Serving the Quantitative Finance Community

Search found 23216 matches

by Traden4Alpha
September 20th, 2006, 12:39 pm
Forum: General Forum
Topic: Long-dated vol
Replies: 10
Views: 93730

Long-dated vol

<t>Wouldn't your modeling approach depend on the nature of the underlying? I would argue that you need to think about the potential 10-year histories of the underlying and ask whether those histories are priced into the short-term options. For many categories of underlying -- especially equities -- ...
by Traden4Alpha
September 19th, 2006, 8:20 pm
Forum: Student Forum
Topic: Reverse Monte Carlo
Replies: 3
Views: 92164

Reverse Monte Carlo

<t>1) Any chance that when you reverse the Monte Carlo, you are subtracting the market movements in a way that isn't an exact reverse of the forward simulation? 2) Could the simulation be creating a skewed distribution of outcomes so that when you substitute a fixed FV for the forward sim's FV distr...
by Traden4Alpha
September 18th, 2006, 8:48 pm
Forum: Brainteaser Forum
Topic: Poisson Process Paradox
Replies: 7
Views: 97120

Poisson Process Paradox

<t>This isn't so much a paradox as it is a counterintuitive example -- we would think that if we've waited 10 minutes for a bus already, then we shouldn't have to wait another ten minutes. The problem isn't the Poisson process, its the idea that buses follow a Poisson process. As amit7ul suggests th...
by Traden4Alpha
September 18th, 2006, 6:53 pm
Forum: The Quantitative Finance FAQs Project
Topic: Why do quants like closed-form solutions?
Replies: 71
Views: 238105

Why do quants like closed-form solutions?

<t>Closed-form illustrates the tremendous strengths and weakness of math. On the one hand, analytic solutions let one prove universal properties about the system and its solutions. Proving that the system will always do a certain thing regardless of parameters, inputs etc. is extremely powerful. Num...
by Traden4Alpha
September 18th, 2006, 1:28 pm
Forum: Off Topic
Topic: An end to fiat money ?
Replies: 32
Views: 97859

An end to fiat money ?

<t>QuoteOriginally posted by: nazzdackDo the coins offer any deflation protection? Can the coins be exchanged for the underlying bullion at the "vault" in Idaho? Do they "trade" above or below par? Just curious.This coin has a face value of $20, but only $10.90 worth of silver (based on the current ...
by Traden4Alpha
September 18th, 2006, 12:38 pm
Forum: Technical Forum
Topic: Complex Financial Problem
Replies: 5
Views: 93115

Complex Financial Problem

For extra credit, write the code to be distributed across the network of PCs that sit idle on trader's desks overnight. For extra extra credit find a way to use the high-end GPUs in the graphics card to help do the computation.
by Traden4Alpha
September 18th, 2006, 12:57 am
Forum: Brainteaser Forum
Topic: Business Advertising Problem
Replies: 2
Views: 93499

Business Advertising Problem

<t>The relative values of the Deluxe, Standard, and Economy depends on the total population of tutors, the specificity of students' searches, and the predilection of students to pick the first tutor listed over the second, third, etc. If the population of tutors is very large and the students do low...
by Traden4Alpha
October 4th, 2002, 5:35 pm
Forum: General Forum
Topic: .
Replies: 9
Views: 190132

.

<t>QuoteOriginally posted by: AaronTo paraphrase Herodotus quoting Solon: "call no man lucky until he's broke." We do not know what the future has in store, and recent years have seen hundred-billion-dollar piles of wealth evaporate overnight. While this scale of disaster is recent, history is full ...
by Traden4Alpha
October 4th, 2002, 1:41 pm
Forum: General Forum
Topic: .
Replies: 9
Views: 190132

.

<t>JabairuStork,I totally agree with you that the second billion is made within a different probability space. It is the causal factors that underpin that different probability space that concern me. Success (whether by luck or by smarts) seems self-amplifying.The problem is that the average bounded...
by Traden4Alpha
October 3rd, 2002, 9:10 pm
Forum: General Forum
Topic: .
Replies: 9
Views: 190132

.

<t>RE; lucky vs. smart: Isn't the problem that the distinction between lucky vs. smart is impossible to resolve based on a single data point? That one person in a million creates a software company with a billion dollar market cap or one trader in a million reaps a zillion% return are both indisting...
by Traden4Alpha
October 3rd, 2002, 7:40 pm
Forum: General Forum
Topic: .
Replies: 3
Views: 189616

.

<t>A number of traders on EliteTrader.com were talking about this "clerical error" and its impact on market and their trading. Aside from the transient drop in prices on some S&P stocks, they noted heavy buying activity it ETFs -- presumably Bear Sterns trying desperately to cover its unintended...