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by Paul
January 14th, 2002, 9:30 pm
Forum: General Forum
Topic: Easy for Yank to get quant work (papers) in London?
Replies: 5
Views: 190113

Easy for Yank to get quant work (papers) in London?

<t>You and your prospective employer have to jump through several hoops before you will be able to get a work permit for the UK:1. They must advertise the position in Europe2. They must write a letter of support saying that there is no one in Europe with your talents, and that the people who apply f...
by Paul
January 14th, 2002, 5:34 pm
Forum: Student Forum
Topic: Risk Neutrality In Energy Derivatives
Replies: 6
Views: 189818

Risk Neutrality In Energy Derivatives

The financial markets abhor a profit opportunity. >>The world of finance is the only place where one enters the business with the premise that there is no money to be made.P
by Paul
January 14th, 2002, 5:05 pm
Forum: Student Forum
Topic: Reporting Gamma
Replies: 5
Views: 189526

Reporting Gamma

One thing that's very important is the distinction between long and short gamma positions. As a general rule, positive gamma coincides with time decay, so a gradual leaking away of value, whereas negative gamma is very exposd to the large market moves.P
by Paul
January 14th, 2002, 3:47 pm
Forum: General Forum
Topic: Sticky Strike Quant Christmas Quest :-)
Replies: 5
Views: 189905

Sticky Strike Quant Christmas Quest :-)

Collector, I guess it's time to explain...P
by Paul
January 14th, 2002, 2:09 pm
Forum:
Topic:
Replies: -1
Views:

Collector,What's with the "Incomplete..."? Wld I get into trouble if I uploaded the code from your book myself?P
by Paul
January 14th, 2002, 1:48 pm
Forum: Book And Research Paper Forum
Topic: Energy derivatives
Replies: 9
Views: 191211

Energy derivatives

I've got Energy Risk: Valuing and Managing Energy Derivatives by Dragana Pilipovic and found it quite good. It's very easy to criticise any book on energy derivatives at the moment, but this one is moderately down to earth.

P
by Paul
January 14th, 2002, 12:23 pm
Forum: Technical Forum
Topic: corridor variance swaps
Replies: 17
Views: 195444

corridor variance swaps

It might be quite difficult to 'spot a solution' for this one!I think of a 'factor' as being a source of randomness. So this is still two factor, but four dimensional.P
by Paul
January 14th, 2002, 7:31 am
Forum: Technical Forum
Topic: corridor variance swaps
Replies: 17
Views: 195444

corridor variance swaps

My apologies for the shaky handwriting!P
by Paul
January 13th, 2002, 9:24 am
Forum:
Topic:
Replies: -1
Views:

<t>J, you've given two extremes there. The finite element method is usually the last tool you would use in the solving of a problem, it is not a modeling technique, just a numerical method that has uses in certain situations. Information theory, however, is closer in spirit to a modeling concept, us...
by Paul
January 12th, 2002, 9:58 am
Forum: Student Forum
Topic: Risk Neutrality In Energy Derivatives
Replies: 6
Views: 189818

Risk Neutrality In Energy Derivatives

Often bid/ask spreads are wide enough that modeling details aren't too important anyway. >>Which is how it should be when you are not able to hedge or not sure of the model. Yet everybody is still hung up on the idea of there being a single correct price. P
by Paul
January 11th, 2002, 9:32 pm
Forum: Student Forum
Topic: Risk Neutrality In Energy Derivatives
Replies: 6
Views: 189818

Risk Neutrality In Energy Derivatives

<t>Good question. And it's a recurring theme on these Forums! Take a look around.But broadly speaking, there are a few different approaches:1. Don't think about it too much (i.e. pretend real and risk neutral are the same)2. Calibrate to traded instruments (i.e. estimate some market price of risk)3....
by Paul
January 10th, 2002, 9:21 pm
Forum:
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Replies: -1
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<t>On behalf of someone who wants to remain anonymous, I ask "What is the going rate for risk management jobs at Wall Street firms in New York City regarding the following:Title --------------- Base --------------- Incentive Comp. ---------------- Total packageCROVPDirectorSenior AnalystPuke boy"(An...
by Paul
January 10th, 2002, 8:25 pm
Forum:
Topic:
Replies: -1
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Excellent choice, Chukchi!P
by Paul
January 10th, 2002, 8:20 pm
Forum:
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Replies: -1
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I'll endorse that method! http://www.crashmetrics.comP
by Paul
January 10th, 2002, 6:56 pm
Forum:
Topic:
Replies: -1
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Indeedy! Depends what you mean by 'net.' I've just been to the shops, bought four apples, some toothpaste, a pair of socks and a DVD. What's my net position?P