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by acastaldo
July 30th, 2015, 11:33 am
Forum: General Forum
Topic: Help on swaption
Replies: 3
Views: 3228

Help on swaption

This sentence gives a clue about the difference between realized vol and walk vol:QuoteUnlike realized vol of constant maturity forwards, walk volatility takes into account the shortening of the underlying forward over the life of an option.
by acastaldo
July 23rd, 2015, 11:43 am
Forum: Book And Research Paper Forum
Topic: ESG Development
Replies: 10
Views: 8911

ESG Development

Quote***Alert: Actuary Has Infiltrated The Perimeter ROFL
by acastaldo
June 24th, 2015, 12:50 am
Forum: Student Forum
Topic: Model-Free Implied Volatility Calculation
Replies: 8
Views: 3671

Model-Free Implied Volatility Calculation

Quote Jiang & Tiang 2005 formula.Let's get the Chinese names correct ;) . It is Tian not Tiang.
by acastaldo
June 23rd, 2015, 2:59 pm
Forum: Trading Forum
Topic: Swaps terminology
Replies: 2
Views: 4174

Swaps terminology

<t>For more detail, here is a Martinghoul post from a few years ago:QuoteAsset swap box is where I buy/sell 7y JGBs on asset swap (buy/sell bond, pay/recv fixed on a matched-maturity swap) vs selling the DV01-weighted amount of 10y JGB on asset swap (sell/buy bond, recv/pay on a matched-maturity swa...
by acastaldo
June 22nd, 2015, 6:57 pm
Forum: Student Forum
Topic: random number with pareto distribution in matlab
Replies: 11
Views: 3004

random number with pareto distribution in matlab

wikipedia is your friend
by acastaldo
June 20th, 2015, 8:40 pm
Forum: General Forum
Topic: Everybody is doing it -- Modern Portfolio Theory
Replies: 3
Views: 3254

Everybody is doing it -- Modern Portfolio Theory

<t>In 2000 Shefrin and Statman published 'Behavioral Portfolio Theory' which tries to go beyond MPT by postulating that investors have multiple goals (rather than just the maximization of return subject to risk) and different ways of looking at risk. The overall portfolio then consists of various 's...
by acastaldo
June 19th, 2015, 11:33 am
Forum: Economics Forum
Topic: Central Bank benchmark interest rate and FX rate
Replies: 4
Views: 8068

Central Bank benchmark interest rate and FX rate

<t> QuoteIs it generally true that when a Central Bank increases its benchmark interest rate, the currency appreciates in value with respect to other currencies?The "attractiveness" of a currency [to traders and investors] is partly based on the interest rate you can earn, so as a general rule yes. ...
by acastaldo
June 10th, 2015, 8:57 pm
Forum: Student Forum
Topic: Volatility of Bond Price SDE under Vasicek
Replies: 3
Views: 2580

Volatility of Bond Price SDE under Vasicek

dW has 50% chance of being positive and 50% negative, so I don't think the sign in front of it matters...
by acastaldo
June 5th, 2015, 3:11 pm
Forum: Student Forum
Topic: Why puts can have a negative time value?
Replies: 6
Views: 3596

Why puts can have a negative time value?

<t>A stock is at 100, both you and daveangel buy an ATM 6-month put, but you buy a European put and daveangel an American put.The next day a terrible event happens and the stock plunges to 1 a share. Analysts predict that the price 6 months hence will be between 0.75 and 1.25 per share. Both put hol...
by acastaldo
May 25th, 2015, 10:55 pm
Forum: Student Forum
Topic: Debt reduction methods?
Replies: 3
Views: 2870

Debt reduction methods?

pay it down (Great Britain after 1815), inflate it away (Germany 1922), default (Germany 1953, Greece 2012, 2015?)
by acastaldo
May 24th, 2015, 5:40 pm
Forum: Economics Forum
Topic: Case for Bermudan option product in finance and economics
Replies: 8
Views: 7893

Case for Bermudan option product in finance and economics

Then maybe we should stop calling them American and start calling them "once per business day Bermudan" :-)
by acastaldo
May 23rd, 2015, 6:44 pm
Forum: Technical Forum
Topic: Indicator regressions: standard errors
Replies: 5
Views: 3064

Indicator regressions: standard errors

Consider "Fisher's exact test" for a 2 x 2 contingency table
by acastaldo
May 22nd, 2015, 4:32 pm
Forum: General Forum
Topic: EU banks issuance of USD callable debt - why?
Replies: 1
Views: 3295

EU banks issuance of USD callable debt - why?

They issue USD bonds in order to fund themselves in USD (perhaps to match their USD assets). They issued USD *callable* bonds because these qualify as regulatory capital (known as Tier 2 capital).
by acastaldo
May 20th, 2015, 5:57 pm
Forum: Trading Forum
Topic: Calculating the odds of a sharp drop in the SPY
Replies: 5
Views: 4035

Calculating the odds of a sharp drop in the SPY

<t>Meanwhile in the real measure...From 2007/01/01 to 2015/03/31 there are 2075 trading days for which the closing price of SPY is available (source: Yahoo Finance)If a day in this interval is chosen at random there is a probability 37/2075 = 0.017831 that the SPY will be $20 lower 7 weeks later (35...
by acastaldo
May 17th, 2015, 3:40 pm
Forum: General Forum
Topic: Risk-Based P&L
Replies: 8
Views: 7286

Risk-Based P&L

<t>I am not an expert on this, but from my reading it serves as a diagnostic for your risk models. If the P&L predicted by the risk models differs greatly from the actual P&L, i.e. you have 'unexplained P&L', it suggests that your risk models are not satisfactory. Probably there are othe...
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