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by Collector
April 9th, 2003, 4:23 pm
Forum: Student Forum
Topic: Stock Dividends and Volatility Landscapes
Replies: 48
Views: 197855

Stock Dividends and Volatility Landscapes

>Collector, you must have the formula for an option on a dividend-paying stock turning into an option on a non dividend paying >stock at a barrier...exellent idea, have not seen it before...let's put it together!! We should turn this thread into a dividend wilmott paper. ...???
by Collector
April 9th, 2003, 4:13 pm
Forum: Student Forum
Topic: Stock Dividends and Volatility Landscapes
Replies: 48
Views: 197855

Stock Dividends and Volatility Landscapes

<t>I once implemented a tree model assuming first dividend is known discrete cash dividend, often more or less is true in practice, for later dividends I assumed constant discrete dividend yield. Companies tend to cut dividend if stock price perform very bad over time..? However this is not analytic...
by Collector
April 9th, 2003, 2:33 pm
Forum: Student Forum
Topic: Variance Swaps
Replies: 11
Views: 191057

Variance Swaps

see alsoGarch and Vol Swaps
by Collector
April 9th, 2003, 11:56 am
Forum: Student Forum
Topic: Stock Dividends and Volatility Landscapes
Replies: 48
Views: 197855

Stock Dividends and Volatility Landscapes

I will post the approximation method me and my brother came up with here tonight, the next 9 hours I have to concentrate on trading.
by Collector
April 9th, 2003, 12:53 am
Forum: Student Forum
Topic: Stock Dividends and Volatility Landscapes
Replies: 48
Views: 197855

Stock Dividends and Volatility Landscapes

<t>stampeding excellent observation, you just found a "Wall Street Secret"! Here is the storyFirst of all you are perfectly right! However the problem you are mentioning has been known by a few "Wall Street Quants" and a handful option arbitrageurs for some years now. But most of them (including) me...
by Collector
April 5th, 2003, 9:39 pm
Forum: General Forum
Topic: Fluffy Barrier Options
Replies: 2
Views: 190016

Fluffy Barrier Options

I am not sure, but may be fluffy barrier is the same as soft barrier options? That is a barrier option with a barrier range rather than a barrier price. Such an option gets knocked-out (in) gradually.
by Collector
April 3rd, 2003, 1:43 pm
Forum: General Forum
Topic: able price in math 1 mill USD
Replies: 7
Views: 191141

able price in math 1 mill USD

The Able price in math goes to Jean-Pierre Serrehttp://www.abelprisen.no/pressemeldinger/engelsk.pdfThe norwegian goverment is happy to give him approx 1 mill usd!
by Collector
April 2nd, 2003, 5:54 pm
Forum: Student Forum
Topic: delta gamma hedging
Replies: 9
Views: 191846

delta gamma hedging

of course, the delta you can hedge with underlying, the gamma with other options. To get all the secrets about hedging plain vanilla options i recomend my article forthcoming in next issue of Wilmott mag (may issue ;-)
by Collector
April 1st, 2003, 2:39 am
Forum: Book And Research Paper Forum
Topic: Books on Swap Trading
Replies: 1
Views: 189818

Books on Swap Trading

Swaps
by Collector
April 1st, 2003, 1:42 am
Forum: Careers Forum
Topic: Distance PhD
Replies: 56
Views: 194231

Distance PhD

<t>SanFranCA2002>Library? Those buildings with books? I remember!!! Yes, at UCLA. Spending time to travel there instead of using a few key >strokes on my PC to look things up.>If you want to meet girls, it can be a good place. Maybe that is the purpose. I spent some time in the UCLA library a summer...
by Collector
March 30th, 2003, 2:17 pm
Forum: Careers Forum
Topic: Distance PhD
Replies: 56
Views: 194231

Distance PhD

<t>and also quantitative fiancé is not physics. That is the best laboratories for testing out quantitative finance you have in practice (banks and hedge funds.....). People in the industry actually have better tools and "laboratories" to test out how their ideas work, that is in risk management as w...
by Collector
March 29th, 2003, 10:54 pm
Forum: Careers Forum
Topic: Distance PhD
Replies: 56
Views: 194231

Distance PhD

<t>>I always thought that to undertake a PhD, you need to do research? and unless you have necessary tools and applications at home its quite difficult no??? or >perhaps not? yes you need tools: a computer and some software, a lot of papers and research can be downloaded from the internet (especiall...
by Collector
March 28th, 2003, 9:13 pm
Forum: General Forum
Topic: Frozen Time Arbitrage
Replies: 21
Views: 191289

Frozen Time Arbitrage

<t>This guy Time Travler Busted For Insider Tradingcan also have been inspired by the movie TimeCop that is very similar to his storry. A guy traveling back in time (bringing newspapers from the future) using it to do time-travel insider trading. Martingale> “Something might be off topics here, ther...
by Collector
March 28th, 2003, 3:52 pm
Forum: General Forum
Topic: Frozen Time Arbitrage
Replies: 21
Views: 191289

Frozen Time Arbitrage

even with inside information it would be hard to turn $800 into $350 000 000 in only a couple of weeksit is also strang that the SEC source admits, "No one can find any record of any Andrew Carlssin existing anywhere before December 2002."
by Collector
March 28th, 2003, 3:22 pm
Forum: Book And Research Paper Forum
Topic: Complete Guide to Option Pricing Formulas by espen haug
Replies: 16
Views: 192432

Complete Guide to Option Pricing Formulas by espen haug

I have skipped the second edition. That is the next edition will be published later than expected, but on the other hand it will contain much more information than expected. Year 2004?