• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Search results

  1. C

    Spruill: I hope you are well. I see you are busy...glad for that...nonetheless, are you...

    Spruill: I hope you are well. I see you are busy...glad for that...nonetheless, are you available for crash course in binomial trees? Say an hour or so, on me? Prepping for a job interview. I don't think we ever covered this in 9814. If not, I understand, & best wishes anyway. Charles
  2. C

    Big Data MOOC announcement

    Just a note that your reputation for excellence benefits us as students and thank you for upholding it.
  3. C

    connecting C++ and SQL Server

    may want to have a look at: http://stackoverflow.com/questions/971478/c-sql-database-library-comparison
  4. C

    http://www.realclearpolitics.com/printpage/?url=http://www.realclearpolitics.com/articles/2011/06...

    http://www.realclearpolitics.com/printpage/?url=http://www.realclearpolitics.com/articles/2011/06/23/elena_bonners_rich_legacy_110332.html
  5. C

    Harvard's Bet on Interest Rate Rise Cost $500 Million to Exit

    No way those guys are stupid. Here is an article about Jack Meyer who was the CEO of Harvard endowment 1990-2006. The article is from 2005. Smart, probably so.But while we're invoking Wall Street maxims, there's this: "Never confuse brains with a bull market."
  6. C

    Harvard's Bet on Interest Rate Rise Cost $500 Million to Exit

    Seen on another forum: "Clearly not the smartest guys in the room."
  7. C

    Harvard's Bet on Interest Rate Rise Cost $500 Million to Exit

    Oct. 17 (Bloomberg) -- Harvard Universitys failed bet that interest rates would rise cost the worlds richest school at least $500 million in payments to escape derivatives that backfired. Harvard paid $497.6 million to investment banks during the fiscal year ended June 30 to get out of $1.1...
  8. C

    Numerix University-Free Financial Engineering Two-Day Course

    Did anyone attend this? I just noticed it...sorry I missed it.
  9. C

    SQL

    Often the data-management part of the work I've done in Excel in support of some model would beg for more efficient ways to be done. This isn't my specialty, but I gather that the memory requirements -- the overhead -- of storing Excel row-and-column data (address, properties, etc) must be...
  10. C

    SQL

    Thanks all for the input. I would like to do a class project rooted in a practical market application. If anyone has something they need done in SQL with VBA, and it's suitable in scope for the project, I'll do it gratis in exchange for a reference. My industry references are solid. If...
  11. C

    SQL

    Frequently, SQL is used in trading support roles. Does anyone have any familiarity with how so?
  12. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Better late than never, and in the interest of completion, the remaining notes are attached. 11/17 Effect of Elementary Row Ops on Determinants: Review. 11/24 Determinants: Review; Cramer's Rule. 12/01 Properties of Vector Space Ops; Dot Product, Norm and Distance. 12/03 Properties of Vector...
  13. C

    The invisible hand of the free market

    quants ought to stick to crunching numbers.
  14. C

    An act of heroic altruism

    Is there a proof for this?
  15. C

    Sylvain Raynes: The State of Financial Engineering

    I'm inclined to think a curriculum in a hot new field is at least partly industry-driven. I'm inclined as well to suspect that the industry said, "give us people who can do the fancy math." Separately, nobody can take a good idea and run it into the ground like Wall Street when in a regime of...
  16. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Wed, Nov 12, 2008 notes attached. Effect of Line Operations on Determinants (Thank you Mariya for the notes!)
  17. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Mon, Nov 10, 2008 notes attached. Determinants Expanding Determinants by Complimentary Cofactors
  18. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Wed, Nov 5, 2008 notes attached. Elementary Products in a Square Matrix Determinants Minor Determinants Cofactors Computing Determinants of Small Matrices
  19. C

    'Demystifying' Derivatives

    Fifth. If you don't understand it, don't buy it. (this probably isn't the same ALVIN LEE)
  20. C

    'Demystifying' Derivatives

    Banks can use a few simple principles to educate investors. By ALVIN LEE | <CITE>From today's Wall Street Journal Asia</CITE> Hong Kong's legislature recently began an investigation into retail sales of complex credit derivatives linked to Lehman Brothers. Small investors in Hong Kong have...
  21. C

    So, no one saw this coming eh?

    Because people said he was out of his depth, too. At some point you may see that he wasn't. Or not.
  22. C

    So, no one saw this coming eh?

    I posted earlier about how lots of people saw this coming. Then I thought better of it. To wit, I recently wrote a friend:
  23. C

    So, no one saw this coming eh?

    Congratulations! I hope you didn't take communion. Just remember the words, "Humanae Vitae" (Humanae Vitae - Encyclical Letter of His Holiness Paul VI on the regulation of birth, 25 July 1968). Someday when you're a bit older you'll be amazed.
  24. C

    Is New York over the hill?

