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by Collector
September 19th, 2001, 10:58 pm
Forum: General Forum
Topic: Terrorist options trades?
Replies: 17
Views: 190777

Terrorist options trades?

<t>Bloomberg news:'Market makers who handle trading in AMR and UAL (airlines) options said yesterday they had noticed "suspicious" or "peculiar" trading in the days before the terrorist attack and have been questioned by regulators.'Over three days before terrorists flattened the World Trade Center ...
by Collector
September 19th, 2001, 1:29 am
Forum: Technical Forum
Topic: Closed form solution available?
Replies: 7
Views: 190162

Closed form solution available?

<t>I don't know of any published paper on this barrier variant. This is a strong path dependent option. One way is naturally to use Monte Carlo simulation (at least if European style, American more difficult). I know this special case of a barrier option is quite popular in the equity market (as war...
by Collector
September 12th, 2001, 7:13 pm
Forum: General Forum
Topic: Safe and Sound in the Financial District
Replies: 25
Views: 190877

Safe and Sound in the Financial District

<t>I was luckily up in Greenwich (CT), several of our traders had signed up on a conference for today (Wednesday) in world trade center, luckily not yesterday. It is only a week ago I brought a friend visiting me from Norway up to the top of the World trade center. This is just a terrible tragedy. <...
by Collector
September 10th, 2001, 2:58 pm
Forum: General Forum
Topic: Paraskevidekatriaphobia
Replies: 10
Views: 189919

Paraskevidekatriaphobia

<r>Henriette, I don't know about Tuesday, but I strongly believe the English names for the days: Wednesday, Thursday and Friday are named for Viking Gods!Friday from Frigg the beautiful goddess who was married to Odin.Thursday from the Thunder God Thor.<URL url="http://va.essortment.com/whatareorigi...
by Collector
September 7th, 2001, 2:31 pm
Forum: General Forum
Topic: Who's Publishing What and Where?
Replies: 46
Views: 191800

Who's Publishing What and Where?

<t>Susan wrote:"I agree that many companies are "results oriented". This makes it hard to justify research that will take a long time until it bears fruit (i.e. for the company -- making money is "bearing fruit")"Let’s face it, most people in this business are Greedy. But there is short-term-greedy ...
by Collector
September 6th, 2001, 3:51 am
Forum: General Forum
Topic: How to fall
Replies: 8
Views: 189477

How to fall

<t>In the back wash of the collapse of Barings Banks, LTCM among others there have never been more focus on stress testing and worst case scenarios. Working for a bank or hedge fund you probably spend most of your time and a lot of the companys money to make sure "you" never will end up in a collaps...
by Collector
August 30th, 2001, 1:09 am
Forum: General Forum
Topic: Ranking FE/MathFinance in the world
Replies: 22
Views: 190808

Ranking FE/MathFinance in the world

<t>I don't have to many opinions about this. But this is also a lot about marketing. In US a lot of the top universities are very good at marketing, this often make people believe they are better than they actually are??. At least European universities should get better at marketing themselves?. To ...
by Collector
August 30th, 2001, 12:44 am
Forum: General Forum
Topic: Regarding "running a book"
Replies: 6
Views: 189761

Regarding "running a book"

<t>There are more different OTC exotics than you can imagine. Liquidity is variable. Size is normally not a problem (if you not are Soros) but spreads can be wide or thin.Currency options OTC: plain knock-in and knock-out options are popular. The big banks like JPM/Chase (let me advertise a bit for ...
by Collector
August 29th, 2001, 11:23 pm
Forum: Technical Forum
Topic: Options on options shortcuts?
Replies: 8
Views: 189778

Options on options shortcuts?

I have to think about it over the weekend, I am not sure if I should keep it quiet or make a "big news" out of it. My life is to exiting at the moment.espen
by Collector
August 29th, 2001, 10:53 pm
Forum: General Forum
Topic: Regarding "running a book"
Replies: 6
Views: 189761

Regarding "running a book"

<t>Some exchange traded exotic options:London Metal ExchangeIntroduced Asian/Average options on Aluminum and Copper. I am not sure about liquidityNordPool (The Nordic Electricity Exchange)Introduced Asian options about a year ago, but these where delisted because lack of liquidity. However there is ...
by Collector
August 29th, 2001, 4:58 pm
Forum: Technical Forum
Topic: Options on options shortcuts?
Replies: 8
Views: 189778

Options on options shortcuts?

So now I understand why only 25% of my sales comes from Europe. Looking at the bright side of life, Waterstones comment should soon make it a collectible item.
by Collector
August 28th, 2001, 10:50 pm
Forum: General Forum
Topic: Paraskevidekatriaphobia
Replies: 10
Views: 189919

Paraskevidekatriaphobia

<t>>Investor over-reactions tend to increase, the more people who notice it and take advantage of it; the more obvious it >becomes. Of course, this bubble always bursts. It seem significant that it collapsed at the same time as faith in >capitalism, progress and liberal institutions died.After what ...
by Collector
August 28th, 2001, 10:31 pm
Forum: Technical Forum
Topic: Favorite Modeling Tools?
Replies: 18
Views: 191015

Favorite Modeling Tools?

<t>VBA: Visual Basic for Application. This is a "subset" of Visual Basic. VBA is included in Excel, Word and other Microsoft office software packages. The main drawback is that VBA not is compiled in Excel. However one can take the VBA code into a VB compilator and build Excel add-inn’s.To take VBA ...
by Collector
August 27th, 2001, 1:06 pm
Forum: Technical Forum
Topic: trying to learn stochastic processes - any suggestions?
Replies: 9
Views: 189926

trying to learn stochastic processes - any suggestions?

Buy some of the books recommended here. Simultaneously do some real trades (small size) in your personal account, then you will learn fast, including the differences between theory and practice.
by Collector
August 27th, 2001, 12:20 pm
Forum: Technical Forum
Topic: Passport Options
Replies: 4
Views: 189765

Passport Options

<r>Could possibly be of interest to you....Price comparison results and super-replication: an application to passport optionsHenderson, V., Applied Stochastic Models in Business and Industry, 2000, vol. 16, no. 4, pp. 297-310 Riskless Trading: Passport Options, Fund Managers and the Prudent Investor...
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