SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by unkpath
April 29th, 2009, 1:06 am
Forum: General Forum
Topic: Interest Rate modeling
Replies: 1
Views: 39713

Interest Rate modeling

<t>you need to learn and read about this, you can't just ask this kind of question on a forum, there isn't a five minute answer to this. you even mentioning it means that you haven't done any sort of homework or self-thinking about the context, which means that any attempt to explain would be a wast...
by unkpath
April 29th, 2009, 12:21 am
Forum: Numerical Methods Forum
Topic: How to Price a Swaption
Replies: 3
Views: 45747

How to Price a Swaption

<r>QuoteOriginally posted by: mathmarcQuoteOriginally posted by: umulawan [...]hence this is a bermudan option [...] any suggestions on how to price this?In the Hull-White / extended Vasicek model, you can price it with the following approach:Henrard, M.,Bermudan Swaptions in Gaussian HJM One-Factor...
by unkpath
March 14th, 2009, 1:17 am
Forum: Book And Research Paper Forum
Topic: Basis Swap paper
Replies: 12
Views: 123986

Basis Swap paper

<r>QuoteOriginally posted by: rmeenaksDon't worry I have a wonderful life <E>:-)</E> I just prefer un-touched originals. Scanned docs are sometimes difficult to read especially when you have graphs...Ramhey man, I think you should see someone, it's time now. then you will see that you need to get a ...
by unkpath
March 13th, 2009, 12:26 am
Forum: Book And Research Paper Forum
Topic: Basis Swap paper
Replies: 12
Views: 123986

Basis Swap paper

oh get a life dude, please. yeah it's scanned, so what?
by unkpath
March 11th, 2009, 9:41 am
Forum: Book And Research Paper Forum
Topic: Basis Swap paper
Replies: 12
Views: 123986

Basis Swap paper

I have that paper. what is your address?
by unkpath
February 1st, 2009, 8:33 pm
Forum: Careers Forum
Topic: Career Value of Quantlib
Replies: 7
Views: 44492

Career Value of Quantlib

QuoteOriginally posted by: twofishA lot.absolutely zilch. in fact I can tell you that most interviewers would not be particularly interested or care.
by unkpath
January 31st, 2009, 4:53 pm
Forum: Book And Research Paper Forum
Topic: Richard Flavell readers here???
Replies: 2
Views: 45102

Richard Flavell readers here???

<t>QuoteOriginally posted by: AdonizHas anyone read ch 3 of Flavells Book swaps and other derivatives?If anyone has...here is a question.In chapter 3.5 the author constructs a 3M forward curve using cubic interpolation. (so far so good).Then he creates a "smooth curve" and compares it with this curv...
by unkpath
January 9th, 2009, 12:37 pm
Forum: Book And Research Paper Forum
Topic: LIBOR Market model book. Rebonto or Gatarek ?
Replies: 7
Views: 46990

LIBOR Market model book. Rebonto or Gatarek ?

<t>QuoteOriginally posted by: mji'd suggest Brigo and Mercurio, Brace, or Friesover these.positively can't second you on Fries. Have you tried to learn from that book? It is sooouncomprehensive. Also, it has been widely criticized as an illiterate write up. The section on callable Monte Carlo is con...
by unkpath
January 8th, 2009, 2:20 am
Forum: Book And Research Paper Forum
Topic: LIBOR Market model book. Rebonto or Gatarek ?
Replies: 7
Views: 46990

LIBOR Market model book. Rebonto or Gatarek ?

<r>you wouldn't be able to read gatarek, it's too bad. I can't read it anyway. the goetsch book is like a diploma thesis or something, so forget about that. the rebonato book is very good imho. I think very highly of him and learned so much from his writings. the brigo & mercurio suffers a coupl...
by unkpath
January 7th, 2009, 2:10 am
Forum: Careers Forum
Topic: how "safe" is a career in quant. fin. right now?
Replies: 17
Views: 47486

how "safe" is a career in quant. fin. right now?

<t>QuoteOriginally posted by: SomeAnonymousGuyhi everyone, i was wondering if i could get some feedback on the stability of jobs in finance, given the current state of the global economy ... seems likely that i highly volatile market would potentially be a "good" thing (i.e. wrt to returns) for an i...
by unkpath
September 18th, 2008, 1:18 am
Forum: General Forum
Topic: I have come to bury TJ and not to praise him.
Replies: 45
Views: 53302

I have come to bury TJ and not to praise him.

<t>I must totally agree with daveangel and also overbid his request. I have actually expressed the same opinion about TJ to TJ in a few posts. I think it is absolutely scandalous the way TJ pollutes most threads in this forum with irrelevant posts. In fact, the situation has gotten so bad that knowi...
by unkpath
September 8th, 2008, 1:08 am
Forum: Book And Research Paper Forum
Topic: literature on term structure modeling for relative value, etc...
Replies: 0
Views: 48819

literature on term structure modeling for relative value, etc...

looking for recommendations, pointers, etc for literature on term structure models as applied to relative value and other trading strategies?thanks for your help!unkpath
by unkpath
August 27th, 2008, 1:00 am
Forum: Book And Research Paper Forum
Topic: Option Valuation under Stochastic Volatility, Lewis
Replies: 91
Views: 211944

Option Valuation under Stochastic Volatility, Lewis

QuoteOriginally posted by: TraderJoeTake your time Al. We want quality, not quantity.hahaha, wish one could say that about you. 10800 posts, mostly small talk...
by unkpath
August 3rd, 2008, 6:15 pm
Forum: Book And Research Paper Forum
Topic: Markowitz literature
Replies: 17
Views: 51893

Markowitz literature

<t>it is not as sad as DavidJN, spursfan (and now me) turning a known and neutral fact and into a people story on a public forum...QuoteOriginally posted by: spursfanyes, I agree with David - and it's kind of sad that Harry is still living in the 1950sI'd suggest reading Bill Sharpe's book of Prince...
by unkpath
July 14th, 2008, 12:52 am
Forum: Book And Research Paper Forum
Topic: Risk management in Libor Market Model
Replies: 3
Views: 51843

Risk management in Libor Market Model

<t>huh? what do you mean precisely by "Of course I know that it is possible to calculate risk numbers with respect to the underlying forwards with the discretization scheme, but no one will practically hedge the exotic product with forwards right?"how would you do that in practice? say you have a PF...
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