Serving the Quantitative Finance Community

Search found 4709 matches

by Collector
September 7th, 2001, 2:31 pm
Forum: General Forum
Topic: Who's Publishing What and Where?
Replies: 46
Views: 193328

Who's Publishing What and Where?

<t>Susan wrote:"I agree that many companies are "results oriented". This makes it hard to justify research that will take a long time until it bears fruit (i.e. for the company -- making money is "bearing fruit")"Let’s face it, most people in this business are Greedy. But there is short-term-greedy ...
by Collector
September 6th, 2001, 3:51 am
Forum: General Forum
Topic: How to fall
Replies: 8
Views: 190441

How to fall

<t>In the back wash of the collapse of Barings Banks, LTCM among others there have never been more focus on stress testing and worst case scenarios. Working for a bank or hedge fund you probably spend most of your time and a lot of the companys money to make sure "you" never will end up in a collaps...
by Collector
August 30th, 2001, 1:09 am
Forum: General Forum
Topic: Ranking FE/MathFinance in the world
Replies: 22
Views: 192478

Ranking FE/MathFinance in the world

<t>I don't have to many opinions about this. But this is also a lot about marketing. In US a lot of the top universities are very good at marketing, this often make people believe they are better than they actually are??. At least European universities should get better at marketing themselves?. To ...
by Collector
August 30th, 2001, 12:44 am
Forum: General Forum
Topic: Regarding "running a book"
Replies: 6
Views: 190751

Regarding "running a book"

<t>There are more different OTC exotics than you can imagine. Liquidity is variable. Size is normally not a problem (if you not are Soros) but spreads can be wide or thin.Currency options OTC: plain knock-in and knock-out options are popular. The big banks like JPM/Chase (let me advertise a bit for ...
by Collector
August 29th, 2001, 11:23 pm
Forum: Technical Forum
Topic: Options on options shortcuts?
Replies: 8
Views: 191026

Options on options shortcuts?

I have to think about it over the weekend, I am not sure if I should keep it quiet or make a "big news" out of it. My life is to exiting at the moment.espen
by Collector
August 29th, 2001, 10:53 pm
Forum: General Forum
Topic: Regarding "running a book"
Replies: 6
Views: 190751

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: 191026

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: 190968

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: 192002

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: 190507

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: 190934

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: 191026

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: 192002

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: 191026

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)...