Serving the Quantitative Finance Community

Search found 4794 matches

by Nonius
May 26th, 2004, 4:44 pm
Forum: Off Topic
Topic: I'd bet my reputation on buying CBOT fed funds (FFZ04) at-the-market here
Replies: 12
Views: 190458

I'd bet my reputation on buying CBOT fed funds (FFZ04) at-the-market here

QuoteOriginally posted by: KharnakAn earthworm with a reputation? A new zoological discovery, for sure. Can I hire you for my circus?the circus with the bearded female earthworm?
by Nonius
May 26th, 2004, 1:11 pm
Forum: Programming and Software Forum
Topic: More questions for the QuantLib guru
Replies: 1
Views: 189754

More questions for the QuantLib guru

<t>I am happy that you have provided several thousand lines of code free of charge.Having said that, I have a certain problem/issue about the term structure objects. Maybe I am doing something stupid. Also, it is not easy for me to send code right now since I run this on my laptop at work and it is ...
by Nonius
May 26th, 2004, 8:41 am
Forum: Technical Forum
Topic: Leibniz Integral rule for stochastic variable
Replies: 1
Views: 189253

Leibniz Integral rule for stochastic variable

<r>QuoteOriginally posted by: havardhvTrying to apply Ito's lemma to the function M below, when X is following geometric brownian motion. My question is:Can I apply Leibniz Integral rule to the partial derivative with respect to X?Leibniz Integral rule:<URL url="http://mathworld.wolfram.com/Integral...
by Nonius
May 26th, 2004, 8:15 am
Forum: General Forum
Topic: Credit trading expectations
Replies: 14
Views: 191415

Credit trading expectations

<t>QuoteOriginally posted by: JabairuStorkThe highway robbing fools that I have to trade with only hit me up for 3-5 bp on the 100-150 most liquid north american credits in 5 year cds. So 15 bps sounds pretty freaking steep, let alone 15%. By the way, if you mean 15% of the mid, that also sounds way...
by Nonius
May 25th, 2004, 11:56 am
Forum: Numerical Methods Forum
Topic: ** Spectral Decomposition **
Replies: 6
Views: 190762

** Spectral Decomposition **

<t>QuoteOriginally posted by: ametrano> it would be cool if the eigens were ordered in your symmetric diagonalization routine.QuantLib is striving for coolness and they are indeed ordered... or at least they should be.Which version of QuantLib are you using? You might have an old one. If you have a ...
by Nonius
May 25th, 2004, 11:42 am
Forum: General Forum
Topic: please for formula linking euro inflation swaps, default swaps, gov bonds, and corporate bonds
Replies: 1
Views: 189403

please for formula linking euro inflation swaps, default swaps, gov bonds, and corporate bonds

<t>QuoteOriginally posted by: EarthwormGodDoes anyone have a formula which predicts well the fourth using the other three?No, but, I must say that your command of the English Language has improved tremendously.******************************EarthwormGodMemberPosts: 21Joined: Sep 2003 Thu Sep 11, 03 0...
by Nonius
May 25th, 2004, 11:33 am
Forum: Off Topic
Topic: The Death of Alyona Tolstajopovna
Replies: 9
Views: 189666

The Death of Alyona Tolstajopovna

<t>QuoteOriginally posted by: pjakubenasTolstajopovna approximately can be translated from Russian as "fat ass"...What is the reason of all this posting?Sorry for being dumb.Do you mean why am I writing and posting a story here? Good question.That is why I have chosen to post the story elsewhere. </t>
by Nonius
May 25th, 2004, 6:13 am
Forum: General Forum
Topic: Quant Fi Techniques for Pharmaceutical Industry
Replies: 4
Views: 189755

Quant Fi Techniques for Pharmaceutical Industry

QuoteOriginally posted by: HamiltonThis question is likely directed to Aaron:What are the Risk Management and Financial Valuation models being usedin large Pharmaceutical companies for modeling patentable drug development?I'm thinking of a baseball analogy.Risk Management
by Nonius
May 24th, 2004, 3:39 pm
Forum: General Forum
Topic: Credit trading expectations
Replies: 14
Views: 191415

Credit trading expectations

<t>QuoteOriginally posted by: MoneyfoolAll, I have recently found a broker that lets one trade corporate credits in small size.What would one expect the bid-offer spread(bps) to be in such markets?Is there any point trying to trade such a market as a small player, or would one be better off just usi...
by Nonius
May 24th, 2004, 12:31 pm
Forum: Off Topic
Topic: Cannes festival: Fahrenheit 9/11 wins Palme d'Or!
Replies: 60
Views: 193205

Cannes festival: Fahrenheit 9/11 wins Palme d'Or!

<t>QuoteOriginally posted by: TomfrHopefully, a new step towards the exit door for dabya, it seems... I liked the way Michael Moore presented this as a new sign of friendship of France towards the American people Any comment? Oh, one more thing: on the purely technical side, this is the first time a...
by Nonius
May 24th, 2004, 10:46 am
Forum: Off Topic
Topic: Merton
Replies: 20
Views: 191046

Merton

but, who gives a shit about the equation...ok, let me be more precise, it was the ability to hedge under the assumption of risk neutrality...that is the payoff in the work.
by Nonius
May 24th, 2004, 10:45 am
Forum: Off Topic
Topic: Merton
Replies: 20
Views: 191046

Merton

in the same way, I am convinced that Simons knows a bunch of shit in IR modelling that other so-called famous quants are only starting to know.
by Nonius
May 24th, 2004, 10:43 am
Forum: Off Topic
Topic: Merton
Replies: 20
Views: 191046

Merton

by the way, I am convinced Thorpe, along with a slew of others, knew this shit but didn't want to reveal it. sort of lame to do so, wouldn't you think?
by Nonius
May 24th, 2004, 10:42 am
Forum: Off Topic
Topic: Merton
Replies: 20
Views: 191046

Merton

QuoteOriginally posted by: spinanFor what Merton was awarded by Nobel Prize??the black scholes equation. Merton and Black were smart...Scholes was a snake oils salesman.
by Nonius
May 24th, 2004, 6:09 am
Forum: Numerical Methods Forum
Topic: ** Spectral Decomposition **
Replies: 6
Views: 190762

** Spectral Decomposition **

QuoteOriginally posted by: ametranoYou will find C++ code for Jackel algorythm using spectral decomposition in QuantLib.Start from ql/Math/pseudosqrt.cpp.hope it helpsciao -- Nandoon a related topic, Nando, it would be cool if the eigens were ordered in your symmetric diagonalization routine.