SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 617 matches

  • 1
  • 3
  • 4
  • 5
  • 6
  • 7
  • 42
by cosmologist
September 23rd, 2008, 8:20 am
Forum: Technical Forum
Topic: Commodity Option on Futures - deriving the formula
Replies: 18
Views: 53159

Commodity Option on Futures - deriving the formula

<t>commodity options done OTC are required to pay premiums and it is marked-to-marketed daily. this is true for NYMEX options. We pay premiums when we buy and get get MTM on a dily basis. The price used is Black model. The basic idea is probably from discounting. You don't wait for the pay-off at th...
by cosmologist
September 22nd, 2008, 7:37 am
Forum: Technical Forum
Topic: Gram-Charlier Expansions and Non-Normality
Replies: 2
Views: 48593

Gram-Charlier Expansions and Non-Normality

<t>We all talk about non-normality in the markets. we also talk about jumps,stochastic vols,VG,Levy Processes,(you can add some more),to account for the fat tails. Earlier there used to be papers using GC and Edgeworth Expansions. How useful are these methods? Are they in use? If no,why?Mike Staunto...
by cosmologist
May 3rd, 2008, 11:21 am
Forum: Numerical Methods Forum
Topic: Need a smart advise VBA, MATRIX ALGEBRA
Replies: 5
Views: 58321

Need a smart advise VBA, MATRIX ALGEBRA

<t>Aha, it does not work. here is the code may be you can spare a few minutes.Dim randommat() As VariantRedim randommat(1 to 1, 1 to X)Dim COVARMAT() As VariantRedim COVARmat(1 to x, 1 to x) Dim Temparray() As VariantReDim Temparray(1 to 1 , 1 to x) temparray = application.mmult(randommat,covarmat)t...
by cosmologist
May 2nd, 2008, 12:52 pm
Forum: Numerical Methods Forum
Topic: Need a smart advise VBA, MATRIX ALGEBRA
Replies: 5
Views: 58321

Need a smart advise VBA, MATRIX ALGEBRA

Why does Application.Worksheetfunction.MMULT( 1x7,7X7) does not work in 2003?Why does the worksheetfunction.transpose does not work for a 1x7 matrix.Basically why these functionalities fail unless the matrices are square??Any VBA guru could answer these ones with small examples.
by cosmologist
April 22nd, 2008, 11:28 am
Forum: Off Topic
Topic: ppauper's China-bashing thread
Replies: 4936
Views: 908613

ppauper's China-bashing thread

<t>QuoteOriginally posted by: crabdingIs English a language best used to distain NON-English speaking countries like China? coz I can only see negative literature (mostly) about China. ppl who claim they understand China and dislike it thereafter, have you guys ever read anything good about China in...
by cosmologist
January 3rd, 2008, 11:43 am
Forum: Technical Forum
Topic: Forward Start ON CRUDE Spread
Replies: 4
Views: 61240

Forward Start ON CRUDE Spread

<t>Hello guys and girls, Cosmo here after four months. Happy new Year to all of you. Now a small help needed. Does the concepts of Rubinst'n for "forward-starts" apply to SPREADS on commodities!. I mean for a spread option starting 3 months,say, down the road on a crude- diesel spread, do I just emp...
by cosmologist
July 6th, 2007, 4:04 am
Forum: Numerical Methods Forum
Topic: help! Pointers needed for Quasi-MC based 2D integration...
Replies: 8
Views: 70608

help! Pointers needed for Quasi-MC based 2D integration...

<t>QuoteOriginally posted by: mizhaelOutrun: you are right! I haven't go deep into the subject yet. I am still on the surface level and doing the broad list survey stuff...I am sorry to say this but, I would like to say.Is mizhael in a situation like I found myself two years back? Is she reporting t...
by cosmologist
May 5th, 2007, 11:34 am
Forum: Student Forum
Topic: American Options XLL
Replies: 13
Views: 159496

American Options XLL

<t>here are my prices for RJ paper. Please tell me about your prices.For the option with S = 100, Strike =105, T =2, sigma = 11.35%and the rd= 4.25% and rf = 6.5%.I have the optiolina h = .396531409. This option expires at year 1. I start with two options. Both european. One continues till T = 2. th...
by cosmologist
April 13th, 2007, 6:59 am
Forum: Numerical Methods Forum
Topic: Leisen-Reimer Gamma
Replies: 1
Views: 78409

Leisen-Reimer Gamma

<t>hi hi are you still interested with the LR tree for American Options?I have calculated the prices which converges in 2300 steps. I have a problem with my codes. Can you tell me the reason behind the follwoing after checking it out from people around you.In my computer, with a 2GB RAM, Pentium 4 m...
by cosmologist
March 3rd, 2007, 5:55 am
Forum: Technical Forum
Topic: LMM/BGM with trees
Replies: 16
Views: 79755

LMM/BGM with trees

<t>QuoteOriginally posted by: newbeeSorry you took my comment in the wrong way. I didn't know you were the sameperson. What was funny is that you username and the company name was the same,that's it.Your profile is hidden, so there was no way to know who you were, sorry.JuanDon't apologise too much....
by cosmologist
February 19th, 2007, 4:17 am
Forum: Off Topic
Topic: ppauper's very own "How Canada Sucks" thread.
Replies: 1040
Views: 156219

ppauper's very own "How Canada Sucks" thread.

<t>QuoteOriginally posted by: ppauperQuoteOriginally posted by: migalleyQuoteOriginally posted by: ppauperquebec welcomes immigrantsQuoteA rural Quebec town has taken the unusual step of formally declaring that it is forbidden to stone women in publicBut do they allow it in private???Quebec Muslims ...
by cosmologist
February 19th, 2007, 4:13 am
Forum: Off Topic
Topic: Wishing The Chinese Girls and Guys.
Replies: 7
Views: 78707

Wishing The Chinese Girls and Guys.

<t>I would like to wish the chinese folks a very happy, properous New Year.I would also appreciate their effort to restrain themselves from breeding like pigs!I am just reminding my friends out here that even though this year is the luckiest one according to astrology and star gazing to produce kids...
by cosmologist
January 29th, 2007, 6:23 am
Forum: Technical Forum
Topic: first passage time
Replies: 7
Views: 80961

first passage time

See "Concepts........" for a nice and erudite stuff. I have a doubt. What happens when we move to a world far removed from Black Scholes? MJ might give us a way.
by cosmologist
December 26th, 2006, 6:45 am
Forum: Numerical Methods Forum
Topic: matlab implied trinomial trees-Clewlow and Strickland
Replies: 6
Views: 85606

matlab implied trinomial trees-Clewlow and Strickland

<t>QuoteOriginally posted by: kahhinI've implemented the implied trinomial trees as per chapter 5 in clewlow strickland in matlab. works like a charmI'm confused about the greeks, do i a) bump the input parameters(ie 1% increment to the underlying), reprice the option via the implied tree then calcu...
by cosmologist
December 4th, 2006, 12:27 pm
Forum: Programming and Software Forum
Topic: excel dll
Replies: 10
Views: 103193

excel dll

I thought Mr. Dominic would try to upload the file again.thanks and regardscosmo
  • 1
  • 3
  • 4
  • 5
  • 6
  • 7
  • 42
GZIP: On