    I'm not sure I want to get started on this. What's meant by "over the hill?" -- that place where the hot money isn't? There's a lot more to a culture than that. Thankfully. But as for the culture itself, unfortunately, bad money drives out good. There is a moral corollary to that...
  25. C

    So, no one saw this coming eh?

    Interesting. Most of the people I talked to day in and day out expected this very thing. During the summer of 2006, one of traders on the floor of the NYBOT and I had this chat: SAIL: "Chaz, clock a ticket!" [CHAZ obliges by timestamping a buy/sell ticket] [SAIL grabs ticket, and scrawls on...
  26. C

    IAFE Endorsed Event: Derivative Securites & Risk Managment Workshop

    Ahh, I just duplicated this. I looked in "Events" and didn't see anything. I'll delete mine. cdw
  27. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Mon, Nov 3, 2008 notes attached. Introduction to Determinants Permutations Inverses of permutations
  28. C

    The Father of Portfolio Theory on the Crisis

    Harry Markowitz says valuation is the critical step. In the early 1950s, when young Harry Markowitz was looking for an area of economics to pursue, a chance encounter with a stockbroker in Chicago led him to apply a new logic about risk to what had been an investment industry based on touting...
  29. C

    ICE and lunchtime talk

    ICE is an amazing story. There's even the additional drama of ICE and NYMEX sharing the same building. NYMEX has threatened to toss out ICE on more than one occasion. I *really* wish I had been aware of this talk, I would have loved to be there.
  30. C

    November 10, 2008 -- Lessons from the Subprime Market:

    Event Event: Lessons from the Subprime Market: Implosion and its Consequences Date: November 10, 2008 Time: 5:30 Registration, 6:00 Program Begins, 7:30 Reception Location: Pricewaterhouse Coopers 300 Madison Avenue (at 42nd Street) New York The International Association of Financial...
  31. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Mon, Oct 27, 2008 notes attached. Diagonal Matrices Triangular Matrices Symmetric Matrices Properties of... Note: The class for 10/22 was largely a review of 10/20. The class ended with an introduction of Diagonal Matrices which is included in the notes for 10/27.
  32. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Mon, Oct 20, 2008 notes attached. Proof that, if A is invertible: AX=0 has only the Trivial solution; A can be tranformed into I by a finite series of elementary operations; A can be expressed as a product of elementary matrices.
  33. C

    Why have oil prices retreated?

    9. Because it was a bubble.
  34. C

    Greenspan "shocked" at credit system breakdown

    Few things are less dignified or more embarrassing than the behavior of people after an unhappy outcome.
  35. C

    Credit-Rating Companies `Sold Soul,' Employees Said

    The headline is a bit misleading in light of the actual quote by the Moody's employee, and the CEO's statement which appears at the end of the piece. The irony in the theme is hard to top. In John Moody's autobiography, "The Long Road Home," he details being offered a bribe in order to...
  36. C

    Derivatives and Mass Financial Destruction

    Ah. My perspective is the US approach, as this is what is in question. The problem with the OTC market in the case of something that is so large and is linked to statutory capital was expressed well in the piece, I thought: Separately, markets at large require transparency (along with...
  37. C

    Derivatives and Mass Financial Destruction

    I think your reasoning is sound, but I'm not sure what precedent the past provides for "imposing an exchange/clearing house." Can you explain? The imperative from the regulatory side is the issue of statutory capital requirements. I posted the following to my blog last night, after the...
  38. C

    Derivatives and Mass Financial Destruction

    Derivatives and Mass Financial Destruction Complex financial products can be useful if regulated Proposals for a makeover of the financial system include reform of the credit derivatives market, which offers over $50 trillion of default insurance coverage. Do investors need that much...
  39. C

    Bank of America Credit-Card Unit Loses $373 Million on Defaults

    These numbers are staggering. They booked 5+ billion in CC profits in 2006?!
  40. C

    Bank of America Credit-Card Unit Loses $373 Million on Defaults

    http://www.bloomberg.com/apps/news?pid=20601087&sid=aaCdPylW8B.U&refer=home By David Mildenberg Oct. 21 (Bloomberg) -- Bank of America Corp., the largest U.S. consumer bank, lost money on credit cards for the first time since its January 2006 purchase of MBNA Corp. as more borrowers missed...
  41. C

    The Future of FE Without Leverage

    Have you asked yourself where you think you can make the greatest contribution?
  42. C

    Let's get fiscal

    Apparently he thinks he's a policy guru and a philosopher to boot. He's certainly wringing his money's worth from his 15 minutes.
  43. C

