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April 10th, 2007, 1:28 pm
Forum: Student Forum
Topic: delta from bs equation
Replies: 6
Views: 74960

delta from bs equation

<t>QuoteOriginally posted by: kangsoomansorry for late my responds.I think there is little misunderstanding.My european call is exercised after one period, so I estimated the delta at expiry that way.i was trying to say that your delta hedge wont work because your period is too long, imhoi. delta an...
April 10th, 2007, 1:16 pm
Forum: General Forum
Topic: Duration of z-bond
Replies: 4
Views: 74415

Duration of z-bond

<r>QuoteOriginally posted by: torontosimpleguyHere I copy my posts from CFA preparation forum,<URL url="http://www.analystforum.com/phorums/read.php?13,520352=================================================Figured"><LINK_TEXT text="http://www.analystforum.com/phorums/rea ... ===Figured">http://www....
April 10th, 2007, 1:06 pm
Forum: Technical Forum
Topic: general problem with MC for value-at-risk
Replies: 3
Views: 74623

general problem with MC for value-at-risk

QuoteOriginally posted by: RezWhen you perform factor analysis, aren't the factors independent by construction? How can you have c described by {a,b}?maybe he's using vector autoregression (VAR)?
April 10th, 2007, 12:04 pm
Forum: Numerical Methods Forum
Topic: Stehfest algo for Laplace inversion question
Replies: 27
Views: 137423

Stehfest algo for Laplace inversion question

<t>QuoteOriginally posted by: ZmeiGorynychDoes someone have a copy or link to Stehfest's original paper - or indeed any paper that explains how and _why_ it works?Algorithms is proposed in - D. P. Gaver Jr., Observing Stochastic Processes, and Approximate Transform Inversion, Operations Research, Vo...
April 10th, 2007, 11:25 am
Forum: Student Forum
Topic: Why Geometric Brownian Motion
Replies: 13
Views: 75176

Why Geometric Brownian Motion

<t>QuoteOriginally posted by: dongtaMost quants assume that a stock's price follows a geometric BM. Why is it a good assumption? Any justifications?it's the simplest model, which more or less complies with real data and also can be reasoned economically. you may play with real stock return data and ...
April 9th, 2007, 8:25 pm
Forum: Numerical Methods Forum
Topic: Creating matrices of random numbers without their 'sticking'
Replies: 71
Views: 82523

Creating matrices of random numbers without their 'sticking'

QuoteOriginally posted by: outrun.. if you dont mind rejection / throwing a way samples (which might be an issue with LDS) the best method is the Ziggurat algorithm. in Knuth's TAOCP it's algorithm "M", afaik.
April 9th, 2007, 6:29 pm
Forum: Off Topic
Topic: AMD or Intel?
Replies: 20
Views: 76378

AMD or Intel?

<t>QuoteOriginally posted by: leveloidAnyway, running the same number of simulations takes the Pentium 4 computer FOUR TIMES LONGER than AMD Sempron. Surely that is crushing evidence that AMD processors are much faster than Intel processors.What do you think? Do you agree?Regards, Athosdoes your Pen...
April 9th, 2007, 6:18 pm
Forum: Off Topic
Topic: Does "nothing" exist?
Replies: 98
Views: 79226

Does "nothing" exist?

QuoteOriginally posted by: leveloidDoes the empty set exist?Oh, yes! That's a sure thing.
April 9th, 2007, 10:04 am
Forum: Programming and Software Forum
Topic: Matlab for C++ Programmers
Replies: 158
Views: 101791

Matlab for C++ Programmers

<t>QuoteOriginally posted by: CuchulainnI think what is needed is OO for Matlab.So, Matlab code is procedural-driven?1. Define the global variables2. Make algorithm3. Get result and plot itI am interested in how Matlab programmer develop medium-scale or large-scale apps without OO or generics?i love...
April 9th, 2007, 9:46 am
Forum: Student Forum
Topic: Time Value in European Option
Replies: 5
Views: 76617

Time Value in European Option

<t>QuoteOriginally posted by: vikramreddy14what is the relation between between the price of a European Call Option and Intrinsic Value?...is it like American option where the price of an option cannot be less than intrinsic value (i.e. Time value is always positive ) ?do u men boundary conditions? ...
April 9th, 2007, 9:34 am
Forum: Numerical Methods Forum
Topic: Creating matrices of random numbers without their 'sticking'
Replies: 71
Views: 82523

Creating matrices of random numbers without their 'sticking'

<t>QuoteOriginally posted by: CuchulainnQuoteQuoteStrange that this method from this esteemed guru has only now been mentioned here. BTW What's wrong with Box Muller anyway (apart from calculating sin, cos and log)?you don't need sin/cos if it's not polar version of BM, only log and sqrt is required...
April 8th, 2007, 9:11 pm
Forum: General Forum
Topic: How do you get mean rate of return of stock from beta, volatility, and risk-free rate, etc?
Replies: 16
Views: 75244

How do you get mean rate of return of stock from beta, volatility, and risk-free rate, etc?

<t>QuoteOriginally posted by: mizhaelIn CAPM, we have r_i - r_f = beta*(r_m - r_f)where r_m is the mean rate of return of the market... is there a way to roughly estimate this number, say from Bloomberg, etc?in CAPM it's _expected_ rate of return, not _mean_.you can not get expected market return fr...
April 8th, 2007, 8:47 pm
Forum: Student Forum
Replies: 11
Views: 75993

QuoteOriginally posted by: sunzhoujianI want to use that to get to know folks here... all i'm saying is that folks here may shy away from facebook because of its perceived "student social network" style.
April 8th, 2007, 8:36 pm
Forum: Book And Research Paper Forum
Topic: New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie
Replies: 29
Views: 179197

New Book - Interest Rates and Coupon Bonds in Quantum Finance by Belal A. Baaquie

So, did anybody read the book in question?I just got it from the library, and plan to read it over coming 2-3 weeks, if time permitscheers!
April 8th, 2007, 8:32 pm
Forum: Student Forum