback Options with discrete dividends
Replies: 5
Views: 189409

Pricing of Lookback Options with discrete dividends

You mean discrete sampling of max?P
by Paul
November 1st, 2001, 1:58 pm
Forum: Technical Forum
Topic: Pricing of Lookback Options with discrete dividends
Replies: 5
Views: 189409

Pricing of Lookback Options with discrete dividends

The usual tricks for pricing with dividends probably still apply. As long as the dividends are proportional to level of stock (i.e. a percentage) and you remember to scale both the stock price and the maximum.P
by Paul
October 31st, 2001, 3:06 pm
Forum: Careers Forum
Topic: a Masters in Derivatives?
Replies: 103
Views: 195931

a Masters in Derivatives?

exoticow, and for me too!P
by Paul
October 30th, 2001, 1:39 pm
Forum: Careers Forum
Topic: a Masters in Derivatives?
Replies: 103
Views: 195931

a Masters in Derivatives?

LBS and CUBS are the two that I've heard are best. Any details, Spursfan?P
by Paul
October 30th, 2001, 12:37 pm
Forum: Careers Forum
Topic: a Masters in Derivatives?
Replies: 103
Views: 195931

a Masters in Derivatives?

Don't do it, RK! Take a look at London Business School instead!P
by Paul
October 30th, 2001, 12:10 pm
Forum: Careers Forum
Topic: a Masters in Derivatives?
Replies: 103
Views: 195931

a Masters in Derivatives?

ISMA is good. And I can imagine that the Carol Alexander Experience is something to tell your grandchildren about!P
by Paul
October 30th, 2001, 9:41 am
Forum: Careers Forum
Topic: a Masters in Derivatives?
Replies: 103
Views: 195931

a Masters in Derivatives?

<t>My Imperial College source tells me that the course hasn't been well received. (Too academic, too expensive, entry requirements too steep.)I'd like to hear more about this Berkeley course. I can imagine that it's rather good...but rather difficult to get into. From the website it looks excellent....
by Paul
October 30th, 2001, 7:21 am
Forum: Technical Forum
Topic: Mean-reversion model
Replies: 11
Views: 190741

Mean-reversion model

<t>I don't like it! You are essentially fitting the expected value of dx versus linear in x. That's a horrible thing to do I would assume because the expected value of dx is tiny compared with the standard deviation of x. What I usually do is the following:1. Fit the vol structure. I.e. how does the...
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