    Baseball season is up on us

    Yes, the Yankees have really raised the bar for the league. Oh, yeah, forgot to mention...I grew up in Boston. Yankees rock!
  44. C

    Let's get fiscal

    Great title. Unfortunately, Krugman is a bit too full of himself, and that's putting it charitably. He's full of something else, too, imho.
  45. C

    Baseball season is up on us

    I'm sure the good people of Boston are relieved. The mayem that ensues when the Sox get lucky has been known to be deadly. And, having lived in the Tampa area for half my life, all I can say is... Yankees rock.
  46. C

    Baseball season is up on us

    Great story. The Red Sox have made the history books before. Why, they even won the world series, once.
  47. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Tue, Oct 14, 2008 notes attached. Transpose of a Matrix, continued Proof of Property 4 The Inverse of a Transpose Elementary Row Operations Elementary Matrix
  48. C

    Wed Oct 29 IAFE's How I Became a Quant: Boston

    Boston's nice this time of year.
  49. C

    Wed Oct 29 IAFE's How I Became a Quant: Boston

    The IAFE Education Committee and the Fischer Black Memorial Foundation are pleased to invite you to How I Became a Quant: Boston Thursday, October 30, 2008 5:30 Registration, 6:00 Program, 7:30 Reception Hosted by Massachusetts Institute of Technology Building 4, 77 Massachusetts Avenue...
  50. C

    Libor's Accuracy Becomes Issue Again

    Not only is its accuracy in question, as an indicator of interbank lending, at least in the US, it's a non-starter, according to Fed data: http://www.cato.org/pub_display.php?pub_id=9685
  51. C

    Tue, Oct 21: Hedging Illiquid Assets

    The International Association of Financial Engineers is pleased to invite you to Hedging Illiquid Assets A Liquidity Risk Committee Event Tuesday, October 21st Goldman Sachs 32 Old Slip New York 5:30 Registration 6:00 Program Begins 7:30 Reception Presentation By: Peter Rappaport, JP Morgan...
  52. C

    The 1% Panic

    fwiw. Old Wall Street wisdom: Don't confuse brains with a bull market.
  53. C

    The 1% Panic

    The Panic of 2008 is a crisis of trust. Investors don't trust the value of bad debts enough to offer market-clearing prices. Banks don't trust one another to stay in business long enough to do business together. And there's definitely no trust that Washington can avoid creating costly new moral...
  54. C

    The Master Happy Birthday thread

    Birthday Greetings, Bob! However old you are, you don't look or act it!
  55. C

    Lehman Credit-Swap Auction Sets Payout of 91.38 Cents on Dollar

    Lehman Credit-Swap Auction Sets Payout of 91.38 Cents on Dollar By Shannon D. Harrington and Neil Unmack Oct. 10 (Bloomberg) -- Sellers of credit-default protection on bankrupt Lehman Brothers Holdings Inc. will have to pay holders 91.375 cents on the dollar, setting up the biggest-ever...
  56. C

    Short-Selling `Math Geek' Not Naked, Covered in Blame (Update1)

    you can read my rebuttle to the VIX thesis in that article (or a similar one in Bloomberg) on my blog. The short selling 'debate' has been compressed into soundbytes and, unfortunately for those accustomed to thinking in soundbytes, it requires a bit more discernment than that. Under some...
  57. C

    America the Banana Republic ---- so says Christopher Hitchens

    You're invited to make the marketplace better.
  58. C

    What is the risk free rate?

    According to this article Libor Holds Central Banks Hostage as Credit Freezes - QuantNetwork - Financial Engineering Forum , the current risk-free-rate is "I don't know."
  59. C

    What is in the Future now???

    Hear, hear. The ability to learn ought to be kept sharp.
  60. C

    Libor Holds Central Banks Hostage as Credit Freezes

    Oct. 9 (Bloomberg) -- Danilo Coronacion oversees 15 percent of global coconut oil production at CIIF Oil Mills Group in the Philippines. These days, he spends a lot of time worrying about events half a world away in London. The name of his pain? Libor. CIIF has more than $60 million of debt...
  61. C

    Algorithmic Trading Conference

    excellent summary, Doug.
  62. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Mon, Oct 6, 2008 notes attached. Vector Spaces, continued Relating a Ring to a Vector Space Proof that if a system of linear equations has 2 solutions, it has infinite solutions Definition of Linear Algebra Definition of the Transpose of a Matrix Properties of the Transpose
  63. C

    What is the risk free rate?

    Yes, that does sound very familiar. Thank you. I don't wholeheartedly agree with the arbitrary conclusion, but I am also not quite up to arguing an alternative. ...except for the empirically obvious one: It would have been better, thus far, had the other arbitrary, less "artificial"...
  64. C

    What is the risk free rate?

