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by quantmeh
April 17th, 2007, 7:51 pm
Forum: Book And Research Paper Forum
Topic: Java and Financial Engineering
Replies: 14
Views: 83329

Java and Financial Engineering

<t>QuoteIs the book any good ? dfhow could we know? we didn't read it.generally, I'd be cautious. I wouldnt buy it without reading a few chapters in the bookstore.what is he going to cover there? what's so special about Java and FE? if this guy's offering a library of open-source Java programs for F...
by quantmeh
April 17th, 2007, 4:31 pm
Forum: Numerical Methods Forum
Topic: Creating matrices of random numbers without their 'sticking'
Replies: 71
Views: 82531

Creating matrices of random numbers without their 'sticking'

why not use "true" random numbers then? get the true random and use box-muller. easy.
by quantmeh
April 17th, 2007, 4:27 pm
Forum: Technical Forum
Topic: Alternatives for Fourier? convolution v.s. early excersise conditions
Replies: 15
Views: 74431

Alternatives for Fourier? convolution v.s. early excersise conditions

<t>QuoteOriginally posted by: outrunto find weights & absias for the quadrature scheme that are exact for the integrals of positive parts of polynomials of a maximal order. ...What are you thinking of?i'm probably not thinking clearly right now. i thought if you are approximating integral of max...
by quantmeh
April 16th, 2007, 10:36 pm
Forum: Technical Forum
Topic: Alternatives for Fourier? convolution v.s. early excersise conditions
Replies: 15
Views: 74431

Alternatives for Fourier? convolution v.s. early excersise conditions

i dont get why do you need analytical solutions?
by quantmeh
April 16th, 2007, 7:25 pm
Forum: Technical Forum
Topic: Alternatives for Fourier? convolution v.s. early excersise conditions
Replies: 15
Views: 74431

Alternatives for Fourier? convolution v.s. early excersise conditions

QuoteOriginally posted by: outrunI've just realized for constructing an n-point Gaussian Quadrature rule that integrates only the positive values of an 2n-1 order polynomial would need analytical solutions of the roots of that polynomiali didnt get this. would to mind to elaborate?
by quantmeh
April 13th, 2007, 9:16 pm
Forum: General Forum
Topic: Bond Valutation - Any experts ?
Replies: 28
Views: 75406

Bond Valutation - Any experts ?

QuoteOriginally posted by: torontosimpleguyIf you want, go to fight with someone elseFriday's not a good day to fight, too tired
by quantmeh
April 13th, 2007, 9:01 pm
Forum: General Forum
Topic: Bond Valutation - Any experts ?
Replies: 28
Views: 75406

Bond Valutation - Any experts ?

<t>QuoteOriginally posted by: torontosimpleguyThe yield of other bond is determined by adding liquidity or credit spread to the yield of T-bill with the same maturity. And later comes the opposite procedure, the bond's yield determines its price.Simple like that it's simple because you are talking t...
by quantmeh
April 13th, 2007, 2:34 pm
Forum: Book And Research Paper Forum
Topic: mortgage
Replies: 3
Views: 74625

mortgage

two general MBS books are: Hayre's and Fabozzi's. either one of them is pretty much on every table in MBS shops. they have some modeling info, but they are not modeling books per se
by quantmeh
April 13th, 2007, 2:31 pm
Forum: Student Forum
Topic: Is Weak market efficiency correct ?
Replies: 4
Views: 74082

Is Weak market efficiency correct ?

QuoteOriginally posted by: shettydiwakarDoes this mean that if current mkt price did "not" contain all past price info, then I can make future predictions based on past price movements.yes.that's actually the case in reality, imho. check out "momentum trading", e.g.
by quantmeh
April 13th, 2007, 1:40 pm
Forum: Student Forum
Topic: Is Weak market efficiency correct ?
Replies: 4
Views: 74082

Is Weak market efficiency correct ?

<t>QuoteOriginally posted by: shettydiwakarBut suppose if for the past ten years, the market value of a particular asset has been increasing at 10%. Does this not imply that next year it will increase again by 10% ? -- Diwakarsuppose it was a drug company, and it had really good depression remedy dr...
by quantmeh
April 13th, 2007, 11:49 am
Forum: General Forum
Topic: Duration for Perpetual
Replies: 6
Views: 80153

Duration for Perpetual

QuoteOriginally posted by: CollectorThe duration will at best be uncertain!nope. can't be. it's something like 1/r if the rate is fixed.
by quantmeh
April 13th, 2007, 3:31 am
Forum: Student Forum
Topic: Why Geometric Brownian Motion
Replies: 13
Views: 75178

Why Geometric Brownian Motion

QuoteOriginally posted by: CollectorIt is a secret Okay I have made a decent amount of money on option trading now and can tell you about it very soon....but not yet show-me-da-money! (c)this is a student forum, you must teach us all
by quantmeh
April 12th, 2007, 11:10 pm
Forum: Student Forum
Topic: Why Geometric Brownian Motion
Replies: 13
Views: 75178

Why Geometric Brownian Motion

QuoteOriginally posted by: CollectorYes I have done it myself also, but no more!so, what do you do? what model?
by quantmeh
April 12th, 2007, 6:44 pm
Forum: Student Forum
Topic: Why Geometric Brownian Motion
Replies: 13
Views: 75178

Why Geometric Brownian Motion

<t>QuoteOriginally posted by: dongtaHow do you test the model with real data? The data fit perfectly fine with the modified GBM models (for example, some motion with Gaussian distribution of variance 100t or just any curve with total integral 1). it comes to hypothesis testing. you can not prove tha...
by quantmeh
April 12th, 2007, 3:26 pm
Forum: Programming and Software Forum
Topic: make this line of code run as fast as possible
Replies: 12
Views: 74873

make this line of code run as fast as possible

<t>QuoteOriginally posted by: farmerQuoteOriginally posted by: jawabeanwhy don't you read the C# lang spec?I'm really more interested in whether it matters, how much, and if I can even fix it using C#. So I guess I am asking what should I compare it to, I am curious for alternative approaches.ok, do...
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