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by flairplay
January 1st, 2007, 10:20 am
Forum: The Quantitative Finance FAQs Project
Topic: Why do quants like closed-form solutions?
Replies: 70
Views: 235897

Why do quants like closed-form solutions?

<t>Lets reinterpret this question a little bit.How do you really understand a phenomenon? Closed form does not always necessarily lead to greater understanding. In finance, it is crucial to understand the dynamics - what essence is captured, what is missed.I would be with Feynman on this. Models are...
by flairplay
December 30th, 2006, 7:02 am
Forum: The Quantitative Finance FAQs Project
Topic: What are the most important unsolved problems in finance today?
Replies: 41
Views: 248079

What are the most important unsolved problems in finance today?

<t>QuoteOriginally posted by: bryangWhat proportion of market participants understand the models describing the consequences of their behavior?As good a description as it gets. I suspect the number is very small. Pure quants with no trading experience usually miss the intuition and understanding tha...
by flairplay
December 21st, 2006, 11:55 am
Forum: Student Forum
Topic: Theta and Cost of carry for an FX portfolio
Replies: 5
Views: 85993

Theta and Cost of carry for an FX portfolio

Your option is very deep in the money if the delta is 100%. Correspondingly there is no gamma, and hence no time decay associoated with gamma. The only decay you see is funding ("carry"). So for a 100% delta option this is not a coincidence.
by flairplay
December 21st, 2006, 11:47 am
Forum: General Forum
Topic: wilmott mag
Replies: 7
Views: 91691

wilmott mag

<t>Hi Catso,I was replying to the rather esoteric comment by HoracioAliaga. Not entirely sure what HoracioAliaga meant. Either, the article is not worth the read, or the thread not. Funny comment either way.Anyway the article is on correlation smiles in FX and Equity Markets. It was written one Frid...
by flairplay
December 19th, 2006, 3:47 pm
Forum: General Forum
Topic: wilmott mag
Replies: 7
Views: 91691

wilmott mag

QuoteOriginally posted by: horacioaliagaToo Many In, Way Too Many trying to get inBrilliant quote. Many trying to get out as well I assure you! There comes a time.....
by flairplay
December 19th, 2006, 3:41 pm
Forum: General Forum
Topic: FX carry trade economics
Replies: 10
Views: 85901

FX carry trade economics

<t>QuoteOriginally posted by: LookbackHi all,can anyone give sone insights on why does the FX carry trade works, how can we explaineconomically that there is a biais in the Forward prices?many thanksHi, it's simple enough but whether it is fair depends on your view.Nearly all hedge funds are long ca...
by flairplay
December 14th, 2006, 8:47 am
Forum: Off Topic
Topic: Redefining undefined
Replies: 12
Views: 85335

Redefining undefined

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: CuchulainnQuoteAnd, yes this brouhaha is somewhat reminiscent of the "complex numbers are crazy" arguments. You have a very good memory. Tellz more.From what I've read of the history of math, lots of now-accepted concepts (e.g., ze...
by flairplay
December 2nd, 2006, 12:32 pm
Forum: Off Topic
Topic: Bloomberg invites to movie premieres
Replies: 0
Views: 86087

Bloomberg invites to movie premieres

Is this new, or have they always done this? Or is it only because the new Russel Crowe movie is about a trader?Any Bloomberg people here, I say tis a good thing....
by flairplay
December 2nd, 2006, 9:36 am
Forum: Off Topic
Topic: Do nerds feel insecure?
Replies: 32
Views: 93613

Do nerds feel insecure?

Yep, TraderJoe, I think you are a nerd. I learn more every day about nerds when I visit this out of topic forum - sadly only once a month at most now.Have you ever tried your hand at any competitive sport? Till next month....
by flairplay
November 23rd, 2006, 6:43 am
Forum: General Forum
Topic: FX option volatilities
Replies: 9
Views: 88666

FX option volatilities

<t>You guys are extrapolating from equities. In equities you see prices, which may or may not have been simulatenously traded on an exchange and then try to imply the vols used.In FX you dont make prices, you make vols. The prices are then computed using BS formulas for vanillas.It's easier to do it...
by flairplay
November 17th, 2006, 6:39 am
Forum: Technical Forum
Topic: approximate price of variance swap from implied vols
Replies: 13
Views: 94641

approximate price of variance swap from implied vols

<t>QuoteOriginally posted by: Fordeit's all in herehttp://finance.eller.arizona.edu/documents/seminars/2004-5/PCarr.Bifrost03-05.pdfMartin, This is NA from your previous institution. I have taught all my traders how to price all variance swaps in their head - they get to within 0.05% vol. Certainly ...
by flairplay
November 4th, 2006, 3:05 am
Forum: Off Topic
Topic: Do nerds feel insecure?
Replies: 32
Views: 93613

Do nerds feel insecure?

<t>QuoteOriginally posted by: DookQuoteOriginally posted by: flairplayI have noticed that they have certain chracteristics.First, if you ever take a stroll near the City/Canary Wharf etc and look at cars driven by finance professionals, chances are that Ferraris, Porshce's etc are often driven by ve...
by flairplay
November 4th, 2006, 3:01 am
Forum: Off Topic
Topic: Do nerds feel insecure?
Replies: 32
Views: 93613

Do nerds feel insecure?

<t>QuoteOriginally posted by: CollectorI ounce told a girl at work I was a Nerd, she told I only was a Geek. I think her comment must have been a nerdy way to check me out.Insecure?? I think overconfidence, how could so many smart quant-nerds loose so many billions if they where insecure in the firs...
by flairplay
November 4th, 2006, 2:55 am
Forum: Off Topic
Topic: The Great Muslim Debate
Replies: 115
Views: 95805

The Great Muslim Debate

<t>QuoteOriginally posted by: TraderJoeWomen denied entry to mosques to prayDaughters denied educationChildren "educated" to hate the WestWhat kind of religion is that?A facist one, that's what kind.Women denied entry to mosques to pray =>she wanted to pray at home, but liked going to the grand mosq...
by flairplay
October 30th, 2006, 5:28 pm
Forum: Technical Forum
Topic: replicate american options with european ones
Replies: 17
Views: 91846

replicate american options with european ones

<t>QuoteOriginally posted by: ppauperQuoteOriginally posted by: dopemanQuoteOriginally posted by: flairplayonce you know the control you should be able to come up with a static hedge involving only Europeans.I doubt this statement is true, see the paper "On the equivalence of the static and dynamic ...
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