SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Alkmene
September 21st, 2010, 6:03 am
Forum: Careers Forum
Topic: no programming
Replies: 16
Views: 26671

no programming

Thanks for that AbhiJ.Is the model validation you are talking about BO, MO or are there even FO model validation teams?Alk
by Alkmene
September 21st, 2010, 5:22 am
Forum: Careers Forum
Topic: no programming
Replies: 16
Views: 26671

no programming

<t>I was wondering what kind of quant jobs are out there where one does not need to do any programming/little knowledge re programming.It is a personal question as I am very interested in quant matters and have worked as a programmer but do not enjoy the IT side of things at all.But, I am not a math...
by Alkmene
September 21st, 2010, 4:47 am
Forum: Student Forum
Topic: FX Option Questions
Replies: 6
Views: 25305

FX Option Questions

<t>I like the question(s).My take and I have been struggling for a long time here; problem seems that a lot of currency traders I speak to (small sample, admitedly) are very good with their few pairs and know the conventions that apply but can hardly explain the wider rules/conventions.My take:EUR/J...
by Alkmene
September 20th, 2010, 11:13 pm
Forum: Student Forum
Topic: Binomial model question
Replies: 3
Views: 23892

Binomial model question

Or try and visualise in your minds eye ;-) an american put where the underlying is one tick above zero. What do you have to gain by holding on to the option? what do you have to lose by holding on to the option? Better to exercise or not?Alk
by Alkmene
September 20th, 2010, 11:06 pm
Forum: General Forum
Topic: Basic VaR Question: Price distribution
Replies: 4
Views: 26070

Basic VaR Question: Price distribution

<t>QuoteOriginally posted by: TeamNorwayThank you for the responses! However I think my question isn't coming through quite clearly:IMO, if I assume log returns are normally distributed, then I shouldn't be able to just multiply my original MTM by my 95% worst log return to get my 95% worst new port...
by Alkmene
September 20th, 2010, 10:05 pm
Forum: Student Forum
Topic: Neftci exercise question
Replies: 5
Views: 23810

Neftci exercise question

<t>sorry, that was a bit rushed and the notation should read "del" for all the derivatives as these are only partial derivatives and NOT with regards to the random part of the fucntion; at least this is how I read the suggested solution.Thanks again for any clarification.Alk *edit*: but then again, ...
by Alkmene
September 20th, 2010, 9:49 pm
Forum: Student Forum
Topic: Neftci exercise question
Replies: 5
Views: 23810

Neftci exercise question

<t>Stilyo,thanks for your reply.I am sure the product rule is relevant but I still can't see the result:f(t) = exp(at)g(t)=rt (here I am not sure how to deal with t being the subscript)d f(t)/dt = aexp(at)dg(t)/dt = ?for the solution to be as suggested exp(at)*(drt + artdt),d rt/dt would have to be ...
by Alkmene
September 20th, 2010, 5:11 am
Forum: Student Forum
Topic: Neftci exercise question
Replies: 5
Views: 23810

Neftci exercise question

Can anyone explain the solution to the first exercise in chapter 18; step 3 to step 4: not clear on why exp(at)*(drt + artdt) = del(exp(at)*rt/deltwhere in rt the t is a subscript on r.Thanks for any insights.
by Alkmene
September 20th, 2010, 5:06 am
Forum: Book And Research Paper Forum
Topic: Errata for 2nd Edition of Principles of Financial Engineering by Neftci
Replies: 8
Views: 50989

Errata for 2nd Edition of Principles of Financial Engineering by Neftci

bump: Can anyone explain the solution to the first exercise in chapter 18; step 3 to step 4: not clear on why exp(at)*(drt + artdt) = del(exp(at)*rt/deltwhere in rt the t is a subscript on r.Thanks for any insights.Alk
by Alkmene
September 15th, 2010, 11:36 pm
Forum: Student Forum
Topic: D(1) in black scholes
Replies: 16
Views: 25189

D(1) in black scholes

<t>mazznyc,I am a struggling BO guy but one thing became clear to me over the years: there is no single intuition behind these quantitative questions. There is usually one mathematical answer but multiple interpretations/motivations.As said before, continuously compounding will lead you to lognormal...
by Alkmene
September 15th, 2010, 6:22 am
Forum: Student Forum
Topic: rebonato errata
Replies: 0
Views: 23123

rebonato errata

<t>Is there an errata page for rebonato's "modern pricing of interest-rate derivs" (2002)?I fail to see how page 34-35, equations (2.10) - (2.15) can possibly work out? Extremely simple stuff, hence probably my mistake but (2.14) seems wrong given the definition of At in (2.10); and (2.15) suggests ...
by Alkmene
September 15th, 2010, 2:26 am
Forum: Student Forum
Topic: D(1) in black scholes
Replies: 16
Views: 25189

D(1) in black scholes

<t>QuoteOriginally posted by: mazznycwhats the difference ?The "N()" is the difference.Can you be more precise in your question? Difference between N(d1) and N(d2)?As already stated in this thread, N(d1) is the delta and N(d2) is the probability of ending up in the money. These are mathamtical expre...
by Alkmene
September 14th, 2010, 6:19 am
Forum: Student Forum
Topic: D(1) in black scholes
Replies: 16
Views: 25189

D(1) in black scholes

Isn't this just the delta when there are no dividends? that is, it is not the intrinsic value (S-K) for a call but the sensitivity of the option to changes in the underlying.Alk
by Alkmene
September 7th, 2010, 8:12 am
Forum: Student Forum
Topic: term structure of implied vols
Replies: 2
Views: 23601

term structure of implied vols

<t>Sorry Dave (and others); stupid mistake of mine; I assumed that the notation sigma(t) means a function of t but it is simply a time index.Then it reduces to a simple integral.Dave, yes, it was the derivation which is rather calculus/statistics 101 but I could not follow the derivation in this par...
by Alkmene
September 7th, 2010, 2:04 am
Forum: Student Forum
Topic: term structure of implied vols
Replies: 2
Views: 23601

term structure of implied vols

<t>Standard result:vol between T1, and T2, T2>T1, =sqrt([vol2^2*T2-Vol1^2*T1]/(T2-T1))I used Kerry Back, A course in deriv Secs, 2005, page 58/59. I can't get the final step to the result right. After the inequality condition I am turning into a moronic muppet; there is no excuse but I need help.Tha...
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