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by PaperCut
May 7th, 2009, 12:25 am
Forum: Careers Forum
Topic: Annoying head hunter spamming Bloomberg Jobs
Replies: 3
Views: 40225

Annoying head hunter spamming Bloomberg Jobs

Yeah they are really bad.
by PaperCut
May 6th, 2009, 1:40 pm
Forum: Student Forum
Topic: Volatility calculation - bachelor thesis
Replies: 23
Views: 44941

Volatility calculation - bachelor thesis

<t>Paul Thanks Paul, as usual, wise counsel...QuoteOriginally posted by: cryptic26...You are not even close to what I was talking about. I was not suggesting any arbitrage opportunity based on implied vol vs. historical vol. I was merely suggesting that dealers tend to adjust their prices to favor t...
by PaperCut
May 6th, 2009, 12:38 pm
Forum: Student Forum
Topic: Volatility calculation - bachelor thesis
Replies: 23
Views: 44941

Volatility calculation - bachelor thesis

<t>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 dealers usually set the options price higher (because of bid ask boun...
by PaperCut
May 5th, 2009, 4:44 pm
Forum: Technical Forum
Topic: synthetically replicating an interest rate swap
Replies: 12
Views: 41913

synthetically replicating an interest rate swap

<t>Yeah Short Sterling or Eurodollar futures options. I would set up some kind of options trade that will do the trick. Some sort of collar or vertical spread will be cheap. You want to be a purchaser of Eurodollar puts. Buy some put spreads, preferably midcurves, so you have expiry that is like 2 y...
by PaperCut
May 2nd, 2009, 1:20 pm
Forum: Programming and Software Forum
Topic: handling exponential enterprise growth
Replies: 13
Views: 41020

handling exponential enterprise growth

QuoteOriginally posted by: farmerI am worried about the rate at which ...&c. ...to accommodate the natural growth of my enterprise. What you mean is, your parents just sent you some more money.
by PaperCut
April 30th, 2009, 11:01 pm
Forum: Careers Forum
Topic: Which degree best develops analytical skill ?
Replies: 20
Views: 43305

Which degree best develops analytical skill ?

Physical Chemistry / Chemical Physics. Those guys are the best. Not that I would have an axe to grind, or anything...
by PaperCut
April 29th, 2009, 10:41 pm
Forum: Book And Research Paper Forum
Topic: Parisian, Wilmott
Replies: 4
Views: 40582

Parisian, Wilmott

<r>QuoteOriginally posted by: jfuquaTry this. Sat Jun 16, 07 10:39 AM Several .pdfs I've seen over the years have very odd math and even text characters through-out the papers.Reason seems to be [at least a major source] is they used Scientific Workplace.It uses fonts that are not available with Acr...
by PaperCut
April 28th, 2009, 6:07 pm
Forum: Book And Research Paper Forum
Topic: Parisian, Wilmott
Replies: 4
Views: 40582

Parisian, Wilmott

One can obtain the paper here: http://www.paulwilmott.com/but I'm having a hard time with the math fonts in adobe. Can anyone just bung me a copy with math fonts I can see??Thanks
by PaperCut
April 27th, 2009, 2:20 pm
Forum: Book And Research Paper Forum
Topic: Parisian, Wilmott
Replies: 4
Views: 40582

Parisian, Wilmott

Help ?Spring 1999 Pricing Parisian Options Haber Schönbucher Wilmott
by PaperCut
April 23rd, 2009, 2:37 am
Forum: Numerical Methods Forum
Topic: Moments of basket distribution
Replies: 10
Views: 48051

Moments of basket distribution

QuoteOriginally posted by: KeanuJU, E. (1992): “Pricing Asian and Basket Options Via Taylor Expansion”, Journal ofComputational Finance, 5(3), 79–103.Yeah, I love this paper. it's pretty challenging to code but it's a heck of a model.
by PaperCut
April 17th, 2009, 2:32 am
Forum: General Forum
Topic: Bloomberg: Crap
Replies: 9
Views: 45506

Bloomberg: Crap

<t>Got it: Martinghoul, you're right, but there's a little more to it.You need to set up your curve under ICVS (deposits vs. cash in the front end), hit "save," and then specify your new default curve as a "custom" curve in SWDF.Nice. This is what pisses me off about Bberg. It's so Byzantine. Like a...
by PaperCut
April 16th, 2009, 2:26 am
Forum: Careers Forum
Topic: first job advice needed
Replies: 9
Views: 41152

first job advice needed

<t>Well it seems that investment banking and related enterprises have basically been eradicated.So it looks like you will need to seek out a place that is less driven the existence of an expanding money supply, and more driven by innovation, ideas and competitive edge. Of course I mean hedge funds a...
by PaperCut
April 16th, 2009, 2:21 am
Forum: General Forum
Topic: Bloomberg: Crap
Replies: 9
Views: 45506

Bloomberg: Crap

<t>QuoteOriginally posted by: MartinghoulQuoteOriginally posted by: PaperCutCheck out Bloomberg's Swap Manager. Woooooooo - Hoooooooo !!!! We are living the high life now. Tradin' swaps. WHOOPS!!!!! Their curve is based on a bunch of CRAP: Libor fixings !!!!! Yeah, that's right! Nice. Thanks, guys!O...
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