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by flairplay
October 14th, 2006, 5:08 am
Forum: Off Topic
Topic: UK going to the dogs
Replies: 5029
Views: 461200

UK going to the dogs

<t>QuoteOriginally posted by: TraderJoeAt least we know why ...Harvard study paints bleak picture of ethnic diversityA bleak picture of the corrosive effects of ethnic diversity has been revealed in research by Harvard University's Robert Putnam, one of the world's most influential political scienti...
by flairplay
October 12th, 2006, 6:51 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is hedging?
Replies: 33
Views: 247752

What is hedging?

<t>A profit reduction technique to satisfy senior management. Makes them believe the little dribbles are being brought in by sales. Of course it's only intra bank arbitrage.It is very rarely known to reduce losses. Therefore hedge funds accept the fait accompli and look to do the opposite - i.e., in...
by flairplay
October 12th, 2006, 6:47 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is behavioral finance?
Replies: 22
Views: 140737

What is behavioral finance?

<t>There are three kinds of finance:1) Academic Finance = Finance academicians behavior patterns2) Academic Behavioral Finance3) Real Finance = Real Behavioral Finance.2 gets closer to 3 - but 3 is the real deal. 1 is a different type of behaviour altogether, more lethal than anything outside the iv...
by flairplay
October 12th, 2006, 6:39 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is CPPI?
Replies: 13
Views: 146502

What is CPPI?

A mishedged short gamma asset allocation strategy with an unknown non-linear payoff.The "control" on the random process is dreamt up by structurers - not that they think of it in this way. It does sell though.
by flairplay
October 12th, 2006, 5:47 am
Forum: Off Topic
Topic: Poster posts record posts
Replies: 12
Views: 91911

Poster posts record posts

<t>A man in Canada has beaten the record of most new posts on a single website forum in a 24 hours period.Ppauper of Ontario Canada posted 103,500 messages on a website devoted to quantitative finance. This beat the previous record by a whopping 103, 473. Critics dismissed the award. Said "Gardener"...
by flairplay
October 11th, 2006, 5:42 pm
Forum: Off Topic
Topic: UK going to the dogs
Replies: 5029
Views: 461200

UK going to the dogs

<t>QuoteOriginally posted by: dibbleIn the spirit of Citadel, can we kill off one thread a week. I nominate this oneI think one should drop people who post questionable and inflammatory material instead.If Garnder replies to bigoted posts with an attempt at reason, then why should he see his posts g...
by flairplay
October 11th, 2006, 10:06 am
Forum: Technical Forum
Topic: Rega, sega, vanna & volga in drawing the smile
Replies: 15
Views: 114687

Rega, sega, vanna & volga in drawing the smile

<t>QuoteOriginally posted by: jokeohthings are simpler in some asset classes than others.e.g. in FX, correlation is not well-modelled (had this mate, who told me he traded a digital on a basket of pairs and was all excited!!!)....whilst in the equity world, tons of multi-und exotics are being traded...
by flairplay
October 11th, 2006, 5:39 am
Forum: Technical Forum
Topic: Rega, sega, vanna & volga in drawing the smile
Replies: 15
Views: 114687

Rega, sega, vanna & volga in drawing the smile

<t>QuoteOriginally posted by: jokeohNasir,this all sounds very interesting. do you think this sort of thinking extends in a reasonable manner to multi-underlying exotics?one would need a 3*N matrix for vega, vanna, volga and that's not even taking into account the cross terms.Yes, actually more: for...
by flairplay
October 11th, 2006, 5:29 am
Forum: Technical Forum
Topic: CPPI - IR risk?
Replies: 1
Views: 91464

CPPI - IR risk?

<t>QuoteOriginally posted by: diffusion2000Don't you think a CPPI should be splitted into a zero coupon + an option? By doing so, don't you think you have a big interest rate risk in this investment? My traders are arguing a lot with me saying there's no interest rate risk... I don't think so! It mi...
by flairplay
October 10th, 2006, 5:47 pm
Forum: Off Topic
Topic: Do nerds feel insecure?
Replies: 32
Views: 93673

Do nerds feel insecure?

<t>Think BMW's and Merc dont count. Driven by old guys as well - less flash. No extension there.I disagree over high SAT scores - but the truth is finance is full of nerds from trading and structuring to quant work.Note I exclude people who have original thoughts. They are just thoughtful people. Ei...
by flairplay
October 10th, 2006, 6:23 am
Forum: Technical Forum
Topic: Rega, sega, vanna & volga in drawing the smile
Replies: 15
Views: 114687

Rega, sega, vanna & volga in drawing the smile

<t>Hi Jschnaz,People have asked my to write up results on this stuff - unfortuantely never find the time. It falls somewhere between exotics trading and quants. The average vanilla trader is not so interested. I may write up if there is further interest.1) Normally I look at finite bumps: 1% for ATM...
by flairplay
October 10th, 2006, 5:56 am
Forum: Technical Forum
Topic: Correlation swap
Replies: 4
Views: 92051

Correlation swap

<t>QuoteOriginally posted by: wallclimberCorrelation swaps levels in the market are consistently well above the corresponding implied correlation quoted in basket options. There is supposed to be a convexity adjustment that justifies the discrepancy. Any one can give me please a detailed explanation...
by flairplay
October 9th, 2006, 6:44 pm
Forum: Off Topic
Topic: UK going to the dogs
Replies: 5029
Views: 461200

UK going to the dogs

<t>QuoteOriginally posted by: BrightDaySo there are 2m muslims in UK and only a minority is committing terrorism on their god's name. Still... we are talking here about a religious sect that claims (among many other things) that:- it is respectful of freedom of speach and when the leader of a differ...
by flairplay
October 8th, 2006, 1:50 pm
Forum: Off Topic
Topic: Do nerds feel insecure?
Replies: 32
Views: 93673

Do nerds feel insecure?

<t>QuoteAre you one of them, and just seeking reassurance? Nope - though in the end it's in the eyes of the beholder.I certainly dont need have too much interest in bling sports cars or gangsters films. As well, to my mind nerds are not just the quanty types - many traders and structurers fit in as ...
by flairplay
October 8th, 2006, 8:21 am
Forum: Off Topic
Topic: Do nerds feel insecure?
Replies: 32
Views: 93673

Do nerds feel insecure?

<t>I 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 very nerdy looking guys.Of course there is the penis extension theory...
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