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by Collector
August 29th, 2001, 10:53 pm
Forum: General Forum
Topic: Regarding "running a book"
Replies: 6
Views: 190566

Regarding "running a book"

<t>Some exchange traded exotic options:London Metal ExchangeIntroduced Asian/Average options on Aluminum and Copper. I am not sure about liquidityNordPool (The Nordic Electricity Exchange)Introduced Asian options about a year ago, but these where delisted because lack of liquidity. However there is ...
by Collector
August 29th, 2001, 4:58 pm
Forum: Technical Forum
Topic: Options on options shortcuts?
Replies: 8
Views: 190945

Options on options shortcuts?

So now I understand why only 25% of my sales comes from Europe. Looking at the bright side of life, Waterstones comment should soon make it a collectible item.
by Collector
August 28th, 2001, 10:50 pm
Forum: General Forum
Topic: Paraskevidekatriaphobia
Replies: 10
Views: 190764

Paraskevidekatriaphobia

<t>>Investor over-reactions tend to increase, the more people who notice it and take advantage of it; the more obvious it >becomes. Of course, this bubble always bursts. It seem significant that it collapsed at the same time as faith in >capitalism, progress and liberal institutions died.After what ...
by Collector
August 28th, 2001, 10:31 pm
Forum: Technical Forum
Topic: Favorite Modeling Tools?
Replies: 18
Views: 191861

Favorite Modeling Tools?

<t>VBA: Visual Basic for Application. This is a "subset" of Visual Basic. VBA is included in Excel, Word and other Microsoft office software packages. The main drawback is that VBA not is compiled in Excel. However one can take the VBA code into a VB compilator and build Excel add-inn’s.To take VBA ...
by Collector
August 27th, 2001, 1:06 pm
Forum: Technical Forum
Topic: trying to learn stochastic processes - any suggestions?
Replies: 9
Views: 190429

trying to learn stochastic processes - any suggestions?

Buy some of the books recommended here. Simultaneously do some real trades (small size) in your personal account, then you will learn fast, including the differences between theory and practice.
by Collector
August 27th, 2001, 12:20 pm
Forum: Technical Forum
Topic: Passport Options
Replies: 4
Views: 190849

Passport Options

<r>Could possibly be of interest to you....Price comparison results and super-replication: an application to passport optionsHenderson, V., Applied Stochastic Models in Business and Industry, 2000, vol. 16, no. 4, pp. 297-310 Riskless Trading: Passport Options, Fund Managers and the Prudent Investor...
by Collector
August 25th, 2001, 4:03 pm
Forum: Technical Forum
Topic: Options on options shortcuts?
Replies: 8
Views: 190945

Options on options shortcuts?

The first one that can show me how I came up with this solution will get a free copy of my book. (You can choose between English and Chinese, or I can read it for you in Norwegian)
by Collector
August 25th, 2001, 3:08 pm
Forum: Technical Forum
Topic: Favorite Modeling Tools?
Replies: 18
Views: 191861

Favorite Modeling Tools?

<t>VALUATION DERIVATIVESVBA: fast and easy to implement, need minimum time to develop user interface, it is already in Excel, fancy 3d graphs. Weakness: slow, but good enough for small to medium portfolio systems that only need closed form solutions. To slow for Monte Carlo.C++/C dll Excel add-in: V...
by Collector
August 25th, 2001, 2:46 pm
Forum: Technical Forum
Topic: Options on options shortcuts?
Replies: 8
Views: 190945

Options on options shortcuts?

<t>I don’t know any tricks fore such options, so why not just develop a sexy approximation for atm-atm compound options. That is where the underlying option is at-the-money forward, and also the option on the option is at-the-money. For call-on-call and put-on-call S*0.4*v*Sqrt(t)*(0.5+0.2*v*Sqrt(T)...