SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by gjlipman
October 15th, 2008, 6:15 pm
Forum: Technical Forum
Topic: Commodity Option on Futures - deriving the formula
Replies: 18
Views: 53381

Commodity Option on Futures - deriving the formula

<t>Margining is a real nightmare, as different people mean different things by it. All exchange traded commodities options require margins, in the sense that you put up collateral, but that collateral is earning you interest, so doesn't technically need to be taken into account in valuing the option...
by gjlipman
October 6th, 2008, 12:42 pm
Forum: Book And Research Paper Forum
Topic: Energy Derivatives by Les Clewlow & Chris Strickland
Replies: 9
Views: 52622

Energy Derivatives by Les Clewlow & Chris Strickland

<t>There are a few chapters of it available for download on the Lacima website, if that gives you a bit more sense of what is in it. Its a good book, but if you had to choose just one energy book, I'd go for Eydeland and Wolyniec - this goes further (and being written 6 or so years later is more up ...
by gjlipman
October 5th, 2008, 7:37 pm
Forum: Student Forum
Topic: Standard Deviation question
Replies: 7
Views: 48605

Standard Deviation question

I get 1.25 as well. b=1/15 (because the probabilities must add up to 1. E[x]=2.67, E[x^2]=8.67, and based on the definition of the stdev = sqrt[E[x^2]-(E[x]^2)] I get 1.25.
by gjlipman
October 2nd, 2008, 5:28 am
Forum: Careers Forum
Topic: Move to the UK
Replies: 19
Views: 52034

Move to the UK

<r>You sometimes have to adjust your definition of quant when you move from Australia to London. There are loads of reasonably quantitative jobs (eg heavy use of Excel and requiring VBA) in London that would in Australia be considered quant roles, but not in London. And if you only apply for quant r...
by gjlipman
September 29th, 2008, 7:49 am
Forum: General Forum
Topic: What is a (real) quant?
Replies: 6
Views: 49041

What is a (real) quant?

>>What about if you do a lot of math stuff without only minimal coding? I'd call that a quant, but I appreciate that not everyone would.
by gjlipman
September 29th, 2008, 4:49 am
Forum: General Forum
Topic: What is a (real) quant?
Replies: 6
Views: 49041

What is a (real) quant?

<t>Some people are a lot more narrow when defining quant than others. To the extent that when the book "how I became a quant" came out, there was a big discussion on Wilmott where some people didn't think that some of the people in it were real quants, because they weren't doing derivatives.So, I'd ...
by gjlipman
September 26th, 2008, 1:44 pm
Forum: Technical Forum
Topic: Commodity Option on Futures - deriving the formula
Replies: 18
Views: 53381

Commodity Option on Futures - deriving the formula

<t>I only have v6 of Hull, but there, in section 14.8 Black's Model For Valuing Futures Options, he says c=e^{-rT}[FN(d1) - KN(d2)] - I can't believe it would have changed between editions, so can only imagine it is a typo?Certainly, in the usual case where the premium was paid up front, you'd expec...
by gjlipman
September 26th, 2008, 11:53 am
Forum: Student Forum
Topic: Black vs Black-Scholes
Replies: 2
Views: 54871

Black vs Black-Scholes

<t>Firstly, be aware that a lot of people use the terms Black model and Black-Scholes model interchangeably.But the Black-Scholes formula focuses on the diffusion of the spot, and is based on the assumption that dS/S=mu dt + s dz, which for equities and FX, which we tend to focus on the spot, is qui...
by gjlipman
September 25th, 2008, 1:40 pm
Forum: Student Forum
Topic: Simple question on interest rate compouding
Replies: 2
Views: 48477

Simple question on interest rate compouding

<t>There's no trick - you've got a situation where you've got a combination of adding rates (the two different rates) and multiplying rates(the rates for each quarter), and so the order you do them matters a lot.And only the first one (1+15%/4)^4 = (1+10%/4 + 5%/4)^4 is correct. The others aren't. <...
by gjlipman
September 24th, 2008, 6:51 am
Forum: Careers Forum
Topic: What is all the fuss with being a quant?
Replies: 71
Views: 58149

What is all the fuss with being a quant?

<t>As much as I disagree that JuniorStructurer's advice applies to everyone here, and the tone was a bit unnecessary, I'd say that its content certainly has a place in the forum. I suspect there are some people on here that are only taking a quant role in order to become a trader as soon as possible...
by gjlipman
September 23rd, 2008, 8:28 am
Forum: Careers Forum
Topic: What is all the fuss with being a quant?
Replies: 71
Views: 58149

What is all the fuss with being a quant?

<t>If you only want to be a structurer or trader, then you should probably aim straight for that, and I agree that you certainly don't need a PhD for most of those jobs. But certainly, you'll be fighting a lot of people, and there is a significant element of luck as to whether you become rich.But, t...
by gjlipman
September 21st, 2008, 2:23 pm
Forum: General Forum
Topic: Random Walkers October
Replies: 44
Views: 55662

Random Walkers October

I assume this is still going ahead - do we have a location?
by gjlipman
September 20th, 2008, 10:12 pm
Forum: Student Forum
Topic: A swaption time decay question
Replies: 4
Views: 49990

A swaption time decay question

<t>Multiplying theta by a large number of days is a bad way to estimate the option cost over the year, because it is assuming that theta is constant. What you can actually do is calculate the option price move for each day over the year (assuming no move in any prices) - so effectively seeing how th...
by gjlipman
September 20th, 2008, 10:07 pm
Forum: General Forum
Topic: oil price forecasts by Goldman Sachs
Replies: 7
Views: 49767

oil price forecasts by Goldman Sachs

<t>Maybe a good moral from the story is: don't trust oil price forecasts from GS (or anyone else for that matter) with the same degree of trust that you would the bridge you're prepared to drive across every day. They're not pretending their forecasts are good quality - they're just the best they ca...
by gjlipman
September 19th, 2008, 8:35 am
Forum: Student Forum
Topic: Log-normal distribution
Replies: 7
Views: 49898

Log-normal distribution

I'd try some moment matching approach - that's what I've seen in the past when people are trying to estimate probabilities on a sum of lognormals.
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