SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 797 matches

by Gmike2000
August 13th, 2004, 4:03 pm
Forum: Careers Forum
Topic: MBA in Finance or MFE
Replies: 9
Views: 179713

MBA in Finance or MFE

MFE all the way. The Berkeley program is a good blend between MBA and PhD level. Go for it.
by Gmike2000
August 13th, 2004, 4:00 pm
Forum: Student Forum
Topic: Interest Rate Modelling
Replies: 6
Views: 179944

Interest Rate Modelling

what do you want to predict? the yield curve? no need to employ a term structure model, just look at fwd yields (good enough)
by Gmike2000
August 13th, 2004, 9:09 am
Forum: General Forum
Topic: Treasury Futures' BPV
Replies: 4
Views: 190111

Treasury Futures' BPV

Dont forget that it is actually "the dv01 of the ctd" purchased forward at the maturity date of the futures. So the futures DV01 is actually smaller than that of the ctd
by Gmike2000
August 12th, 2004, 6:23 pm
Forum: Student Forum
Topic: Implied Returns
Replies: 3
Views: 178530

Implied Returns

Yes you are assuming the portfolio manager has positioned himself optimally. Then the returns are implied by the over/underweighting in certain sectors, but also by the info ratio you are assuming.
by Gmike2000
August 12th, 2004, 5:59 pm
Forum: Student Forum
Topic: Implied Returns
Replies: 3
Views: 178530

Implied Returns

<t>The weights alone dont imply any return. You can imply returns from a fund's over/underweights versus a benchmark. If you have the covariance matrix, decompose the excess return vol into marginal (per factor) vol contribution. Then use the expected/historical/assumed information ratio of the fund...
by Gmike2000
August 12th, 2004, 5:48 pm
Forum: Technical Forum
Topic: bond basis pricing model
Replies: 4
Views: 189635

bond basis pricing model

<t>I dont think there is a whole lot of arbitrage to be earned in here. But people do look at the relative value. After all there is an embedded option, and being long the 10yr future often means being short volatility at the same time. For a bond mgr this can mean a few bps of alpha versus pure gov...
by Gmike2000
August 12th, 2004, 6:26 am
Forum: Student Forum
Topic: Hedging TIPS
Replies: 2
Views: 178378

Hedging TIPS

<t>It is difficult to find the right hedge ratio, because TIPS correlation to nominal bonds changes over time. Currently these so called betas are very high (close to .8) whereas a few years ago they were at 0.3. Use a 30-90 day rolling time window to measure beta between tips and nominals, this usu...
by Gmike2000
August 11th, 2004, 4:21 pm
Forum: General Forum
Topic: Value at Risk for portfolios with linear and non-linear products
Replies: 8
Views: 182217

Value at Risk for portfolios with linear and non-linear products

why cant you just set the gamma for stocks and futures to zero and shove them all into the delta gamma model?
by Gmike2000
August 11th, 2004, 3:23 pm
Forum: General Forum
Topic: 2005: End of trade barriers, impact on the markets
Replies: 6
Views: 178646

2005: End of trade barriers, impact on the markets

the cheap chinese etc goods are going to keep inflation low and the yield curve will remain steep with low front end rates
by Gmike2000
August 11th, 2004, 3:18 pm
Forum: Student Forum
Topic: convexity hedging
Replies: 11
Views: 180270

convexity hedging

<t>You are confusing the various kinds of players in the market. I was talking about the holder of a mortgage bond who gets cash early when people prepay earlier than anticipated. Earlier cash means shorter duration. In the same manner, if people do not prepay then you get cash later. Later cash mea...
by Gmike2000
August 11th, 2004, 10:15 am
Forum: Student Forum
Topic: convexity hedging
Replies: 11
Views: 180270

convexity hedging

<t>In this case, think about duration from the perspective of the bond owner (the fund manager for example), i.e. the one who receives mortgage payments. Think of it (as in all textbooks) as the avg time for you to get your money back. Don't think in terms of the guy who pays the mortgage.If people ...
by Gmike2000
August 10th, 2004, 6:35 pm
Forum: Technical Forum
Topic: "pay now, choose later" article
Replies: 2
Views: 180112

"pay now, choose later" article

It's the "Forward Start Options" article on his website www.in-the-money.com
by Gmike2000
August 10th, 2004, 6:30 pm
Forum: Student Forum
Topic: Approximation of a multivariate gaussian probability
Replies: 4
Views: 178896

Approximation of a multivariate gaussian probability

dont know of any closed form approximation, but it is really easy to do this in matlab (use trapezoidal rule over a fine mesh).
by Gmike2000
August 10th, 2004, 6:27 pm
Forum: Student Forum
Topic: convexity hedging
Replies: 11
Views: 180270

convexity hedging

<t>Basically, it is good to own (be long) convexity. When you have MBS, you are short convexity (which is bad). So what you do to offset this is to buy some very positively convex instruments into your portfolio. This used to be done via US Treasuries (because of their reliable correlation to rate m...
GZIP: On