    I'm wondering how/why LIBOR became the benchmark to begin with.
  65. C

    How to Ruin the U.S. Economy

    13. Then elect the new guy who talks about change. Done.
  66. C

    Libor Rise to Boost Subprime ARM Defaults 10%, Citigroup Says

    Consumer credit has shrunk substantially (http://www.bloomberg.com/apps/news?pid=20601087&sid=araFtj3EAFFw&refer=home). This looks to be self-reinforcing, too. I wonder if it will un-shrink as people need to access credit lines to help meet those reset premiums. I pity someone in that...
  67. C

    So can I feel bullish on America yet?

    If you think you're going to be unpopular.... The Doomsday Myth: 10,000 Years of Economic Crises
  68. C

    Libor Rise to Boost Subprime ARM Defaults 10%, Citigroup Says

    http://www.bloomberg.com/apps/news?pid=20601087&sid=aFLqcpe0qGRc&refer=home By Jody Shenn Oct. 7 (Bloomberg) -- Increases in benchmark London interbank offered rates may boost homeowner defaults on resetting adjustable-rate mortgages, contributing to a ``vicious cycle'' in the credit...
  69. C

    So can I feel bullish on America yet?

    Hydrogen is as close as the nearest water molecule. Prying it loose is a different matter. Your point about why it hasn't caught on is my point... "enormous..." Solar? I've been hearing about solar for 30 years. If it could be made to power your car from your roof, etc. etc., like we've been...
  70. C

    So can I feel bullish on America yet?

    Crude Thoughts Stop to consider just why crude oil has become such a ubiquitous energy supply. Right off the top of my head: It is historically cheap; it is easily transportable and loses none of its energy storage in the process. Coming from the ground, as it does, its ownership is a simple...
  71. C

    Fannie Mae Eases Credit To Aid Mortgage Lending

    Hmm. Right down to the week.
  72. C

    Case-Schiller w/CPI

    A case for mean-reversion.
  73. C

    Algorithmic Trading Conference

    Google Maps map here if needed.
  74. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    A trial issue is worth it. Creditflux was great reading when I had a trial subscription, and was able to access the data then, as well.
  75. C

    Short-Selling `Math Geek' Not Naked, Covered in Blame (Update1)

    By Michael Tsang Oct. 2 (Bloomberg) -- One of the stock market's latest villains is a 32-year-old self-described ``math geek'' from a Minneapolis suburb who won't move to Wall Street unless they let him wear flip-flops. Matthew Paschke, who manages the $165 million Grizzly Short Fund at the...
  76. C

    Fannie Mae Eases Credit To Aid Mortgage Lending

    Every single word of this is a keeper. Don't take the bait: it's not about race. It's about lax lending standards: bad business excused by another failed leftist idea cloaked in racially loaded terms. It's typical Marxism: find a "victim group" and exploit their "cause" to hijack taxpayers...
  77. C

    Fannie Mae Eases Credit To Aid Mortgage Lending

    Fannie Mae Eases Credit To Aid Mortgage Lending - New York Times September 30, 1999 By STEVEN A. HOLMES In a move that could help increase home ownership rates among minorities and low-income consumers, the Fannie Mae Corporation is easing the credit requirements on loans that it will...
  78. C

    Nov 6, NYAS: Credit Crisis: Actions Taken and Lessons Learned

    Nov 6, 2008 Credit Crisis: Actions Taken and Lessons Learned Stephen Figlewski (Stern School of Business), Gregory Hopper (Goldman Sachs), and Petter Kolm (Courant Institute, NYU) will discuss ramifications of the latest developments on Wall Street.
  79. C

    The Bailout Plan

    Yes of course there's money on the line. Their taxpayers will benefit from the price ours will pay. It's tacit acknowledgment of our leadership in markets that such a remark would emmanate, even if it has a whiff of indignation, guilt, and presumption about it.
  80. C

    Mark to Mayhem?

    What would happen if we changed the rules? Let's find out. By HOLMAN W. JENKINS, JR. The Paulson plan's defeat on Monday was not the end of the world, and may not even be lasting. But it does invite us to revisit the sideshow of mark-to-market accounting. Even as this agnostic...
  81. C

    Algorithmic Trading Conference

    I see that you can register by email, too: How to send Email.
  82. C

    The Bailout Plan

    I'm ambivalent now. Trichet is insisting the US pass the plan. Of course, that's enough motivation for congress -- they can't do it because it's workable, they can only do it if it pleases Europe. But for reasons that have taken decades to form and would take too long to explain, my sense is...
  83. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Wednesday, Sept. 24, 2008 notes attached. Properties of Matrix Operations, continued Properties of Matrix Multiplication Properties of Scalar Multiplication Definition of Vector Space The homework assignment is from the text:
  84. C

