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by PaperCut
May 27th, 2009, 6:54 pm
Forum: Student Forum
Topic: Convexity adjustment (Hull-White model) for euro-dollar futures
Replies: 2
Views: 42660

Convexity adjustment (Hull-White model) for euro-dollar futures

<t>QuoteOriginally posted by: DavidJNIf you want some general feel for the need to correct convexity bias in ED futures I'd suggest you look at the early paper on the topic by Galen Burghardt and William Hoskins. You might still be able to find a pdf copy on the web, but it is surely also published ...
by PaperCut
May 27th, 2009, 4:23 am
Forum: Economics Forum
Topic: Gold - the next bubble?
Replies: 35
Views: 43788

Gold - the next bubble?

<t>QuoteOriginally posted by: AnthisUnder this stream of logic, farming land is an even more conservative choice. You cant eat gold. On the other hand, only human capital is the the one trully "owned" for a lifetime.I see what you're saying, but my point is this: when you "own" farmland, all they ne...
by PaperCut
May 26th, 2009, 10:30 pm
Forum: Economics Forum
Topic: Gold - the next bubble?
Replies: 35
Views: 43788

Gold - the next bubble?

<t>My 2 drams:To me, the important thing about gold is not what it is, but what it isn't. It may be a time-honored bad investment, but what it isn't is printable. That means that no matter how hard they try, or how badly they desire, none of the following people can make more of it:-Politicians-Lawy...
by PaperCut
May 19th, 2009, 2:02 pm
Forum: Programming and Software Forum
Topic: C++ PCA, eigen vectors and values
Replies: 26
Views: 49545

C++ PCA, eigen vectors and values

QuoteOriginally posted by: samkhalilianHey PaperCut,Are you talking about the Jackson & Staunton book "Advanced Modelling in Finance using Excel and VBA" that has VBA PCA code in it?Cheers, Sam.Bingo. It's a "must have."
by PaperCut
May 19th, 2009, 12:31 pm
Forum: Programming and Software Forum
Topic: C++ PCA, eigen vectors and values
Replies: 26
Views: 49545

C++ PCA, eigen vectors and values

<t>QuoteOriginally posted by: samkhalilianHi,I have set-up a basic C++ matrix class and need a to run Principal Component Analysis to give me all the eigen vetcors and values of a given matrix.Any body have some source code, I can use to do this?I don't want to use an existing library like boost to ...
by PaperCut
May 19th, 2009, 12:16 pm
Forum: Technical Forum
Topic: Zero coupon curve constructio using depo rates?
Replies: 3
Views: 39554

Zero coupon curve constructio using depo rates?

<t>My two cents: it's possible that CD rates can be somewhat "political," in the sense that they may be offered as ways to gain other types of business by the bank. In other words, they may be somewhat off-market depending on which way the wind blows.Caveat: I know nothing about Brazil or the Brazil...
by PaperCut
May 19th, 2009, 12:12 pm
Forum: Careers Forum
Topic: Bogus jobs on the job board?
Replies: 22
Views: 45316

Bogus jobs on the job board?

<t>QuoteOriginally posted by: roofdogI have nothing positive to say about Selby Jennings. After the initial pleasantries the only phonecall I got was to find out "how I was doing" which was basically an outrageous attempt to see which firms I'd been interviewing at and get the hiring managers' names...
by PaperCut
May 19th, 2009, 2:55 am
Forum: Off Topic
Topic: The Ancient & Royal Sport of Gouf
Replies: 29
Views: 63198

The Ancient & Royal Sport of Gouf

QuoteOriginally posted by: farmerWho enjoys this sport and WHY?? Is it you, you crackpot? Have you really convinced yourself it is fun and interesting?I like solitary games / activities. Archery, fishing, et cetera.Golf is OK. It's the golfers that I dislike...
by PaperCut
May 16th, 2009, 2:24 am
Forum: Off Topic
Topic: Poetry Slam
Replies: 50
Views: 68158

Poetry Slam

<t>Do song lyrics count as poetry? How about if they are very, very high quality?Aimee Mann, "It's Not"****I keep going round and round on the same old circuitA wire travels underground to a vacant lotWhere something I can't see interrupts the currentAnd shrinks the picture down to a tiny dotAnd fro...
by PaperCut
May 14th, 2009, 1:36 am
Forum: General Forum
Topic: Longevity swaps
Replies: 4
Views: 39472

Longevity swaps

oops
by PaperCut
May 14th, 2009, 1:31 am
Forum: General Forum
Topic: Longevity swaps
Replies: 4
Views: 39472

Longevity swaps

Goldman Sachs is behind the Qxx.I don't know about any CS / Babcock business.
by PaperCut
May 11th, 2009, 5:28 pm
Forum: Numerical Methods Forum
Topic: Fitting Gatherals SVI to USDJPY 10 and 25 delta quotes
Replies: 6
Views: 45555

Fitting Gatherals SVI to USDJPY 10 and 25 delta quotes

<t>QuoteOriginally posted by: trewortI am trying to fit Jim Gatherals SVI parametrization of the implied volatility smile to USDJPY to the atm volatility and 10 delta and 25 delta butterfly and risk reversals. There are five parameters and five quotes so there should be an exact fit. I am taking int...
by PaperCut
May 11th, 2009, 12:30 pm
Forum: Careers Forum
Topic: Employment at Will
Replies: 13
Views: 40829

Employment at Will

The most important aspects of "non compete" are like this:1) Don't take clients2) Don't take intellectual propertyIt's true that no non-compete can stop you from working for a living. However, if you violate either of these two, you will get into trouble.
by PaperCut
May 7th, 2009, 10:47 am
Forum: Technical Forum
Topic: SABR
Replies: 27
Views: 47039

SABR

Mr. Lesniewski was working on a paper about the characteristic function but I believe it is still in progress.
by PaperCut
May 7th, 2009, 12:39 am
Forum: Student Forum
Topic: Volatility calculation - bachelor thesis
Replies: 23
Views: 44941

Volatility calculation - bachelor thesis

<t>QuoteOriginally posted by: cryptic26Ever worked for a dealer? Huh?Yes.QuoteOriginally posted by: cryptic26Yes looks like a reasonable paper for undergrad. Also see if implied vol is always higher or lower than the other volatility measured using actual data of stock return. The convention is that...
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