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by bearish
July 21st, 2013, 9:53 pm
Forum: Off Topic
Topic: The Complete Guide to Hooking Up in the OT
Replies: 479
Views: 31739

The Complete Guide to Hooking Up in the OT

<t>QuoteOriginally posted by: UltravioletQuoteOriginally posted by: trackstarWithout betraying too many personal details, it would be interesting to know what was bad about that. Does it fit into our typology or is it more related to, as you joke about yourself, an Aspergers type condition.I wish I ...
by bearish
July 21st, 2013, 9:35 pm
Forum: Student Forum
Topic: Question about an exercise in The mathematics of financial derivatives
Replies: 6
Views: 7759

Question about an exercise in The mathematics of financial derivatives

<t>I suspect the intentions behind the question is to look for something along the lines of f(G,t)=E[G(T)|G(t)]. This does include a dependence on t, and is only defined for t in [0,T], but uses the facts that G is a Markov process and that a conditional expectation process is a martingale, which ar...
by bearish
July 21st, 2013, 9:18 pm
Forum: General Forum
Topic: Duration of an index
Replies: 12
Views: 8482

Duration of an index

This paper Lettau & Wachter has been sitting on my desk for the last couple of weeks, and may provide a useful framework for thinking about the issue. It is written by people with a high degree of mainstream academic finance credibility.
by bearish
July 20th, 2013, 5:24 pm
Forum: General Forum
Topic: Duration of an index
Replies: 12
Views: 8482

Duration of an index

<t>It is more deceptive than simple, I am afraid. Senior colleagues (CIO and chief strategist) whose opinion I generally respect, have a long standing disagreement on its sign and, when pressed, will offer opinions that are conditioned on the speed of the rate change and the length of the time horiz...
by bearish
July 20th, 2013, 10:57 am
Forum: Off Topic
Topic: Dubai - sustainable promise or desert mirage?
Replies: 49
Views: 60924

Dubai - sustainable promise or desert mirage?

<t>QuoteOriginally posted by: ppauperQuoteOriginally posted by: PowerpuffNorwegian woman, 24, jailed in Dubai for reporting that she had been rapedQuoteUnder UAE law, rapists can only be convicted if either the perpetrator confesses or if four adult Muslim males witness the crime.not going to happen...
by bearish
July 17th, 2013, 9:55 am
Forum: Student Forum
Topic: About Binary option GAP
Replies: 3
Views: 7570

About Binary option GAP

<t>Your gap option is not commonly seen in the wild, so the discussion is pretty hypothetical. To the extent it exists it would most likely be in the form of a contingent premium option, where X2 has been chosen such that the initial premium is zero. In general I would note that the term "buying an ...
by bearish
July 16th, 2013, 12:15 am
Forum: Technical Forum
Topic: Historical volatility - OK to use rolling returns?
Replies: 12
Views: 10260

Historical volatility - OK to use rolling returns?

<t>I actually like that paper. It is well researched and addresses potential problems of interpretation in a number of published studies, and I will back down a bit from my view that only log returns are relevant. It is notable that all of their points have to do with expected returns, whereas we st...
by bearish
July 15th, 2013, 10:28 am
Forum: Technical Forum
Topic: Historical volatility - OK to use rolling returns?
Replies: 12
Views: 10260

Historical volatility - OK to use rolling returns?

<t>QuoteOriginally posted by: LineOfBestFitQuoteOriginally posted by: bearishQuoteOriginally posted by: LineOfBestFitWhere you plan on multiplying by the square root of 12, you may want to consider using the Levy-Gunthorpe method of annualizing volatility based on subannual periods. For more, see th...
by bearish
July 14th, 2013, 11:43 pm
Forum: Student Forum
Topic: Trade Execution
Replies: 6
Views: 7691

Trade Execution

<t>You are emerging as an example that illustrates some sort of point. In two postings you have demonstrated to a fairly sizable (and somewhat relevant) community that Nick Martin from Pace University wants a job doing something that he is utterly clueless about. This cannot easily be undone, but ne...
by bearish
July 14th, 2013, 6:15 pm
Forum: Off Topic
Topic: The Complete Guide to Hooking Up in the OT
Replies: 479
Views: 31739

The Complete Guide to Hooking Up in the OT

<t>QuoteOriginally posted by: AnthisQuoteOriginally posted by: trackstarI am an all-natural girl.Organic, free range, wild caught, no GMOs - all the best and Green for the European market! The proverbial promiscuous hen, that makes the best broth...Umm - I think that lost several things in translati...
by bearish
July 14th, 2013, 6:00 pm
Forum: Technical Forum
Topic: Historical volatility - OK to use rolling returns?
Replies: 12
Views: 10260

Historical volatility - OK to use rolling returns?

<t>QuoteOriginally posted by: LineOfBestFitWhere you plan on multiplying by the square root of 12, you may want to consider using the Levy-Gunthorpe method of annualizing volatility based on subannual periods. For more, see this paper: What's Wrong With Multiplying by the Square Root of TwelveApolog...
by bearish
July 14th, 2013, 5:50 pm
Forum: General Forum
Topic: Binomial tree for convertible bond valuation
Replies: 7
Views: 9191

Binomial tree for convertible bond valuation

<t>I don't think your problem has anything to do with the binomial tree per se - it sounds like it is more fundamental. It is difficult to build a consistent model where you are earning a credit spread without taking credit risk... At the risk of throwing you into deeper water than you may be comfor...
by bearish
July 14th, 2013, 5:36 pm
Forum: General Forum
Topic: spread duration VS duration times spread
Replies: 2
Views: 13293

spread duration VS duration times spread

<t>In both cases the duration in question is spread duration. The argument for focusing on DTS as a risk measure (which, as far as I know, comes from the Lehman/BarCap camp) is that the basis point spread volatility is roughly proportional to the spread level, so DTS is roughly proportional to the v...
by bearish
July 13th, 2013, 12:21 pm
Forum: Student Forum
Topic: Difference between mark-to-market and mark-to-model
Replies: 5
Views: 8363

Difference between mark-to-market and mark-to-model

<t>Every single position in OTC derivatives is marked to model, whereas most positions in liquid securities and exchange traded derivatives can be (and usually are) market to a market price. That 5 year interest rate swap you did with Citi yesterday and cleared on the CME? That is now a 4 year and 3...
by bearish
July 8th, 2013, 10:16 am
Forum: Careers Forum
Topic: article affiliation
Replies: 56
Views: 12486

article affiliation

<t>To avoid hurting your *current* employment prospects you should carefully check your employer's policies before finalizing this decision, to make sure that you are allowed to publish the research regardless of what affiliation you claim. At least in US firms, the concept of one's own "spare time"...