    The Bailout Plan

    Right. Thought it also contained the idea that the nominal drop was somehow less significant. I see that's not the case.
  85. C

    The Bailout Plan

    Not sure what you mean by "nominal drop." Can you elaborate?
  86. C

    What We Can Learn From Chile's Financial Crisis

    Understood. But as to soundness of the plan itself, it's not material, right?
  87. C

    The Bailout Plan

    It's no fun having to explain jokes, is it? ;)
  88. C

    The Bailout Plan

    Andy, a free people is the best economic engine there is. This situation is temporary. The greatest risk coming out of it might just be overregulation that could stagnate world growth for the foreseeable future.
  89. C

    What We Can Learn From Chile's Financial Crisis

    I'm actually soliciting objections to this plan, because I don't know what its drawbacks are. I don't think it would require a dictator to work, however. Do you? I do think it's going to take far more charisma than congress has to calm the markets now. They've basically shown themselves to...
  90. C

    What We Can Learn From Chile's Financial Crisis

    ...that's what you really don't want -- a government creating jobs. The market is fully capable of doing that.
  91. C

    The Bailout Plan

    Ouch.
  92. C

    The Bailout Plan

    When people make prices. The over-the-counter market might just become the market of preference for the forseeable future. *** [edit] Bit of a blanket statement, I apologize. The point was that when the objectively "unpriceable" assets are priced, the market will know where it stands. Of...
  93. C

    What We Can Learn From Chile's Financial Crisis

    You wouldn't know it from all the panicky headlines but the current turmoil on Wall Street is not the world's first financial crisis. Latin America has suffered more than a few, and many were on a larger scale relative to the economies they hit. One was triggered by Chile's 1982 economic...
  94. C

    Dimon Gets Morgan's Mantle as Buyer of Final Resort

    Indeed. Please don't let it go to your head, Mr. Dimon.
  95. C

    Dimon Gets Morgan's Mantle as Buyer of Final Resort

    Sept. 29 (Bloomberg) -- At 11:50 p.m. on Sept. 25, less than three hours after JPMorgan Chase & Co. Chief Executive Officer Jamie Dimon announced the takeover of Washington Mutual Inc., a 14-seat plane took off from White Plains, New York, carrying retail-banking chief Charles Scharf on a...
  96. C

    The Bailout Plan

    As it is geared to simply keep capital flowing, I don't think an emergency intervention such as this is intended to address the reticence of banks to loan - that's something only their (hopefully chastened and wisened) judgments about risk and reward can address -- and under no circumstances...
  97. C

    The Bailout Plan

    The market doesn't seem to think this deal is done. Or, if done, will work. The market may be obstinate, but she isn't stupid: There have been at least three times in the last week that some congressman has said, "we have a deal," and there was no deal. She's skeptical.
  98. C

    The Bailout Plan

    "Here Nancy, hold this and stand in front of the camera. Smile!" Nancy Pelosi is like the puppy fetching the paper: someone else wrote it, someone else bought it. But she gets the photo op. That's how you keep 'em appeased. *** Your copies of the movie "Wall Street" might become...
  99. C

    SEC Presses Hedge Funds

    Short how many shares? What percentage of the float ?
  100. C

    A New Genre on Wall St.: Bailout Blog

    An exchange of assets at a mutually agreed ratio does not constitute a "bailout."
  101. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    I don't know if any 4100 students are actually reading this thread but if you are, and you have the text, I would be most grateful if you could copy up the homework assignments from the text and forward them to me. Thanks in advance. cdw
  102. C

    US 'will lose financial superpower status'

    Dollar shorts have ceased gloating of late.
  103. C

    Libor's Accuracy Becomes Issue Again

    This obviously isn't recent revelation. Why was an opinion poll on what people might do a trade at chosen as THE reference for structured securities?
  104. C

    US 'will lose financial superpower status'

    yawn. rumors of my death have been greatly exaggerated. people never fail to understimated liberty. liberty never ceases to amaze with its resilience, creativity, vital energy.
  105. C

    SEC Presses Hedge Funds

    This ought to be rich...
  106. C

    Innocence Lost

    Searching for some background info to get a better handle on Credit Card structures and the size of that portfolio, I came across this Fitch document from 1998. It appears to be a hybrid between research and marketing, an "infomercial," if you will, for credit card structures. It's good...
  107. C

    Libor's Accuracy Becomes Issue Again

    The problem is alleged, and is alleged to be intentional for purposes of camouflaging credit risk. If the LIBOR spread is unrealistically low, viz a vis some other benchmark, whether it is "camouflaging" or not, that in itself is an indicator. The current circumstance, however, isn't one of...
  108. C

