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by PaperCut
July 1st, 2004, 9:15 pm
Forum: Student Forum
Topic: Hedging Mortgage Loans with Swaps
Replies: 4
Views: 184523

Hedging Mortgage Loans with Swaps

Forget about building a prepay model (believe me). Start backwards: model what happens to the cashflows under different level prepay scenarios, then look at what your hedge would have to do to even it out.Bloomberg has a wealth of data on mortgage cashflows.
by PaperCut
July 1st, 2004, 7:21 pm
Forum: Book And Research Paper Forum
Topic: three excellent option books(taleb, natenberg, cox)
Replies: 8
Views: 186523

three excellent option books(taleb, natenberg, cox)

Natenberg is basically a textbook on the trading floors of Chicago. When you start as a new clerk, they tell you to read it. When you finish, they say, "Good. Now read it again."
by PaperCut
June 30th, 2004, 10:28 pm
Forum: Technical Forum
Topic: SPAN Margining for Options
Replies: 3
Views: 184149

SPAN Margining for Options

<t>It's a 'quick and dirty' calculation that looks a lot like a VaR number. There used to be a page on the Chicago Mercatile Exchange website that gives the framework, but I don't know if it's still there. Anyways, the whole thing, like VaR, depends on the distribution you assume for the underlying....
by PaperCut
June 30th, 2004, 7:56 pm
Forum: Careers Forum
Topic: Need some advice
Replies: 4
Views: 184782

Need some advice

<t>One thing that is difficult to really get a grip on at first is that companies definitely have unique 'cultures' to them. When I was just out of grad school (in science) I had no idea how competitive this business is.In fact, you may find from time to time that the guy interviewing you feels inti...
by PaperCut
June 29th, 2004, 1:16 am
Forum: General Forum
Topic: better potential quant ugrad major: econ or physics?
Replies: 15
Views: 186416

better potential quant ugrad major: econ or physics?

<t>Are you kidding me?The answer is clear. If you have a degree in Economics, you belong to a huge group of people who all look the same, act the same, have been trained the same way, and have similar attributes. I'm sorry to say it, but the reality is that people make up their minds about you in th...
by PaperCut
June 28th, 2004, 4:26 pm
Forum: Technical Forum
Topic: I would be gratefull for opinions on this passage:
Replies: 2
Views: 189420

I would be gratefull for opinions on this passage:

<t>Whoa. Hold on. You lost me with the 'market neutral' part. The first part of your discourse seemed to be arguing a great case for having directional bets on for a duration of a couple of days at a time. The idea of fitting exit and entry rules to a hypothesis about the underlying market's distrib...
by PaperCut
June 28th, 2004, 4:12 pm
Forum: Technical Forum
Topic: Bloomberg OAS1 function
Replies: 5
Views: 192165

Bloomberg OAS1 function

<t>Just like anybody else's analytics, Berg's is not transparent. A proper desk will obtain mortgage cashflows and write their own self-consistent analytics so that users will understand the method behind the answers.That having been said, as long as you realize that any simulation method has its el...
by PaperCut
June 28th, 2004, 3:53 pm
Forum: Technical Forum
Topic: Asian option pricing model
Replies: 14
Views: 190139

Asian option pricing model

Collector, you rock.
by PaperCut
May 26th, 2004, 5:52 pm
Forum: General Forum
Topic: FX Pin Risk
Replies: 7
Views: 191461

FX Pin Risk

Well said.
by PaperCut
May 25th, 2004, 6:15 pm
Forum: Off Topic
Topic: Profound Quotes
Replies: 642
Views: 225950

Profound Quotes

"Since weeping will not cure my grief, Pleasure and feasting cannot make it worse." -Archilochus
by PaperCut
May 25th, 2004, 6:04 pm
Forum: General Forum
Topic: FX Pin Risk
Replies: 7
Views: 191461

FX Pin Risk

<t>Andym, this business of assignment risk is a very academic take on the issue. I mean you are correct, but the practical trader's perspective is that your greeks are going haywire as you approach the strike on expiration.Your point about the barrier option speaks to that well, but I would also mak...
by PaperCut
May 18th, 2004, 4:42 pm
Forum: General Forum
Topic: Money Management Optimisation
Replies: 6
Views: 189963

Money Management Optimisation

<t>The Kelly formula is only valid for a distribution of possible returns that has a finite number of outcomes (card games, et cetera). Further, it can be shown to be implied by Vince's f - formula.Personally, I don't find anything wrong with Vince's work ( other than sloppy editing - typos and bad ...
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