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

Thanks for that AbhiJ.Is the model validation you are talking about BO, MO or are there even FO model validation teams?Alk

- September 21st, 2010, 5:22 am
- Forum: Careers Forum
- Topic: no programming
- Replies:
**16** - Views:
**26671**

<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...

- September 21st, 2010, 4:47 am
- Forum: Student Forum
- Topic: FX Option Questions
- Replies:
**6** - Views:
**25305**

<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...

- September 20th, 2010, 11:13 pm
- Forum: Student Forum
- Topic: Binomial model question
- Replies:
**3** - Views:
**23892**

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

- September 20th, 2010, 11:06 pm
- Forum: General Forum
- Topic: Basic VaR Question: Price distribution
- Replies:
**4** - Views:
**26070**

<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...

- September 20th, 2010, 10:05 pm
- Forum: Student Forum
- Topic: Neftci exercise question
- Replies:
**5** - Views:
**23810**

<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, ...

- September 20th, 2010, 9:49 pm
- Forum: Student Forum
- Topic: Neftci exercise question
- Replies:
**5** - Views:
**23810**

<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 ...

- September 20th, 2010, 5:11 am
- Forum: Student Forum
- Topic: Neftci exercise question
- Replies:
**5** - Views:
**23810**

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.

- 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**

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

- September 15th, 2010, 11:36 pm
- Forum: Student Forum
- Topic: D(1) in black scholes
- Replies:
**16** - Views:
**25189**

<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...

- September 15th, 2010, 6:22 am
- Forum: Student Forum
- Topic: rebonato errata
- Replies:
**0** - Views:
**23123**

<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 ...

- September 15th, 2010, 2:26 am
- Forum: Student Forum
- Topic: D(1) in black scholes
- Replies:
**16** - Views:
**25189**

<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...

- September 14th, 2010, 6:19 am
- Forum: Student Forum
- Topic: D(1) in black scholes
- Replies:
**16** - Views:
**25189**

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

- September 7th, 2010, 8:12 am
- Forum: Student Forum
- Topic: term structure of implied vols
- Replies:
**2** - Views:
**23601**

<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...

- September 7th, 2010, 2:04 am
- Forum: Student Forum
- Topic: term structure of implied vols
- Replies:
**2** - Views:
**23601**

<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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