    Libor's Accuracy Becomes Issue Again

    Swap Spreads Widen to Record Amid Bailout Concern (Update1) Related... *** By Liz Capo McCormick Sept. 24 (Bloomberg) -- The spread between the rate on a two-year interest-rate swap and Treasury yields surged to a record on concern that U.S. lawmakers may delay a Treasury Department...
  109. C

    Buffett Buys Goldman Stake in `Economic Pearl Harbor' (Update1)

    The term "bailout" is simply innaccurate. A purchase of assets at what will likely be below fair value is not a bailout. Nobody is getting "something for nothing."
  110. C

    Bernanke Signals U.S. Should Pay More for Bad Debt

    It would appear that balance sheets (of protection sellers) that contain written-down CDS on MBS will be looking very much better indeed under the proposal (or anything close to it).
  111. C

    Bernanke Signals U.S. Should Pay More for Bad Debt

    The executive branch is asking the legislative branch to act. It's the separation of powers at work. It ain't always pretty, but, like any other market, it works when everyone shows up and does his part faithfully.
  112. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Monday, Sep 22, 2008 notes attached. Matrix Inversion, continued Properties of Matrix Operations The entire homework handout should be completed.
  113. C

    Buffett Buys Goldman Stake in `Economic Pearl Harbor' (Update1)

    By Erik Holm Sept. 24 (Bloomberg) -- Billionaire Warren Buffett, calling turmoil in the markets an ``economic Pearl Harbor,'' said his $5 billion investment in Goldman Sachs Group Inc. is an endorsement of the Treasury's $700 billion bank rescue plan. ``I am betting on the Congress doing...
  114. C

    Bernanke Signals U.S. Should Pay More for Bad Debt

    I've been watching the testimony of Mr. Bernanke. The man has the patience of a saint. These...individuals... in congress don't seem to grasp markets. Some are really off the wall, and are using their time allotments for political rants. Meanwhile, the fire in Rome is being barely held in...
  115. C

    NY to regulate credit default swaps

    Didn't the villain Bill Gates come to the rescue of Apple at one point? [ducking]
  116. C

    Bernanke Signals U.S. Should Pay More for Bad Debt

    I just want to add that, in my opinion, Bernanke's remarks seem so politically naive because he's not grinding a political axe. He's a student of economics and particularly of crises (having authored, they say, the authoritative study on the Great Depression). This is why I didn't dismiss or...
  117. C

    Job impact beyond quants

    Somewhere I posted an article from Wharton that held that demand for quants would increase. As long as there is data, there will be a need for quantitative skills. As long as there is uncertainty, there will be a need for quantitative skills. The demand picture that has driven the market...
  118. C

    Bernanke Signals U.S. Should Pay More for Bad Debt

    Does "hold to maturity" suggest "no default?" I don't think it does; and therefore the idea doesn't imply "best case scenario" as one commentator is quoted in the article as saying. Since Bob has connections with people who know Ann Rutledge, maybe he can get some clarification on this. ;)...
  119. C

    Bernanke Signals U.S. Should Pay More for Bad Debt

    By Craig Torres and Kathleen Hays Sept. 23 (Bloomberg) -- Federal Reserve Chairman Ben S. Bernanke signaled that the government should buy devalued assets at above-market values to make its proposed $700 billion rescue package most effective in combating the financial crisis. ``Accounting...
  120. C

    question about mortgage related securities

    It's my fault -- I didn't anwer your question; I assumed my response indicated a "yes" answer. The only variable is the arbitrary markdown. That I have no way of knowing.
  121. C

    Something I completely do not understand...

    A conscience is only as useful as it is informed. You may not be as greedy as you think you are. Just because Ayn Rand didn't distinguish between "greed" and rational self-interest doesn't mean you don't have to. And there is a difference. Greed by definition is evil. Rational...
  122. C

    Something I completely do not understand...

    I thought you just said, "greed is good?" Look, Wall Street was just a movie...
  123. C

    question about mortgage related securities

    This is the rub. MTM accounting requires a "market value." What happens when the market is wide? Assets are marked down. If you're a regulated entity with statutory capital ratios to maintain, then a marking of assets to "worst case" means you're going to have a "worst case" balance sheet...
  124. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    Couldn't agree more. This is where the marketplace of ideas, with all its imperfections and susceptibility to manipulation, gets to have its volatility spike. The solution will not be perfect. But if all goes well, it will work. WRT the Big Plan (that has been proposed since this thread...
  125. C

    Fortran and C++?

