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by purbani
February 13th, 2012, 9:32 pm
Forum: General Forum
Topic: The Black-Scholes equation caused the banks to crash (The Guardian)
Replies: 29
Views: 18330

The Black-Scholes equation caused the banks to crash (The Guardian)

How do you dumb down a Guardian article. In any event the headline was probably written by some sub-editor and not the author.
by purbani
January 31st, 2012, 4:47 am
Forum: General Forum
Topic: Using Cornish Fisher to generate random variates
Replies: 10
Views: 139309

Using Cornish Fisher to generate random variates

<t>This recent presentation of mine would seem to be germane to the discussion. In it I highlight the deficiencies of the Cornish Fisher expansion to the Normal Distribution ( Also covered by Mina and Ulmer in Delta Gamma Four Ways , Jaschke and Stoyanov amongst others ) I provide a small VBA test o...
by purbani
September 14th, 2011, 9:39 pm
Forum: General Forum
Topic: Dr. Graeme West, RIP
Replies: 15
Views: 22618

Dr. Graeme West, RIP

Hamba kahle - old friend, you will be sorely missed. Gone but not forgotten.
by purbani
May 5th, 2011, 9:22 pm
Forum: General Forum
Topic: What does an manager of investment manager do?
Replies: 4
Views: 22153

What does an manager of investment manager do?

Looks like its part of the BT Financial Group
by purbani
October 18th, 2010, 8:27 pm
Forum: Numerical Methods Forum
Topic: portfolio skew & kurtosis using excel using wgts, and covariance matrices?
Replies: 1
Views: 26707

portfolio skew & kurtosis using excel using wgts, and covariance matrices?

Yes - look up Co-Skewness and Co-Kurtosis Tensor matrices and Kroenecker product.
by purbani
September 22nd, 2010, 7:30 pm
Forum: Numerical Methods Forum
Topic: Fund of Hedge Fund Optimisation
Replies: 3
Views: 26138

Fund of Hedge Fund Optimisation

<t>There are a couple of papers on the University of Reading's website and Harry Kat has also written on this topic. The research is all in the 20 - 40 funds range. In fact if you consider that your raw second moment is squared (x-xbar)^2 you will realise that if you also care about your third momen...
by purbani
September 6th, 2010, 4:12 am
Forum: General Forum
Topic: Valuing an Asset Management Business
Replies: 3
Views: 26605

Valuing an Asset Management Business

<t>If you look at the historic prices paid for Fund Management companies the range tends to be between 2 - 6x Earnings depending on where in the cycle you are. At the peak of the madness pre-crisis in 2007 there were a couple of sales at 10x but I would consider these to be outliers. The key determi...
by purbani
July 1st, 2010, 8:03 pm
Forum: General Forum
Topic: VaR and the Credit Crisis
Replies: 3
Views: 27140

VaR and the Credit Crisis

I agree - any good candidate papers/reports though ?
by purbani
June 27th, 2010, 8:21 pm
Forum: General Forum
Topic: VaR and the Credit Crisis
Replies: 3
Views: 27140

VaR and the Credit Crisis

<r>Has the definitive paper examining the under/overestimation of Bank's reported VaR during the recent credit crisis been written yet ?One such example <URL url="http://www.soa.org/library/newsletters/risk-management-newsletter/2009/september/jrm-2009-iss17-schoolman.pdf"><LINK_TEXT text="http://ww...
by purbani
June 18th, 2010, 8:50 pm
Forum: General Forum
Topic: ICA (independant Component Analysis)
Replies: 1
Views: 26988

ICA (independant Component Analysis)

Metrixus add-in for Excel is the only one I know of at present but not open source I'm afraid. I am busy coding it up in VBA myself but taking some time.
by purbani
June 16th, 2010, 9:45 pm
Forum: Programming and Software Forum
Topic: Help with code conversion
Replies: 2
Views: 27335

Help with code conversion

<r>Any C# or C++ guru's out there - I am attempting to convert the following code to VB.Net using an online conversion tool <URL url="http://www.developerfusion.com/tools/convert/csharp-to-vb/"><LINK_TEXT text="http://www.developerfusion.com/tools/co ... arp-to-vb/">http://www.developerfusion.com/to...
by purbani
June 9th, 2010, 11:32 pm
Forum: Technical Forum
Topic: it is kurt or excessive kurt used in CF VaR?
Replies: 7
Views: 27325

it is kurt or excessive kurt used in CF VaR?

See attached
by purbani
January 19th, 2010, 10:44 pm
Forum: General Forum
Topic: List of Quantitative Funds
Replies: 22
Views: 42634

List of Quantitative Funds

A Comparison of Quantitative and Qualitative Hedge Funds – by Ludwig B. Chincarini may help see here
by purbani
January 14th, 2010, 9:46 pm
Forum: General Forum
Topic: Optimizing with respect to Sharpe ratio directly?
Replies: 7
Views: 35929

Optimizing with respect to Sharpe ratio directly?

You can certainly do it this way but it won't be globally optimal if there are any non-linearities in the data which in general there will be see Here
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