SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by gjlipman
August 6th, 2008, 11:32 am
Forum: General Forum
Topic: Australian Market
Replies: 3
Views: 50467

Australian Market

The books by Satyajit Das are sold as a collection (available on the Wilmott bookshop here) or individually. Though if you actually have the space on your desk for all volumes, you're doing better than me ;-)
by gjlipman
August 4th, 2008, 9:06 am
Forum: General Forum
Topic: Australian Market
Replies: 3
Views: 50467

Australian Market

<t>Am sure the books by Das will have a reasonable amount of detail about the Australian market. (As well as a huge amount more)The Australian Financial Markets Association has some info on their website c=L2C3S1">websiteThere is an old book by Michael Sherris that seemed to have lots of this info i...
by gjlipman
July 13th, 2008, 3:22 pm
Forum: Student Forum
Topic: Correlated RWs: why does E[dX1,dX2]=rho*dt?
Replies: 6
Views: 51591

Correlated RWs: why does E[dX1,dX2]=rho*dt?

I think you're missing an assumption. E[dX1 * dX2] only equals rho * dt if dX1 and dX2 are both standard brownian motions - ie have mean 0 and standard deviation 1. This can be shown from the fact that dz * dz = dt and dz1 * dz2 = 0 if independent.
by gjlipman
July 8th, 2008, 1:59 pm
Forum: Technical Forum
Topic: cross currency swap basis
Replies: 1
Views: 51875

cross currency swap basis

We were talking in our group about the cross currency swap basis (for less liquid currencies), and the basis for onshore versus offshore interest rates. I can see that these are different things, but is there a relationship between them, and how they move?Thanks.
by gjlipman
July 5th, 2008, 12:50 pm
Forum: Careers Forum
Topic: New project : being a headhunter
Replies: 27
Views: 55897

New project : being a headhunter

<t>QuoteOriginally posted by: RecruitorDominic, of course my personal business will be done on my spare time, not with my job time and tools. If so, it would be understandable if my boss disegreed!Even if you're doing it in your own time, with your own tools, I'd be shocked if your company was ok wi...
by gjlipman
July 5th, 2008, 7:18 am
Forum: Book And Research Paper Forum
Topic: Good book for pricing energy derivatives
Replies: 8
Views: 53352

Good book for pricing energy derivatives

Yes, both Pilipovic and the Clewlow/Strickland energy books were essential in their time, and might still be useful, but they are a bit dated and there isn't much in them that is not also in Eydeland/Wolyniec.
by gjlipman
July 3rd, 2008, 9:55 am
Forum: Book And Research Paper Forum
Topic: Good book for pricing energy derivatives
Replies: 8
Views: 53352

Good book for pricing energy derivatives

While I agree that Geman is the best commodities book, in its quest to cover as much of commodities as possible it doesn't have much detail on pricing with smile.Energy and Power Risk Management by Eydeland and Wolyniec has a lot more on the more advanced pricing methods (including smile).
by gjlipman
July 3rd, 2008, 7:48 am
Forum: Student Forum
Topic: Roll yield in commoditiy futures.
Replies: 3
Views: 52368

Roll yield in commoditiy futures.

<t>There are three sources of return - from changes in the spot, from changes in the curve shape (backwardation), and from roll.If the spot and the curve shape never change, you will still make money, and your 3 month position turns into a 2 and a half month position (at a higher price), and then to...
by gjlipman
July 1st, 2008, 1:22 pm
Forum: Student Forum
Topic: Pricing the American Put
Replies: 6
Views: 51851

Pricing the American Put

<t>You're right, you can't ignore the time value of the early exercise - ie it isn't just a question of exercise now or at maturity, you could exercise any time in between if it were optimal.So, if you're pricing it using a binomial tree, for example, working back from the end, at each point your al...
by gjlipman
June 30th, 2008, 7:56 pm
Forum: Student Forum
Topic: Roll yield in commoditiy futures.
Replies: 3
Views: 52368

Roll yield in commoditiy futures.

<t>I agree it can be confusing - roll yield isn't realised at the time of "roll", it is realised throughout the life.So, let's say in backwardation, the 3 month contract is $100 and the 2 month contract is $110 (and that doesn't change). So, you buy a 3 month contract for $100, wait a month, and sel...
by gjlipman
June 21st, 2008, 8:55 am
Forum: Programming and Software Forum
Topic: Hard Excel Interview questions
Replies: 20
Views: 58362

Hard Excel Interview questions

If I was verifying that someone had advanced excel skills (as opposed to VBA), I'd be getting them to use offsets, match, index, and array formulas.
by gjlipman
June 12th, 2008, 9:27 am
Forum: Careers Forum
Topic: Any need for accounting skills in the quant domain?
Replies: 14
Views: 54271

Any need for accounting skills in the quant domain?

<t>It's not a common combination, but that can make it attractive. Accounting for derivatives and structured products is an issue that all banks and accounting firms have people focussing on, and a lot of the questions (eg accounting valuation, hedge accounting, reserves) that come up do require kno...
by gjlipman
May 25th, 2008, 7:43 am
Forum: General Forum
Topic: Black-Scholes: What basis used for time to expiration?
Replies: 14
Views: 57498

Black-Scholes: What basis used for time to expiration?

<t>So, if I'm not misunderstanding you, you're agreeing that it is the daycount convention for the volatility that we're after (because people are already quoting volatility, we need to know what daycount convention this volatility is based on). I suspect this may differ in different countries/marke...
by gjlipman
May 24th, 2008, 8:45 am
Forum: General Forum
Topic: Black-Scholes: What basis used for time to expiration?
Replies: 14
Views: 57498

Black-Scholes: What basis used for time to expiration?

<t>I'm not an expert on interest rate caps, but I think I know what is confusing matters.The first thing to ask yourself when pricing an option using Black76 is: what is the underlying. As you correctly point out, the underlying is the rate at tiem 50 years from 50 years to 50years and 3 months. And...
by gjlipman
May 23rd, 2008, 9:41 am
Forum: General Forum
Topic: Black-Scholes: What basis used for time to expiration?
Replies: 14
Views: 57498

Black-Scholes: What basis used for time to expiration?

Ideally you should use the same basis that was used to estimate or imply the volatility. So first try and find out what assumption was made to generate your vols.
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