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by Siberian
July 15th, 2008, 1:01 pm
Forum: General Forum
Topic: Very simple dispersion option pricer
Replies: 3
Views: 51858

Very simple dispersion option pricer

<t>How bad an approximation is the following procedure:1) assume log-normal for each underlying stock2) get terminal value as S(t)=exp[(mu-q-1/2vol^2)*YrsTM]+vol*YrsTM*e, where e is drawn from multivariate normal with assumed correlation bwn the stocks in the basket, mu is the risk-free rate and q i...
by Siberian
July 7th, 2008, 12:48 pm
Forum: Book And Research Paper Forum
Topic: Econometrics
Replies: 41
Views: 196629

Econometrics

i studied under Davidson, best book, best prof. ever... The book is great especially for an in-depth understanding of the math behind and get a great feel for the research both theoretical as well as practical.
by Siberian
June 30th, 2008, 2:52 pm
Forum: General Forum
Topic: good asset allocation models?
Replies: 16
Views: 55151

good asset allocation models?

<t>BL does not give you anything unless you feed it a prior (like market view) and your own view, it is a blending mechanism and not a return forecastWe have an economics department that uses a macroeconometric model to come up with the forecast of returns/risk for all the asset classes that we trad...
by Siberian
June 27th, 2008, 12:30 pm
Forum: Programming and Software Forum
Topic: Perturbation Engine for greek calculations
Replies: 5
Views: 52913

Perturbation Engine for greek calculations

I would be very interested, i was just beginning to build one!Much appreciated,Siberian
by Siberian
June 26th, 2008, 8:45 pm
Forum: Trading Forum
Topic: Institutional Forex Trading Strategies
Replies: 8
Views: 57370

Institutional Forex Trading Strategies

QuoteThe strategy simply involve shorting the low interest rates and buying the high interest rates currency pairs of the G10 countrys.Yes, that is actually called a Carry and it works untill events like July/August when it gets murdered, very similar to writing deep OTM calls...
by Siberian
June 24th, 2008, 2:20 pm
Forum: Programming and Software Forum
Topic: Murex
Replies: 6
Views: 53644

Murex

we Siberian the I my company TJ
by Siberian
June 24th, 2008, 12:13 pm
Forum: Programming and Software Forum
Topic: Murex
Replies: 6
Views: 53644

Murex

thanks hedgrow, pm me your contact, we are looking at several vendors, but are already using murex for smth else and getting price checks somewhere else as well. as soon as we establish that that's the way we are going to go, we can definitely talk.thanks again,rgs,Ev
by Siberian
June 20th, 2008, 4:19 pm
Forum: Programming and Software Forum
Topic: Murex
Replies: 6
Views: 53644

Murex

Is there anyone who is using Murex for convert bond pricing in particular and for anything in general, and who would be willing to share the experience?Thanks a mil in advance,Siberian
by Siberian
June 12th, 2008, 4:11 pm
Forum: Trading Forum
Topic: Lehman
Replies: 57
Views: 61312

Lehman

i called for a bottom at around 20 yesterday, seems like it picked up at about 21 something, someone out there is more impatient that i am...
by Siberian
June 12th, 2008, 1:26 pm
Forum: Trading Forum
Topic: Lehman
Replies: 57
Views: 61312

Lehman

another Bear or not another Bear?
by Siberian
June 4th, 2008, 9:33 pm
Forum: General Forum
Topic: statarb, high-frequency and latency
Replies: 2
Views: 53764

statarb, high-frequency and latency

<t>Thanks for the reply Dominic. I am still surprised that the high-frequency shop does not care about latency, if you are using tick signals and your average holding period is say in minutes, would you not want to trade immediately? I have met with other stat arb guys who use high-freq signals and ...
by Siberian
June 4th, 2008, 8:42 pm
Forum: General Forum
Topic: convert arb outlook
Replies: 2
Views: 53535

convert arb outlook

doesn't issuance in cb pick up when the spreads are wide? i thought that was the argument why the convert arb did not do too good in the environment prior to August, i.e. low vol, narrow spreads, etc.THanks for the feedbackEv
by Siberian
June 3rd, 2008, 5:08 pm
Forum: General Forum
Topic: convert arb outlook
Replies: 2
Views: 53535

convert arb outlook

so the usual theory would tell you vol is up, spreads are wide, conver arb should do good in these times. Are there any other thoughts concerning the outlook for the strategy for the near future (1-2 yrs)Thanks for your thougths.Ev
by Siberian
June 3rd, 2008, 4:15 pm
Forum: General Forum
Topic: statarb, high-frequency and latency
Replies: 2
Views: 53764

statarb, high-frequency and latency

<t>trying to get a general feeling of how important this latency factor is for the high-frequency statarb guys. Reason for asking is that i have recently met with a unnamed but rather well established statarb fund who claims that PMs don't care about latency, in fact they do not have any servers at ...
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