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by Paul
July 30th, 2001, 9:41 am
Forum: Technical Forum
Topic: Do you think that stochastics approach is more powerful?
Replies: 8
Views: 190119

Do you think that stochastics approach is more powerful?

<t>Take a look in the Lyceum. Number 1 describes some of the different types of math used in finance. I think all types of math have their pros and cons. And some people find one math technique more natural than another. Personally, I use different tools to do different jobs. You've heard the saying...
by Paul
July 30th, 2001, 8:24 am
Forum: Technical Forum
Topic: What is smile option?
Replies: 14
Views: 190520

What is smile option?

<t>There are three approaches1. Deterministic2. Stochastic3. Uncertainfor modelling almost anything financial.Then you've got to decide whether to calibrate/fit your model to1. Current market prices2. Historical data3. BothWhat's best and what's most practical are not necessarily the same! The crite...
by Paul
July 28th, 2001, 7:52 am
Forum: Technical Forum
Topic: Optimal call
Replies: 12
Views: 190861

Optimal call

<t>Antoine said in another thread: concerning the call features of a convertible bond: when you reach the point when the issuer may call, it is not always, in spite of most model's assumptions, in the interest of the issuer to do so. So in my humble opinion the models are already such a crude repres...
by Paul
July 28th, 2001, 5:59 am
Forum: Technical Forum
Topic: What is smile option?
Replies: 14
Views: 190520

What is smile option?

<t>Yes, just an inverse problem, but one that is very sensitive to the initial data, the market prices. The market price does indeed come from the real market. It's common practice to quote option prices in terms of implied volatility, rather than a $ amount. So you hear people talking about an opti...
by Paul
July 27th, 2001, 11:38 am
Forum: General Forum
Topic: Sure fire winner?
Replies: 8
Views: 190394

Sure fire winner?

<t>Just like in pricing derivatives it's not the actual probabilities that matter when the odds are set. Depending on how the betting goes, the odds will be set so that the House/Bookie cannot lose. For example, in a soccer match between England and Germany the Germans are more likely to win, but th...
by Paul
July 26th, 2001, 5:48 am
Forum: Technical Forum
Topic: What is smile option?
Replies: 14
Views: 190520

What is smile option?

<t>Good! And welcome, person from Hong Kong!'Smile' refers to the variation of implied volatility with strike. In a world with perfectly constant vol (a common assumption in the old days) then, assuming option prices are correct, there'd be no smile.The big questions are how to interpret the smile, ...
by Paul
July 25th, 2001, 10:44 am
Forum: Technical Forum
Topic: What is smile option?
Replies: 14
Views: 190520

What is smile option?

Sure, I'll tell you all about it...but you ought to make your forum profile public first!!! That goes for everyone out there...don't be shy! P
by Paul
July 25th, 2001, 7:47 am
Forum: Technical Forum
Topic: Options on options shortcuts?
Replies: 8
Views: 190536

Options on options shortcuts?

What do you mean by a 'shortcut'?
by Paul
July 25th, 2001, 7:46 am
Forum: Technical Forum
Topic: What is smile option?
Replies: 14
Views: 190520

What is smile option?

Well, I know what the smile is, just the variation of implied vol with strike price. But a smile option? Dunno. I could imagine it being lots of different things.P
by Paul
July 25th, 2001, 7:00 am
Forum: General Forum
Topic: Quiz 1
Replies: 4
Views: 190137

Quiz 1

After the pirates quiz we've got another financial one...and this one will be far more subtle!
by Paul
July 24th, 2001, 2:54 pm
Forum: General Forum
Topic: Quiz 1
Replies: 4
Views: 190137

Quiz 1

Aaron had a two line argument 'proving' which was which...Aaron, do you still have it?P
by Paul
July 24th, 2001, 7:39 am
Forum: Technical Forum
Topic: Buying an option from a risky counterparty
Replies: 2
Views: 190112

Buying an option from a risky counterparty

<t>The question (and answer) throws up lots of interesting points...more questions and answers. Here are a few random thoughts.Choose your default model: It sounds like you are going for the 'reduced-form' model. But when does default happen? Only at expiry or can it happen before?If the BS eqn is V...
by Paul
July 23rd, 2001, 1:49 pm
Forum: General Forum
Topic: You are back!
Replies: 8
Views: 193610

You are back!

Totally free (but for how long..?). All that we ask in return is that you logon to the site occasionally to see the exciting new articles and visit the forum for a chat
by Paul
July 23rd, 2001, 1:25 pm
Forum: General Forum
Topic: You are back!
Replies: 8
Views: 193610

You are back!

Alive & kicking!
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