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by Collector
December 5th, 2001, 1:55 pm
Forum: Technical Forum
Topic: Brownian Bridges in MC?
Replies: 19
Views: 194508

Brownian Bridges in MC?

<t>Hemm...? Reading "Valuation of Mortgage-Backed Securities using Brownina Bridges to Reduce Effective Dimension" Caflish, Morokoff, Owen, Volume 1, The Journal of Computational Finance, Number 1 (Fall 1997)looks like they are saying so that the variance of the random part of the Brownian bridge fo...
by Collector
December 5th, 2001, 3:59 am
Forum: Technical Forum
Topic: Brownian Bridges in MC?
Replies: 19
Views: 194508

Brownian Bridges in MC?

<t>I was wondering if there is many ways to implement geometric Brownian Bridges in Monte Carlo (MC) simulation. ...comments experience on this? any good papers, book references? ( Is Peter Jackels MC book coming out soon?)Closed form Brownian Bridge barrier probabilities are also very useful (in MC...
by Collector
December 2nd, 2001, 6:32 pm
Forum: General Forum
Topic: New Forum - Accounting For Derivatives?
Replies: 41
Views: 192975

New Forum - Accounting For Derivatives?

<t>>You'll have to speak up -- I have trouble hearing while I'm revving my Hawg [Harley] outside the bar with 2 blondes strapped >to the back seat.>My tattoos are itchy too.Not all Harley bikers have ugly tattoos like Hamilton. Some people have taste and always wear tailor maide suits. Harley with S...
by Collector
December 1st, 2001, 3:25 pm
Forum: Student Forum
Topic: Help: Working with fat tails
Replies: 9
Views: 189984

Help: Working with fat tails

<r>>I am also interested in fat tail models. I am looking for the paper as follows.>N.Framstad, B.Oksendal, A.Sulem. "Optimal consumption and portfolio in a jump diffusion market."// I think you are looking forA Sufficient Stochastic Maximum Principle for Optimal Control of Jump Diffusions and Appli...
by Collector
November 28th, 2001, 5:24 pm
Forum: Student Forum
Topic: Help: Working with fat tails
Replies: 9
Views: 189984

Help: Working with fat tails

Most stochastic volatility models (GARCH among others) would give fat tails, also jump models....
by Collector
November 25th, 2001, 4:39 pm
Forum: General Forum
Topic: Is economics/finance a science or a technology?
Replies: 82
Views: 196699

Is economics/finance a science or a technology?

<t>Aaron:>In the 1950's a lot of smart people started thinking about how the brain actually works. This proved to be an >extremely fruitful area of research with strong connections to computer science, mathematics and eventually >biochemistry. So it looks like we are getting closer to the mathematic...
by Collector
November 15th, 2001, 5:14 pm
Forum: Student Forum
Topic: Window Asian with early exercise
Replies: 10
Views: 190164

Window Asian with early exercise

Professor Miltersen just told me it was Peter Løchte Jørgensen and Bjørn Nybo Jørgensen that wanted to go to a conference in Hawaii. For this reason they wrote a paper on Asian options with American excersise style and named it Hawaii options.I will see if I can get hold on that paper.
by Collector
November 15th, 2001, 4:29 pm
Forum: Technical Forum
Topic: local replication and option pricing
Replies: 6
Views: 190075

local replication and option pricing

<r>>The issue I have with the method is picking a suitable vol for the barrier (which is necessary if we are to >calculate the Greeks). Any intuition there?Using a standard barrier formula (model assuming geometric Brownian motion) for example to value a down-and-out-call there is basically "no way"...
by Collector
November 15th, 2001, 4:05 pm
Forum: Student Forum
Topic: Window Asian with early exercise
Replies: 10
Views: 190164

Window Asian with early exercise

<t>Asian options with American excersise are known as Hawaii options. This term was invented by Professor Miltersen from Denmark (curently at UCLA) or some other Danish guy I think. there is at least a couple of working papers on how to value Hawaii options. But the window type I have never seen any...
by Collector
November 15th, 2001, 3:46 pm
Forum: Technical Forum
Topic: local replication and option pricing
Replies: 6
Views: 190075

local replication and option pricing

<t>yes these are well know techniques....static and semi static hedging.... a lot of papers by Peter Carr, Derman (and a few by myself on this topic). Even if you can match exotic greeks at current time you must remember that the greeks change all the time, this is when higher order greeks could be ...
by Collector
November 12th, 2001, 2:41 pm
Forum: Technical Forum
Topic: Paradox with perpetual barrier option
Replies: 152
Views: 202808

Paradox with perpetual barrier option

luckly not on the plain...need some time to understand what you guys are talking about, page 71 ?? looks like page 99, ohh yeah I am trying to understand the chines edition.
by Collector
November 11th, 2001, 3:07 pm
Forum: Student Forum
Topic: is distant trading possible?
Replies: 14
Views: 190380

is distant trading possible?

<t>Hamilton, bloomberg on a portable about same price as desktop pc I think. (about $1500 a month).a blistering-fast cable tv modem is preferred, but a 56k line will do. And you don't need a big screen for trading. If you have cable line + phone line it is very unlikely both will be down at same tim...
by Collector
November 10th, 2001, 11:32 pm
Forum: Student Forum
Topic: is distant trading possible?
Replies: 14
Views: 190380

is distant trading possible?

<t>You can naturally trade almost any exchange from everywhere in the world. All you need is an internet connection (+bloomberg on your portable). You should naturally live where the pay is highest and fast cars are cheapest, and trade where the arbitrages are the largest. At night time I trade Euro...
by Collector
November 5th, 2001, 1:17 pm
Forum: Technical Forum
Topic: Options triggered by TA-signals!?
Replies: 7
Views: 190062

Options triggered by TA-signals!?

<r>This is a great idea, long time ago I actually started working on an articel "Technical Analyst Support-Resistance Options" but I never finished it.The idea was basically to use first-then-barrier type options for resistant/support strategies. If the option market maker don't believe in technical...
by Collector
November 2nd, 2001, 7:39 pm
Forum: Technical Forum
Topic: Option on PE ratio
Replies: 42
Views: 193992

Option on PE ratio

Paper that possibly could be of interest to you guys?? Martin L. Leibowitz "P/E Forwards and Their Orbits," Financial Analyst Journal, May/June 1999 Volume 55 Number 3