    It's been such a long time... BUT, I think if you google around you'll find some translation possibilities... http://www.math.utah.edu/software/c-with-fortran.html look for something called f2c... hopefully those will assist.
  126. C

    NY to regulate credit default swaps

    This is the natural course of things. I don't want to make any sweeping generalities (because I am not "anti-regulation," just anti-ill-conceived regulation), but it might be noticed that it was regulation that brought us to this place to begin with: i.e. the forced mark-to-market of OTC...
  127. C

    NY to regulate credit default swaps

    I have only glanced at this AND I'm not a lawyer (please don't ask me what I mean by that remark)... It seems one can argue that since a derivative securities transaction may result in the transfer of ownership of the reference security, while the goal of the transaction may be to mitigate or...
  128. C

    Algorithmic Trading Conference

    I believe you can register and pay by mail (i.e. with an envelope and a stamp -- How to Mail a Letter in the U.S.).
  129. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Wed, Sep 17, 2008 notes attached. Matrix Valued Polynomial Functions Matrix Inversion The entire homework handout should be completed.
  130. C

    Analysts warn of Credit Card ABS Crisis

    http://www.efinancialnews.com/assetmanagement/fundmanagement/content/2451717879 Couldn't cut and paste. This isn't new news, of course. But as I'm trying to get my head around the size of the these ABS portfolios, I come across things like this. If anyone has any clue how big the...
  131. C

    Commentary on Short Selling Restrictions

    Money always returns to its rightful owners.
  132. C

    Let's talk politics and Wall Street...

    Sorry, that's above my pay grade. ;) Actually, I think summaries are Doug's speciality, and I see he's on the job. I just got to the part about how much money the IMF has dispensed to Russia, Asia Mexico, and Brazil, up to 2000. Amazing. Bordo has also written about the cycle nature of...
  133. C

    Moral Hazard for Dummies

    Let's talk a little bit more about the VIX. In the last post, when the VIX was at 36 or so, I said it wasn't high enough and indicated more shock was to come to equities. Today, once more, the market eventually gave up and began its third major selloff of this week. Sure enough, the VIX...
  134. C

    Let's talk politics and Wall Street...

    There's nothing new under the sun.
  135. C

    Algorithmic Trading Conference

    It's a secret. See post #5.
  136. C

    The Master Happy Birthday thread

    A brithday, Muting? Couldn't happen to a better guy. Best wishes!
  137. C

    Coming Soon ... Securitization with a New ...

    Coming Soon ... Securitization with a New, Improved (and Perhaps Safer) Face ... For generations, the strength of the U.S. housing market was due, in part, to securitization of mortgages with guarantees from the government-sponsored companies, Fannie Mae and Freddie Mac. Following the savings...
  138. C

    Commentary on Short Selling Restrictions

    Coalition of Private Investment Companies News Release FOR IMMEDIATE RELEASE September 17, 2008 CPIC: SEC SHORT SELLING RULES "TOUGH AND BALANCED" Group Says Commission Understands Role of Short Selling in Improving Markets for Investors WASHINGTON, D.C., September 17...
  139. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    If your potential insolvency threatens to bring down the governments of Japan, China and Luxembourg, the Fed might be your answer. ;) Once again, if you think about it, the deal appears to be structured to keep the balance sheet solvent until the marks become real. The interest rate is a...
  140. C

    Morgan Stanley considers merger

    I think it might be useful to understand the difference between shorting borrowed shares and naked shorting. In the first instance, there is no inflation of the float. In the second, the inflation is theoretically infinite. Which sounds more reasonable?
  141. C

    Morgan Stanley considers merger

    Halt on naked short selling. Delaying its reimplimentation cost wealth of Fannie, Freddie, LEH, and AIG.
  142. C

    Morgan Stanley considers merger

    I wonder too. Is it propaganda or is MS really giving it serious thought.
  143. C

    Morgan Stanley considers merger

    And yet, everyone's doing it. There was some discussion months ago about the credit crunch creating a "super" category of IB/Banks. I believe it was suggested by top bank ceo's including Pandit. Lo, it's happening as we speak. Hedge funds are the new "investment banks" (nominally...
  144. C

    Morgan Stanley considers merger

    A link to the article?
  145. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    Alain, I'm very surprised by your comment. I realize you were using hyperbole, however, as it's a common train of thoughts under the circumstances, it deserves some comment. "Lender of last resort" is what the Fed is charged with being. I didn't see people lining up outside AIG with Brinks...
  146. C

    Morgan Stanley considers merger

    One after another, they're merging with banks. Interesting.
  147. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Mon, Sep 15, 2008 notes attached. Matrix Multiplication Writing a System of Linear Equations as a Matrix Equation Homework handout with the exception of inverse problems should be completed by Monday, Sep. 22.
  148. C

