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by Advaita
April 12th, 2007, 6:47 pm
Forum: General Forum
Topic: What is the most important reason for skew in the rates vol curve?
Replies: 3
Views: 74371

What is the most important reason for skew in the rates vol curve?

What is the most important reason for skew in the vol curve: Vol of Recvrs > Payers for all tails/tenors
by Advaita
April 9th, 2007, 7:12 pm
Forum: Brainteaser Forum
Topic: another balls problem
Replies: 3
Views: 75515

another balls problem

<t>1. In an box, there are n black balls and m white balls. Suppose I choose, r balls out of the box and keep them in Box2.What is the probability that the first ball that I draw out of Box2 is black? Provide a clear reasoning.2. Out of these r balls in Box2, I select 4 at random and put them in Box...
by Advaita
April 6th, 2007, 3:17 pm
Forum: Brainteaser Forum
Topic: Backgammon
Replies: 11
Views: 76304

Backgammon

.5*(1/11)/(.5*1+.5*1/11) = 1/12 What happens if Scratchy picks a die randomly 30 more times and each time the die shows a 6. What is the probability then that both are 6? Is this intuitive?
by Advaita
April 5th, 2007, 10:07 pm
Forum: Brainteaser Forum
Topic: Backgammon
Replies: 11
Views: 76304

Backgammon

Yes, and the next part? Does he use the updated probability now?
by Advaita
April 5th, 2007, 8:30 pm
Forum: Brainteaser Forum
Topic: Backgammon
Replies: 11
Views: 76304

Backgammon

<t>Here's a very easy one --Itchy and Scratchy are playing Backgammon, which requires two identical dice to be rolled on each turn. Scratchy rolls the dice but just as they come to a halt on the board he covers them up with his hands.Scratchy looks down and says the truth: One of them is six.What is...
by Advaita
April 2nd, 2007, 7:57 pm
Forum: Student Forum
Topic: martingale madness (qn on the betting system)
Replies: 3
Views: 74915

martingale madness (qn on the betting system)

<t>There is some serious trouble with my understanding of why the martingale system fails --OK, please don't blow me off too much but suppose there is a game where I win 1/3rd of the time --Why can I not use the "times 3" strategy?At any trial, I stop if I win. For the nth trial: Prob_n of stopping ...
by Advaita
April 2nd, 2007, 1:51 pm
Forum: Careers Forum
Topic: SIG (Susquehanna) Trading assistant: 2nd round interview
Replies: 23
Views: 95741

SIG (Susquehanna) Trading assistant: 2nd round interview

ya its probability all the way here
by Advaita
March 9th, 2007, 6:42 pm
Forum: Careers Forum
Topic: Risk management at FI RV fund
Replies: 1
Views: 76851

Risk management at FI RV fund

Hi,I am meeting an acquaintance at a fixed income RV hedge fund.Before meeting up, I'd like to know some of the risk mngmnt techniques used by quantitative fixed income relative value funds.Any suggestions?Thanks
by Advaita
March 8th, 2007, 5:27 pm
Forum: General Forum
Topic: What are the more important factors for a swap spread tightening/widening?
Replies: 4
Views: 78230

What are the more important factors for a swap spread tightening/widening?

<t>Thanks SC, have a few qns to follow up --Flight to quality..--> Slightly Agree. But does the swap rate necessarily move the other way in this scenario? Is it's move predictible? The last week for instance, the swap rates moved down by 10bps. (The net was still a spread increase)Corporate issuance...
by Advaita
March 7th, 2007, 6:05 pm
Forum: General Forum
Topic: What are the more important factors for a swap spread tightening/widening?
Replies: 4
Views: 78230

What are the more important factors for a swap spread tightening/widening?

What are the more important factors for a swap spread tightening/widening?thks
by Advaita
March 7th, 2007, 4:38 pm
Forum: Student Forum
Topic: In BDT, Why is the risk-neutral prob of an up move = 1/2 ?
Replies: 0
Views: 76922

In BDT, Why is the risk-neutral prob of an up move = 1/2 ?

For rate models such as BDT --Why is the risk-neutral prob of an up move = 1/2 ?
by Advaita
March 2nd, 2007, 9:48 pm
Forum: Student Forum
Topic: Seeking carry trade explanation
Replies: 1
Views: 77625

Seeking carry trade explanation

<t>It would make things very clear if some of your pros in some way could show how a hedge fund manager *exactly* executes a leveraged carry trade if he has USD 5mm.Probably a case study.Agreed, that he shorts the JPY bonds (or futures) and uses the income to buy the USD 10s but which JPY bonds/futu...
by Advaita
February 28th, 2007, 8:05 pm
Forum: Off Topic
Topic: Why are some investors such wimps?
Replies: 7
Views: 77937

Why are some investors such wimps?

Now that's why I took the example of a carry trade. With the (USD/JPY or NZD/JPY) rate differential so high, only the currency vol will affect the trades. Did they think the currency was really going unde
by Advaita
February 28th, 2007, 7:55 pm
Forum: Off Topic
Topic: Why are some investors such wimps?
Replies: 7
Views: 77937

Why are some investors such wimps?

Not at all. Bought a whole load of ILF at a bargain yest. morning!
by Advaita
February 28th, 2007, 3:08 pm
Forum: Off Topic
Topic: Why are some investors such wimps?
Replies: 7
Views: 77937

Why are some investors such wimps?

Why are some investors such wimps? Per FT: The Yen rose up on unwinding carry trades. WHY WOULD ANYBODY want to unwind these beauties on a pissidy 300-400 pt drop which everybody knows is a correction?Update: And now the Yen has run out of steam, as if..
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