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by Gmike2000
January 12th, 2004, 8:17 pm
Forum: Numerical Methods Forum
Topic: Monte-Carlo in the future ?
Replies: 11
Views: 191084

Monte-Carlo in the future ?

<t>Regarding MC and american options.....check out longstaff's paper on least squares monte carlo. Simple, but kick ass. Can use easily on bermuda swaptions...this is the latest, and for a long time also the last, word on MC for american options. Has gone largely unnoticed which i do not understand....
by Gmike2000
January 12th, 2004, 8:09 pm
Forum: General Forum
Topic: Int. Rates Jargon
Replies: 11
Views: 191411

Int. Rates Jargon

<t>1) In a steep yield curve environment, like now, the roll down is due to the 1yr rate being higher than the spot rate. So e.g. a 1y bond (futures, swap, etc etc) will appreciate in value, ceteris paribus, just by "rolling down" the curve. You can approximate that by multiplying its duration with ...
by Gmike2000
January 12th, 2004, 7:50 pm
Forum: General Forum
Topic: Anybody need historical intraday data on US equity options?
Replies: 11
Views: 190740

Anybody need historical intraday data on US equity options?

<t>When i was grad student at berkeley i had access to the berkeley options database, which contained tick by tick data on sp500 and sp100 options, from 87 to 97.I used it for a paper on stat arb using sp500 options vs sp500 index.Most of the time was spent cleaning the HUGE qty of data for the purp...
by Gmike2000
January 12th, 2004, 7:20 pm
Forum: Technical Forum
Topic: OA Duration in Lehman Point .... and in general
Replies: 1
Views: 189382

OA Duration in Lehman Point .... and in general

<t>Could someone please help me clarify...have not been able to find any help on the web or even from our Lehman rep.The OA Duration they publish for their bonds on POINT tends to be a bit longer than their ISMA Mod Dur. Why is that?Now, we all know that ISMA Mod Dur is crap and OA Dur is the one to...
by Gmike2000
September 25th, 2003, 10:39 pm
Forum:
Topic:
Replies: -1
Views:

Carnegie mellon is better...UofC is ver theoretical, being based in math dept. Carnegie will give you skills that are more applicable in the real world.
by Gmike2000
September 25th, 2003, 9:54 pm
Forum: Careers Forum
Topic: Resume misrepresentation
Replies: 28
Views: 192500

Resume misrepresentation

<t>SanFran, do you need a programmer or a quant? Coding is not that hard, whatever language you may be using, once you have accumulated some experience doing it. Perhaps you should not ask them specific C++ or SAS questions...why not have them do a specific program in pseudo code or any other langua...