SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by unkpath
February 29th, 2008, 1:37 am
Forum: General Forum
Topic: 1m vs 3m basis swap
Replies: 11
Views: 81311

1m vs 3m basis swap

hi, well you have to assume something. you can't just assume it's nothing. what's wrong with taking the 1Y spread all the way back to today? It seems fine to me.
by unkpath
February 28th, 2008, 1:00 am
Forum: Book And Research Paper Forum
Topic: Fitting CMS rates to libor market model
Replies: 3
Views: 59048

Fitting CMS rates to libor market model

<t>Late, can you elaborate on this a bit? It's kind of a weird request, because if you mean by CMS derivatives european swaptions and caps, then this is quite standard and well documented, though I am not saying it's trivial. If on the other hand you mean options that pay CMS rates, but over a funny...
by unkpath
February 28th, 2008, 12:50 am
Forum: General Forum
Topic: 1m vs 3m basis swap
Replies: 11
Views: 81311

1m vs 3m basis swap

<t>sorry, what's that? you sample 3M LIBOR forwards at a daily frequency from the 3M LIBOR curve, then you subtract the 3M-1Mspread from those forwards, then you turn these into discount factors, which you finally interpolate? if I understand you correctly, then you are not doing the right thing. Th...
by unkpath
February 23rd, 2008, 1:15 am
Forum: General Forum
Topic: 1m vs 3m basis swap
Replies: 11
Views: 81311

1m vs 3m basis swap

<t>hi, you got it quantist, you need to build a 1MoL curve that jointly with your 3MoL curve reprices the market quoted1MoL 3MoL basisswaps. There are various ways of doing this, but one way to do this is to take your 3MoL curve and spawn off a 1MoL from it so that you reprice the series of market q...
by unkpath
February 23rd, 2008, 1:11 am
Forum: General Forum
Topic: Haiku for Quantitative Finance
Replies: 11
Views: 59804

Haiku for Quantitative Finance

can I just get back to your initial reply and ask you to elaborate on the: "there seems to be a lot of going on..."? you seem to be an expert on the other hand as your frequent one or two word postings seem to indicate :0)
by unkpath
February 22nd, 2008, 1:44 am
Forum: General Forum
Topic: Haiku for Quantitative Finance
Replies: 11
Views: 59804

Haiku for Quantitative Finance

<t>personally I very strongly agree with you. I may be too pessimistic and I certainly lack the vision to really appreciate therange of the field, but I sure see a lot more dumb jobs, I mean dumb, around me than interesting ones. I talk to a lot of people across the street and so far have not convin...
by unkpath
January 8th, 2008, 1:37 am
Forum: Book And Research Paper Forum
Topic: Option Embedded Bonds--- I. Nelken
Replies: 4
Views: 61228

Option Embedded Bonds--- I. Nelken

I got this book, but I am not sure what you want to know???
by unkpath
December 29th, 2007, 5:48 pm
Forum: Book And Research Paper Forum
Topic: Modelling derivatives in C++
Replies: 24
Views: 193123

Modelling derivatives in C++

<t>as often, I beg to differ and this is my own oppinion. I know that this book has been discussed on this forumbefore and has been harshly criticized, but I don't think that this is entirely legitimate. what is entirely illegitimate in any case is to take on that mocking attitude that people had in...
by unkpath
December 9th, 2007, 11:47 pm
Forum: Book And Research Paper Forum
Topic: New Book - Mathematical Finance: Theory, Modeling, Implementation
Replies: 7
Views: 65779

New Book - Mathematical Finance: Theory, Modeling, Implementation

<t>QuoteOriginally posted by: mjit's a good book!the book is just about OK - definitely not good. I found that the only valuable parts of the book are the sections on Monte Carlo, which is the field of expertise of the author and where he succeeds in providing a fresh and modern viewpoint. This is r...
by unkpath
November 21st, 2007, 1:30 am
Forum: General Forum
Topic: short selling as a personal investor
Replies: 4
Views: 62328

short selling as a personal investor

<t>the proof that the US is positively ahead in the game - despite all the hype about london being the financial capital and all that... in the US, any idiot can ruin himself selling short with his brokerage account.QuoteOriginally posted by: tibbarUK, I've seen a couple of sites offering intra-day ...
by unkpath
November 21st, 2007, 12:09 am
Forum: Book And Research Paper Forum
Topic: New Book: PDE Valuation of Interest Rate Derivatives
Replies: 30
Views: 79671

New Book: PDE Valuation of Interest Rate Derivatives

just make the dam pdf available to those who want to read it. I really don't understand why you want to squeeze a buck out of a student report, duh...anyway...
by unkpath
November 18th, 2007, 5:38 pm
Forum: Book And Research Paper Forum
Topic: New Book: PDE Valuation of Interest Rate Derivatives
Replies: 30
Views: 79671

New Book: PDE Valuation of Interest Rate Derivatives

<r>no one is questioning the importance of the model, that is beyond doubt. a lot has been published about the model too, incidentally. all that doesn't change the fact that this he is a student who is selling his maters degree work. I am not saying you shouldn't read it, I am just dubious as to the...
by unkpath
November 18th, 2007, 5:21 am
Forum: Book And Research Paper Forum
Topic: New Book: PDE Valuation of Interest Rate Derivatives
Replies: 30
Views: 79671

New Book: PDE Valuation of Interest Rate Derivatives

QuoteThis is probably the first detailed treatment of Cheyette with all details included.don't be ridiculous... this is simply a paperback print of a student's german diploma thesis.don't be fooled, just because something is published, doesn't mean that it is worth reading.
by unkpath
August 8th, 2007, 7:57 pm
Forum: Book And Research Paper Forum
Topic: New Edition - How I Became a Quant: Insights from 25 of Wall Street's Elite
Replies: 59
Views: 87144

New Edition - How I Became a Quant: Insights from 25 of Wall Street's Elite

<t>QuoteOriginally posted by: GamalWho are these guys? I know four or five names out of 25. Shouldn't the title be "How I Became a Quant of minor importance?"Just because you have not heard of these guys, doesn't mean that they are not big guns. As has been stated elsewhere, the selection blurs sell...
by unkpath
July 28th, 2007, 12:32 am
Forum: Book And Research Paper Forum
Topic: Mathematical Finance: Theory, Modeling, Implementation
Replies: 3
Views: 68518

Mathematical Finance: Theory, Modeling, Implementation

yeah I do, but this document is licensed in a special way, so I don't think it is meant to circulate.
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