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by bearish
October 10th, 2011, 4:57 pm
Forum: Student Forum
Topic: Stochastic calculus for bond excess return
Replies: 3
Views: 16972

Stochastic calculus for bond excess return

<t>It's just a slightly roundabout way of asserting the standard continuous time finance argument that each source of systematic risk (Brownian motion) should attract a risk premium (lambda) that is identical across assets, and that the expected return on an asset is given by the risk free rate plus...
by bearish
October 10th, 2011, 1:45 pm
Forum: Student Forum
Topic: VAR analysis
Replies: 5
Views: 19815

VAR analysis

Uhmmm. This thread is on VAR (vector autoregressive analysis) not VaR (value at risk).
by bearish
October 10th, 2011, 1:06 pm
Forum: Off Topic
Topic: Great first lines of books
Replies: 226
Views: 23884

Great first lines of books

<t>"Five hours' New York jet lag and Cayce Pollard wakes in Camden Town to the dire and ever-circling wolves of disrupted circadian rhythm. It is that flat and spectral non-hour, awash in limbic tides, brainstem stirring fistfully, flashing inappropriate reptilian demands for sex, food, sedation, al...
by bearish
October 10th, 2011, 12:31 pm
Forum: Trading Forum
Topic: can this be done in markets
Replies: 3
Views: 17720

can this be done in markets

<r>Ah - this brings back some old memories. Flat out colluding with other institutions to rig the price would seem to involve real risk of getting caught (and securities market manipulation is a relatively serious offense, at least in the US), but there is nothing to stop A from agressively buying t...
by bearish
October 10th, 2011, 12:17 pm
Forum: Technical Forum
Topic: how to prove this equation? (probability)
Replies: 10
Views: 18797

how to prove this equation? (probability)

Nope. The equation does not make sense.
by bearish
October 8th, 2011, 11:56 am
Forum: Student Forum
Topic: What is the difference between a bond and a loan?
Replies: 5
Views: 18188

What is the difference between a bond and a loan?

<t>There are obviously a lot of variations, but typical syndicated term loans have maturities of 5-7 years, pay interest at Libor plus a spread, are freely prepayable at par following a short period (say 1 year) where some prepayment penalty is in effect, and very often has embedded a floor on the L...
by bearish
October 8th, 2011, 11:35 am
Forum: Trading Forum
Topic: Bond futures!
Replies: 3
Views: 17934

Bond futures!

The caveat is that you are short convexity through the delivery option, although at current rate levels (at least in USD) there is not much there.
by bearish
October 8th, 2011, 12:18 am
Forum: Numerical Methods Forum
Topic: Negative rates under Gaussian short rate models
Replies: 5
Views: 21897

Negative rates under Gaussian short rate models

<t>OK - I think the answer is 1. If you start screwing around with the paths that go negative, you go from a flawed but extremely tractable and internally consistent framework to one that is quite possibly neither. If you want to enforce interest rate positivity (the case for which is a bit weakened...
by bearish
October 6th, 2011, 3:43 pm
Forum: Student Forum
Topic: Convexity in excel
Replies: 9
Views: 74589

Convexity in excel

The effect of dividing by 100 is to scale the convexity to be the change in duration (in years) per 1% shift in the yield (curve). If it doesn't feel natural, I would suggest taking a few minutes and playing with a simple example in Excel.
by bearish
October 2nd, 2011, 12:20 am
Forum: Careers Forum
Topic: Last year in the Phd program
Replies: 11
Views: 19114

Last year in the Phd program

<t>Your odds of success will be greatly improved by one or more good papers that demonstrate that you can do interesting (or, even better, useful!) research. They don't need to be published, although that would add a layer of external validation, but if you have good stuff you should certainly take ...
by bearish
September 30th, 2011, 11:36 pm
Forum: Careers Forum
Topic: Total Compensation
Replies: 9
Views: 59794

Total Compensation

The world has almost certainly become a more hostile place over the last 3-4 years. In the good old days, though, the rule was that you would almost never get paid more than a guaranteed bonus, but that if it was left as as target/expected bonus, then there would be room for upside.
by bearish
September 30th, 2011, 1:23 pm
Forum: Careers Forum
Topic: Last year in the Phd program
Replies: 11
Views: 19114

Last year in the Phd program

<t>Your profile looks best suited for buyside shops, who will tend to look favorably upon your general finance background, econometrics, and CFA studies; and who won't hold your lack of hard core programming background too much against you. I'd make sure to brush up on recent research on asset price...
by bearish
September 30th, 2011, 11:04 am
Forum: Careers Forum
Topic: How to apply for quant in Deutsche Bank?
Replies: 8
Views: 22366

How to apply for quant in Deutsche Bank?

<t>QuoteOriginally posted by: ColdKingI am a PhD and looking for a full-time quant position. Does Deutsche Bank have quant group? I was grasping for a suitable metaphor to help illustrate how bizarre your opening line is, but I gave up. But you need to so some basic research in a hurry. In the unlik...
by bearish
September 29th, 2011, 4:16 pm
Forum: Numerical Methods Forum
Topic: sum of lognormals
Replies: 11
Views: 26188

sum of lognormals

<t>It sounds like X_n is the volume in year n and he wants the distribution of total volume sold after N years. You can look at the literature on Asian options, which deals with this sort of problem. The simplest things people do is to solve for the mean and variance analytically and then plug these...
by bearish
September 29th, 2011, 2:39 pm
Forum: Technical Forum
Topic: Negative corporate bond spreads
Replies: 6
Views: 20498

Negative corporate bond spreads

This bond was issued in July 2007 and its yield has not been anywhere close to Treasury yields ever since. You looked at it for 2005?