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by tagoma
December 8th, 2010, 8:16 am
Forum: General Forum
Topic: possible arbitrages?
Replies: 3
Views: 23075

possible arbitrages?

hello tw. which commodities are you refering to ?agriculturals ? cpo chicago and malaysia ?
by tagoma
December 7th, 2010, 2:08 pm
Forum: Off Topic
Topic: Leslie Nielsen, RIP
Replies: 21
Views: 22805

Leslie Nielsen, RIP

i couldn't imagine people on wilmott would enjoy the adventures of frank draibin.great !LOL
by tagoma
December 6th, 2010, 9:27 pm
Forum: Trading Forum
Topic: commodity structural models
Replies: 3
Views: 24943

commodity structural models

ouch ! NOTHING ???
by tagoma
December 6th, 2010, 4:44 pm
Forum: Technical Forum
Topic: Hull-White short rate model- theta term
Replies: 1
Views: 25973

Hull-White short rate model- theta term

you should read your theta(t) term this way : at time (t), the short rate reverts to theta(t)/alpha at rate alpha.
by tagoma
December 6th, 2010, 3:44 pm
Forum: Technical Forum
Topic: Hull White 1 factor mean reversion parameter
Replies: 6
Views: 35151

Hull White 1 factor mean reversion parameter

<r>there is a thread in the wilmott forums on this subject :<URL url="http://www.wilmott.com/messageview.cfm?catid=4&threadid=32285you"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... d=32285you">http://www.wilmott.com/messageview.cfm?catid=4&threadid=32285you</LINK_TEXT></URL> ...
by tagoma
December 5th, 2010, 9:16 pm
Forum: Programming and Software Forum
Topic: How to disable network drivers from BIOS
Replies: 2
Views: 27267

How to disable network drivers from BIOS

<r><URL url="http://h10025.www1.hp.com/ewfrf/wc/manualCategory?lc=en&dlc=en&cc=uk&lang=en&product=4314715&aoid=&turn"><LINK_TEXT text="http://h10025.www1.hp.com/ewfrf/wc/manu ... aoid=&turn">http://h10025.www1.hp.com/ewfrf/wc/manualCategory?lc=en&dlc=en&cc=uk&...
by tagoma
December 5th, 2010, 7:41 pm
Forum: Student Forum
Topic: How to construct crude oil forward curve?
Replies: 1
Views: 26008

How to construct crude oil forward curve?

<r>please, have a look there : <URL url="http://commoditymodels.com/">http://commoditymodels.com/</URL> .on the right, you will find various "recent posts" on forward/futures prices.the author of this blog (william smith) is doing research on oil price curves for his Phd.and, you might be interested...
by tagoma
December 5th, 2010, 6:17 pm
Forum: Student Forum
Topic: ARIMA notation
Replies: 5
Views: 24278

ARIMA notation

ARIMA(0,1,0) is an I(1) process, that is a random walk.
by tagoma
December 5th, 2010, 1:27 pm
Forum: Student Forum
Topic: Stochastic Process for Oil
Replies: 2
Views: 22631

Stochastic Process for Oil

<r>commodities modelling !!!!i am not sure there is a straightforward answer to the question what is the best stochastic model for oil price.and, one factor-model may be insufficient to lie good results ...here are some useful readings :"The Term Structures of Oil Futures Prices" by Gabillon is a re...
by tagoma
December 5th, 2010, 12:09 pm
Forum: Student Forum
Topic: ARIMA notation
Replies: 5
Views: 24278

ARIMA notation

<t>what you are asking is not very clear (to me)but you almost have everything as you write:Quotethe notation explains the (autoregressive processes, unit roots, moving average processes)let the ARIMA(p,d,q) be.then :p = order of the autoregressive partd = order of differencing leading to a stationa...
by tagoma
December 4th, 2010, 8:06 pm
Forum: Programming and Software Forum
Topic: Newbie C++ question.
Replies: 7
Views: 24206

Newbie C++ question.

<r>thinking of the propagator dp. ???<URL url="http://diegworld.blogspot.com/2010/10/propagator-design-pattern.html"><LINK_TEXT text="http://diegworld.blogspot.com/2010/10/p ... ttern.html">http://diegworld.blogspot.com/2010/10/propagator-design-pattern.html</LINK_TEXT></URL> it is based on a post d...
by tagoma
December 2nd, 2010, 11:18 am
Forum: General Forum
Topic: Does quantitative trading really work?
Replies: 12
Views: 30966

Does quantitative trading really work?

<t>hello zill.here, people sounds rough. that's the way the world of finance is ...- i would say that understanding some maths is a good point. reading finance books and hard-studying, too.- but, you shouldn't think that you are going to find out recipes to make money in books. that's a matter of mo...
by tagoma
December 1st, 2010, 10:26 pm
Forum: Numerical Methods Forum
Topic: Numerical solution to an implied vol equation
Replies: 2
Views: 27906

Numerical solution to an implied vol equation

<r>it seems to me that the LM algorithm is the more popular of both methods mentioned by daveangel.anyway, both are well-documented on the web.you can implement the LM algorithm with quantlib.or, you may use the c++ code available there : <URL url="http://www.ics.forth.gr/~lourakis/levmar/index.html...
by tagoma
November 30th, 2010, 11:12 pm
Forum: Numerical Methods Forum
Topic: ratio option
Replies: 4
Views: 25980

ratio option

<r>yep spv205 !Reconstructing volatility :<URL url="http://www.math.nyu.edu/faculty/avellane/Avellaneda.pdfand"><LINK_TEXT text="http://www.math.nyu.edu/faculty/avellan ... eda.pdfand">http://www.math.nyu.edu/faculty/avellane/Avellaneda.pdfand</LINK_TEXT></URL> some comments .<URL url="http://www.wi...
by tagoma
November 30th, 2010, 9:19 pm
Forum: Numerical Methods Forum
Topic: ratio option
Replies: 4
Views: 25980

ratio option

hello fatboyslim1983i wonder what you could infer from the vol skew of a price ratio ?(commodities topics are so rare on wilmott :-( ) which commodities do you work with ?édouard