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by cosmologist
November 5th, 2008, 5:55 am
Forum: The Quantitative Finance FAQs Project
Topic: What are the most popular interest rate models?
Replies: 14
Views: 254215

What are the most popular interest rate models?

<t>My two cents on the topic for the beginners.I would strongly suggest to buy two books1) Brigo & Mercurio - Read the relevant part. You will notice that for exotic interest rate products which are complex and difficult to price, you would require a model which would adequately model the forwar...
by cosmologist
November 4th, 2008, 7:20 am
Forum: Trading Forum
Topic: Relevance of numerical tests for proprietary trader job
Replies: 16
Views: 54948

Relevance of numerical tests for proprietary trader job

<t>QuoteOriginally posted by: NomadeQuick maths very important, specially for a flow trader. That's not to say that it cannot be compensated by other skills (eg creativity). It also depends on the level of seniority. For a junior trader, quick math and accuracy is very important, but more so the abi...
by cosmologist
October 17th, 2008, 4:23 am
Forum: Trading Forum
Topic: SPREAD vols in energy market
Replies: 3
Views: 47921

SPREAD vols in energy market

<t>Excellent, buut when we go to the market to get a price we have no clue what to expect. Should I key in 50 % vol assuming that the empirical data reflects the reality or use the equation .As i said when I use the correlation method we get a very very low value for the vol of the spread which cont...
by cosmologist
October 16th, 2008, 11:43 am
Forum: Trading Forum
Topic: Relevance of numerical tests for proprietary trader job
Replies: 16
Views: 54948

Relevance of numerical tests for proprietary trader job

<t>QuoteOriginally posted by: WildWarriorHi guysFirst of all thanks very much for your answers. Well the questions were more like 6.75 * 4.35 , 69 * 34 or 7.95 - (-3.27) and also some division. it was 40 questions well with my results i start to doubt about my qualities in maths because i can deal w...
by cosmologist
October 16th, 2008, 10:55 am
Forum: Trading Forum
Topic: We're obsessed with the wrong models
Replies: 74
Views: 57172

We're obsessed with the wrong models

<t>Quote My chief problem is that I have next to nothing to live on in the mean-time and don't have the legal and financial backing to divest myself of the current contract.Sorry to be pocking my nose here. I am just a street-smart trader. "Know the models don't work and go with the market" kind of ...
by cosmologist
October 16th, 2008, 9:52 am
Forum: Trading Forum
Topic: SPREAD vols in energy market
Replies: 3
Views: 47921

SPREAD vols in energy market

How to calculate the volatility of a spread, let us say,WTI-Heating oil.1. Historical standrad deviation or 2. Vol from the standard deviation and correlation coefficient of the underlyings using sigma1,sigma2,and rho.Both would give very different values.Cosmo
by cosmologist
October 7th, 2008, 10:28 am
Forum: Trading Forum
Topic: What is the best way to hedge this product.
Replies: 2
Views: 48305

What is the best way to hedge this product.

<t>There is a product that has been offered.Product pays 20% as long as shares x and Y both trade below the day of issue prices. As long as the two shares trade below the date of issue prices and stays above 60% of the issue prices(depreciates 40%), the paper rewards me with 20% on the principal.If ...
by cosmologist
October 7th, 2008, 9:21 am
Forum: Technical Forum
Topic: Hedging Cliquets and other exotic options
Replies: 19
Views: 191199

Hedging Cliquets and other exotic options

<t>QuoteOriginally posted by: PaulWell, you need a framework/model for the incompleteness and then some goal you are trying to achieve by hedging.numbersix will have lots to say on this!PPerhaps numbersix will comedown to the forum and answer the questions and help us. Assumption- Numbersix is aroun...
by cosmologist
October 1st, 2008, 11:31 am
Forum: Numerical Methods Forum
Topic: What is the best inter/extrapolation method.Academic and realtimeTrdaers,inputs please.
Replies: 3
Views: 48383

What is the best inter/extrapolation method.Academic and realtimeTrdaers,inputs please.

<t>QuoteOriginally posted by: CuchulainnCosmo,Can you specify the problem in more detail? It is too open-ended.ThanksDHello Prof,how are you'. after a long time.Coming to the numbers, the implied vols I have pasted are time-wise or expiry-wise downloaded from Bloomberg. These are WTI options imp vol...
by cosmologist
October 1st, 2008, 7:06 am
Forum: Numerical Methods Forum
Topic: What is the best inter/extrapolation method.Academic and realtimeTrdaers,inputs please.
Replies: 3
Views: 48383

What is the best inter/extrapolation method.Academic and realtimeTrdaers,inputs please.

<t>51.63250.36848.76247.980045.313043.993000Thease are vols on time scale. For one strike k. The data are not available. Options were not trading at that point in time. What is the responsible method to fin approx vols for the implied vols. As we can notice the implied vols decreases as expiry date ...
by cosmologist
September 30th, 2008, 9:44 am
Forum: Trading Forum
Topic: Article that explains what is happening
Replies: 13
Views: 51115

Article that explains what is happening

<t>QuoteOriginally posted by: AnselmusHey guys,I am posting about the current world economic crisis since December last year (also here: short i-banks and short oil at 146). If you are interested, you can find it at my bloghttp://martinschledde.wordpress.com/I appreciate every feedback.I work on a o...
by cosmologist
September 30th, 2008, 9:27 am
Forum: Trading Forum
Topic: Article that explains what is happening
Replies: 13
Views: 51115

Article that explains what is happening

<t>QuoteOriginally posted by: farmerQuoteOriginally posted by: New York Times, September 30, 1999In a move that could help increase home ownership rates among minorities and low-income consumers, the Fannie Mae Corporation is easing the credit requirements on loans that it will purchase from banks a...
by cosmologist
September 27th, 2008, 5:34 am
Forum: General Forum
Topic: probability of a WS franchise disappear in 2008
Replies: 9
Views: 61785

probability of a WS franchise disappear in 2008

<t>Why no one of us told this boy to keep track of CDS spreads. he asked the question Jan2008. very few probably ever thought that Lehman would go Kaput or belly-up or sink like Titanic,fast and furious( some one who would be writing a book).Dear Tournesol,I am sure that no one(inside the three bank...
by cosmologist
September 26th, 2008, 10:01 am
Forum: Technical Forum
Topic: Commodity Option on Futures - deriving the formula
Replies: 18
Views: 53158

Commodity Option on Futures - deriving the formula

So do we agree that exp(-rt) should not be there.I am still waiting for the new edition.You probably can answer the Edgeworth question the best. Do you think,Edgeworth for smile is of any use now-a-days?regards
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