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by Gmike2000
August 8th, 2004, 10:01 pm
Forum: Technical Forum
Topic: <deleted>
Replies: 0
Views: 178795

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by Gmike2000
August 8th, 2004, 8:38 pm
Forum: Student Forum
Topic: ex-ante tracking error calculation
Replies: 8
Views: 179718

ex-ante tracking error calculation

<t>Aaron, I read the paper you posted below with great interest. Something feels wrong about the conclusion though. I think here is the mistake the author make: They assume e'*w (i.e. the sum of the net over/underweight versus the index) is zero (e' is a vector of ones). This leads them to require t...
by Gmike2000
August 6th, 2004, 10:52 am
Forum: Student Forum
Topic: ex-ante tracking error calculation
Replies: 8
Views: 179718

ex-ante tracking error calculation

<t>There is no paper I know of. Think about the following:If you buy the index, you are neither over- nor underweight any sectors/risks against your index. TE is zero.Now suppose the only bet you make against the index is 5Y swap spread overweight. What is TE now? It is equal to 5Y swap spread vol (...
by Gmike2000
August 6th, 2004, 8:26 am
Forum: Student Forum
Topic: ex-ante tracking error calculation
Replies: 8
Views: 179718

ex-ante tracking error calculation

You can calculate ex ante TE the same way you calculate VaR. The only assumption you make (as in VaR) is about the future covariance matrix. It is very easy and not too inaccurate either.
by Gmike2000
August 6th, 2004, 7:15 am
Forum: General Forum
Topic: Vol Smoothing
Replies: 11
Views: 180956

Vol Smoothing

<t>Nadaraya watson is ok...but it depends what you want to do with the results. Kernel regression will get you a smooth vol surface, but it won't be completely "arbitrage" free. It won't fit the vols exactly, and depending on the bandwidth could be far off especially at the far out strikes. Generall...
by Gmike2000
July 30th, 2004, 1:19 pm
Forum: Student Forum
Topic: MBS Vega
Replies: 4
Views: 180153

MBS Vega

Wouldnt it depend on whether the option is in or out of the money? If rates move away from par, then vega will go down. If they move towards par, vega goes up. Isn't their convexity highest when they are at par?
by Gmike2000
July 26th, 2004, 1:58 pm
Forum: Technical Forum
Topic: TIPS : Jarrow Yildirim article (Feb 2002)
Replies: 9
Views: 192383

TIPS : Jarrow Yildirim article (Feb 2002)

Does anyone know any related research?
by Gmike2000
July 23rd, 2004, 3:20 pm
Forum: General Forum
Topic: Bloomberg vol
Replies: 16
Views: 184909

Bloomberg vol

<t>Maybe they made a mistake. I recently found an error in their new fx option pricer. Very obvious one too...how could anyone not have noticed? It may take you 4-6 attempts to convince the help desk ppl that there is something wrong. Then it may take another 10 emails back and forth until they unde...
by Gmike2000
July 21st, 2004, 2:16 pm
Forum: Student Forum
Topic: Difference between 'rate' and 'short rate'
Replies: 1
Views: 181065

Difference between 'rate' and 'short rate'

in what context? most interest models are models of the short rate. the assumption is that by simulating the path of the short rate, subject to certain conditions (e.g. a set correlation among the simulated fwd rates), you can simulate any other rate on the yield curve.
by Gmike2000
July 19th, 2004, 6:18 am
Forum: Student Forum
Topic: Volatility of Rolling Futures
Replies: 4
Views: 182422

Volatility of Rolling Futures

Always use returns when calculating vols. Is it applicable to bund futures? Well, the vol will get contaminated by duration. If you look at the past 10yrs of bund futures, their duration has fluctuated quite significantly and so has their vol.
by Gmike2000
July 13th, 2004, 6:16 am
Forum: Student Forum
Topic: Volatility of Rolling Futures
Replies: 4
Views: 182422

Volatility of Rolling Futures

<t>on bloomberg you can set the day of the month on which the generic rolls into the next contract (i.e. when rx1 rolls from rxu to rxz).alternatively, this is how i do it, you set up an excel sheet (using blph) that downloads the contract directly (e.g. rxu) and on a specific date starts off with t...
by Gmike2000
July 13th, 2004, 6:07 am
Forum: General Forum
Topic: Need some help on finance problems
Replies: 5
Views: 183675

Need some help on finance problems

paka...think about a perpetuity...there is a limit.
by Gmike2000
July 6th, 2004, 5:51 am
Forum: Careers Forum
Topic: Berkeley Interview
Replies: 3
Views: 184129

Berkeley Interview

<t>They put a lot of emphasis on people skills. Technical skills are on your resume already, by interviewing you they want to see if you are focussed and a nice guy. They also check your fluency in English - the first MFE class had a lot of non-English speakers which recruiters did not like to see. ...
by Gmike2000
July 4th, 2004, 10:28 am
Forum: General Forum
Topic: Need some help on finance problems
Replies: 5
Views: 183675

Need some help on finance problems

1b 2b 3c
by Gmike2000
July 4th, 2004, 10:18 am
Forum: Careers Forum
Topic: Getting frustrated! Need inspiration
Replies: 13
Views: 184957

Getting frustrated! Need inspiration

<t>Hey vbprogrammer, many people are in the same boat with you. It is often difficult for well trained technically inclined youngsters to get past the more experienced old school economist type portfolio managers. They often don't really know how to employ someone with technical skills...to them you...
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