SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by ntruwant
May 29th, 2006, 11:05 am
Forum: Book And Research Paper Forum
Topic: Best book for Numerical procedures?
Replies: 11
Views: 105063

Best book for Numerical procedures?

I think it is a pity that there is no reference book, containing the most important stuff about Numerical procedures in quantitative finance (with no or very brief links to programming) and skipping the things that are only usefull in 5% of cases.Maybe an idea for a specialist out there…
by ntruwant
May 24th, 2006, 10:17 am
Forum: Book And Research Paper Forum
Topic: Best book for Numerical procedures?
Replies: 11
Views: 105063

Best book for Numerical procedures?

I would like to boost my knowledge of Numerical procedures in quantitative finance. Which book do you recommend?
by ntruwant
May 19th, 2006, 11:23 am
Forum: General Forum
Topic: credits: early prepayment option
Replies: 6
Views: 106123

credits: early prepayment option

Come on guys, doesn't anybode have an idea about the theoretical framework for such options???
by ntruwant
May 17th, 2006, 10:03 am
Forum: General Forum
Topic: credits: early prepayment option
Replies: 6
Views: 106123

credits: early prepayment option

THanks gardener!Do you know which techniques, besides simulations, are used: Black-Scholes-Merton, trees, ...?Which kind of simulations do you mean?
by ntruwant
May 16th, 2006, 12:09 pm
Forum: General Forum
Topic: credits: early prepayment option
Replies: 6
Views: 106123

credits: early prepayment option

For some credit types, the client has the right to pay to remaining amount back in one time, before the expiration of the credit.Does anyone have an idea how to model such an option (literature, own experience, ...)?
by ntruwant
May 1st, 2006, 1:44 pm
Forum: General Forum
Topic: interpolating yield curve: why not liniar?
Replies: 8
Views: 109076

interpolating yield curve: why not liniar?

thanks geist!
by ntruwant
April 28th, 2006, 6:17 am
Forum: General Forum
Topic: interpolating yield curve: why not liniar?
Replies: 8
Views: 109076

interpolating yield curve: why not liniar?

Guys, thanks for your detailed answers!Hi Jedi, what do you mean by ‘not global’?
by ntruwant
April 27th, 2006, 10:04 am
Forum: General Forum
Topic: interpolating yield curve: why not liniar?
Replies: 8
Views: 109076

interpolating yield curve: why not liniar?

<t>Why would one not interpolate a yield curve in a liniar way, but use B-splines or Nelson-Seegel, ..? Is one of the reasons that the derivative on the yield curve needs to differentiate that yield curve and that the yield curve with a liniar interpolation is not differentiable on all its points? <...
by ntruwant
April 1st, 2006, 9:21 pm
Forum: Programming and Software Forum
Topic: Excel/VBA Question
Replies: 8
Views: 114140

Excel/VBA Question

<t>QuoteOriginally posted by: StylzHere is a tough question.I have implemented Gauss Legendre quadrature to numerically integrate a certain function. I have 2 column vectors stored in the spreadsheet, one corresponding to the weights, the other to the abscissas. Eventually this code will be ported t...
by ntruwant
April 1st, 2006, 9:10 pm
Forum: General Forum
Topic: LGD models
Replies: 6
Views: 115087

LGD models

<t>QuoteOriginally posted by: vikashpunglia1) How do you calculate the prediction interval? Which distribution to use?A disclaimer first. I am no expert in this field. Pls take my reply with a pinch of salt. Can't one calculate the prediction for Beta distribution? I have no inkling. If one can then...
by ntruwant
March 23rd, 2006, 5:36 pm
Forum: General Forum
Topic: LGD models
Replies: 6
Views: 115087

LGD models

<t>QuoteOriginally posted by: vikashpungliaRating Agencies first model a measure of LGD by regressing it on relevant factors such as Collateral, Firm level, Industry, Macroeconomic, Geographic info. and then perform inverse beta transformation to normalize it. Further Prediction Intervals, Predictio...
by ntruwant
March 23rd, 2006, 11:44 am
Forum: General Forum
Topic: LGD models
Replies: 6
Views: 115087

LGD models

<t>For backtesting/following a PD model there are quite some know, relevant statistical tests (Gini, KS,…).But how about LGD models: of course you compare the predicted with the observed LGD’s. But which statistical indicators can you use to follow an LGD model? When do you conclude that a model no ...
by ntruwant
March 19th, 2006, 7:48 pm
Forum: Careers Forum
Topic: switching firms
Replies: 2
Views: 113932

switching firms

Changing always means leaving something that you have build up. So I personally think that you should at least gain 20% more in your new job. Promises for more career opportunities, ... are just what they are: promises
by ntruwant
March 18th, 2006, 12:40 pm
Forum: Programming and Software Forum
Topic: Hello World in all Languages, post here
Replies: 121
Views: 136888

Hello World in all Languages, post here

SAS:%put Hello World;
by ntruwant
March 3rd, 2006, 11:15 am
Forum: Careers Forum
Topic: credit risk and other topics in quant finance?
Replies: 1
Views: 116048

credit risk and other topics in quant finance?

<t>I personally think credit risk is a very interesting subject. It is quite diverse: you have the more econometrical models of PD, LGD and EAD for Basel II but you also have the calculation of the options that are in the credits, MBS, pricing issues also ask for financial models, link to economic c...
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