Recent content by Sarang

Good work with the compilation, Dave. You've read Fault Lines? It just won the FT & Goldman Prize Book of the Year prize.

But answering emails is part of being productive. Atleast for me. I'm in Risk Management and part of my work involves interacting with traders. Email fits the bill since social media is banned at work (and not feasible in any case) and email leaves a nice searchable record. More traceable...

One of my close friends passed out of the program in 2006. He's doing well for himself - in operations/scm field though.

The most natural reason would be to use it as a discounting factor for getting 'today's worth' of the future value.

India recommends this for students till Senior Year. I remember my trigonometry teacher insisting on using these to 'build intuition' than those 'easy calculators'. It's called a log-book and costs about 15¢.

I think Merton did write a paper on Dividend Paying form for BS. An adaptation here - http://finance.bi.no/~bernt/gcc_prog/recipes/recipes/node9.html

"Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics" by Ralf and Elke Korn has good amount of information on pricing exotics. Had used the Schobucher framework in a previous assignment. Attached.

Does "The Pursuit of Happyness" count? Or is it not wall-streety enough..

Appreciate that you understand the weaknesses as well. I've seen so many arrogant SOBs who put 'faith' in BS (pun intended), that I look at everyone sceptically. Haha ... Funny one there ...

You seem to believe that the models 'predict' the right price. Oh, dear.

Got it. Thanks Andy!

Let's say that the fair value of convertible bond is the sum of fair price of option at time t, and that of a straight bond at time t. i.e. CB(t) = F(t) + C(t) Now the fair values of both these components can be computed using theoretical models - should be pretty straight. The fair value...

Bound to happen in stray instances - since we allow the might of the machine to take over the markets. Question is, can we look forward to benefit from it? How 'bout algos that wait on the sidelines, and look out for 'erronous behaviour pattern' and then profit when some wildcat-algo goes...

Here's a better one: Nobel Prize for Black-Scholes Model: $1.4mn RiskMetrics Installation : $100k Phillipe Jorion's Value-at-Risk: $18.48 The Black Swan - Priceless

Oh, you can't really do that. As long as they teach VaR in finance courses, the world is exposed to 'Black Swan' events. "Pimco doesn't spend a lot of time forecasting what the black swans might be..." Well, as per Taleb, you cannot forecast a Black Swan event, so spending 'any' time on...