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by Marsden
May 1st, 2002, 1:42 pm
Forum: Technical Forum
Topic: Why don't they have VIX futures?
Replies: 20
Views: 191699

Why don't they have VIX futures?

<t>So, I'm wondering where I can place a bet on its outcome, and find some suckers to take the other side! >>Would you be willing to define a binary bet for which you think the short position is equal in value to the long, and let me pay you a 5% premium for getting to choose whether to take the sho...
by Marsden
April 3rd, 2002, 9:19 pm
Forum: General Forum
Topic: Patenting Math
Replies: 54
Views: 195300

Patenting Math

I believe there is a prohibition in the US against patenting anything that is "common knowledge," whatever that is. Specifically, I had heard that a patent on the water bed was denied because it had been described years earlier in a Robert Heinlein novel.
by Marsden
March 12th, 2002, 12:54 pm
Forum: Careers Forum
Topic: Actuary
Replies: 28
Views: 192930

Actuary

<r>From your experience, what actuarial course exam is suitable for a beginner to write ? EA-1 or course 1 ? What is the difference between them ? >>Course 1 is a better start. EA-1 is a governmental exam that is worth something only to pension actuaries. Course 1 is an exam of calculus and linear a...
by Marsden
March 11th, 2002, 2:19 pm
Forum: Student Forum
Topic: Brady Bonds
Replies: 4
Views: 189708

Brady Bonds

If I recall correctly, a "Brady Bond" is a government debt issuance from a developing country that has some sort of backup from the US Government. They are named for the US Secretary of the Treasury, James Brady, at the time that the program was begun.
by Marsden
March 11th, 2002, 2:10 pm
Forum: General Forum
Topic: Risk, Herds, and Standards
Replies: 19
Views: 191490

Risk, Herds, and Standards

<t>Inevitably, businesses will manage to whatever is measured, so if there is any risk that is not measured by a standardized control system, that risk will inevitably become the most significant risk there is just because no one will be working very hard at avoiding it.However, even in the absence ...
by Marsden
March 4th, 2002, 9:07 pm
Forum: General Forum
Topic: VaR / Inventing Money
Replies: 47
Views: 193882

VaR / Inventing Money

<t>Yes, I would say that in a certain sense, EMH is vacuous. However, I don't think it really is vacuous in the most important sense. EMH is vacuous in a logical positivist sense: we can't really know anything, so everything from the theory of gravity to the latest line on the NCAA Tournament is vac...
by Marsden
March 4th, 2002, 8:31 pm
Forum: General Forum
Topic: VaR / Inventing Money
Replies: 47
Views: 193882

VaR / Inventing Money

<t>Well, maybe the paragraph is vacuous, then. I don't think there's anything too deep about it, other than perhaps my convoluted linguistic stylings.Maybe I can clarify a bit. By a market "model," as opposed to a "meta-model," I mean a belief that market prices will behave in a particular way. When...
by Marsden
March 4th, 2002, 2:31 pm
Forum: General Forum
Topic: VaR / Inventing Money
Replies: 47
Views: 193882

VaR / Inventing Money

<t>The thing about EMH is that it isn't really a model at all -- it's really a meta-model. If anyone can present a model that really works, EMH says that unless prices are thus and so arbitrageurs will be able to make unusual profits, which they can be expected to do until the prices become thus and...
by Marsden
March 3rd, 2002, 9:48 pm
Forum: Careers Forum
Topic: Actuary
Replies: 28
Views: 192930

Actuary

<t>Do you mean a person without passig some of SOA exams still can work in an insurance company ? >>No, that's not what I meant. Exams are the coin of the realm for beggining to mid-level actuaries. You might be able to get an actuarial position in an insurance company without any exams, but you gen...
by Marsden
March 1st, 2002, 2:23 pm
Forum: Careers Forum
Topic: Actuary
Replies: 28
Views: 192930

Actuary

<t>Very few actuaries studied actuarial science as such in college, so that is a non-issue.<br/> <br/> I worked as a pension actuary in the US, so my experience is not necessarily representative of what most actuaries do, most actuaries working at insurance companies.<br/> <br/> Most of the intellec...
by Marsden
February 28th, 2002, 2:54 pm
Forum: Careers Forum
Topic: Actuary
Replies: 28
Views: 192930

Actuary

What do you want to know?
by Marsden
February 27th, 2002, 4:42 pm
Forum: General Forum
Topic: Just a little thought on Stochastic Statistics (or is it?)
Replies: 33
Views: 194959

Just a little thought on Stochastic Statistics (or is it?)

<t>An actuary is a highly trained professional who will assure you that a tossed coin will come to rest on its edge.<br/> <br/> Actuaries are overly fixated on future value probability distributions, but (as someone trained as an actuary, bear in mind) I also think that quants are overly fixated on ...
by Marsden
February 27th, 2002, 4:19 pm
Forum: Technical Forum
Topic: Log-Normal vs Square-Root Model for Volatility
Replies: 22
Views: 191610

Log-Normal vs Square-Root Model for Volatility

Okay; I seem to have lost a fractional exponent in my doodling: v^2 in the Heston model does not explode.
by Marsden
February 25th, 2002, 4:59 pm
Forum: Technical Forum
Topic: Log-Normal vs Square-Root Model for Volatility
Replies: 22
Views: 191610

Log-Normal vs Square-Root Model for Volatility

??

If we look at v^2 in the Heston model, doesn't it potentially blow up in finite time? But if v^2 has become infinite, doesn't that necessarily mean that v has become infinite as well?
by Marsden
February 24th, 2002, 12:51 am
Forum: Technical Forum
Topic: Log-Normal vs Square-Root Model for Volatility
Replies: 22
Views: 191610

Log-Normal vs Square-Root Model for Volatility

Reza:

Doesn't the Heston model blow up as well, albeit more slowly (gunpowder rather than dynamite)? I think a very desirable quality for a volatility model is stability, which neither model possesses.