    The death of derivatives

    Right. Like handguns are responsible for crime. Leverage can make a share of stock deadly, if you employ enough of it. Bad money is like bad morals. You can melt down every gun in existence, and people will turn to bats and pencils to dominate each other, if they have no sense of moral...
  149. C

    Dealers hold emergency trading session

    That's a mouthful.
  150. C

    Dealers hold emergency trading session

    The buyers have to deliver bonds, though, and if they're speculative, they probably don't own them...could be a problem. Many hedge funds are in a precarious place, I think. One blogger writes: Not sure how reliable his sources are, but it certainly makes perfect sense. Moneymill
  151. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    Is it really a tautology to say that sound business practices involve making sound decisions? That a solid building must be comprised of solid materials? You start a pitcher that has ability. You run the risk that he'll suffer a rotator cuff injury. In the even it happens, you manage it. You...
  152. C

    Dealers hold emergency trading session

    Gotta wonder about how all those protection sellers, and all those speculative protection buyers, are doing.
  153. C

    Dealers hold emergency trading session

    I thought I just read on Bberg that their CDS were priced lower than Barclays?!
  154. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    A short answer would be that you delegate authority to put capital at risk only to people who are fit for it. When you have tons and tons of cheap money to play with, you can't grow fast enough to put it to work. You might tend to be a bit lax in your staffing criteria, your deal selection...
  155. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    I respectfully disagree. Time to hire traders who understand markets and are accountable for their own risk.
  156. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    Time to usher in a new era of common sense.
  157. C

    Dealers hold emergency trading session

    Indeed. How gauche to think that a southern bank would wind up owning Merrill! *** I think I had the mechanics of the CDS obligations a bit backwards. In a default, it's the seller who pays face, it's the buyer that has to deliver bonds, correct? *** Fear not, gents. Capital markets...
  158. C

    Dealers hold emergency trading session

    If you're the seller of protection, and you smell blood, you'd be shorting the stock and looking to aquire the bonds to fine tune your hedge, would you not? Or scrambling to close out your trade. Or both.
  159. C

    Dealers hold emergency trading session

    By Aline van Duyn and Michael Mackenzie in New York Published: September 14 2008 20:26 | Last updated: September 15 2008 00:56 Wall Street dealers held an unprecedented emergency trading session on Sunday afternoon in a frantic effort to prepare for the possible bankruptcy of Lehman Brothers...
  160. C

    Bigger Mess to Haunt US again

    The Bloomberg story this am estimates that Fannie and Freddie hold about $550 billion of the roughly $1,000 billion in Alt-A's that are outstanding (representing roughly 3 mm mortgagees). Now you know the rest of the story.
  161. C

    The Master Happy Birthday thread

    Another one? Alain, happy birthday. Soon you'll have caught up to me! Many happy compouned returns!
  162. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    One of the first books I ever read about the industry. VERY dated material, even if the title is eerily prescient. The "fallen" Lehman was resurrected by Shearson and then spun off years later, if I recall.
  163. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Wed, Sep 10, 2008 notes attached. Gauss-Jordan Elimination, continued. Operations on Matrices Matrix Equality Addition & Subtraction Scalar Multiplication
  164. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    Spreads down quite a bit. http://www.reuters.com/article/bondsNews/idUSN1130689520080911 It's a rampage of rumors. If they haven't taken them down by now, I don't know if they can. *** On the other hand, this doesn't look like good news...
  165. C

    Algos erase $1B in minutes !!

    Yeah, I suppose my comment begs an explanation, but I was getting busy and it is a subject that is more suitable for dialogue. I did think of one thing I wanted to add, however: I didn't read the story closely enough to see if trading had been halted in the stock on the appearance of the...
  166. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    Way similar. Too similar. It's starting to look like a pattern.
  167. C

    Algos erase $1B in minutes !!

    I meant market-making, but that's a good question; insofar as the article only talks about "trades," that's what I should have said. The reference to market-making came about from a similar experience in EMLX in the summer of 2000, but the argument was about replacing the market-maker and...
  168. C

    Algos erase $1B in minutes !!

    It's easy to hate google. and back to my original response, "this is what happens when you remove human judgment from market-making." From the Wall Street Journal:
  169. C

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    Ahh, Alain, I see you've been to Dealbreaker this morning.
  170. C

    I LOVE NEW YORK thread

    New York. Like all true loves, there are moments when you think, "oy!" But that's the sign that you love. To love New York is to love humanity and life, in all their wonder, joy, peril, trial, and grind.
  171. C

    Remembering 9/11

    9-11 seems to have divided the world into two camps: those who love America and those who hate it.
  172. C

    Remembering 9/11

    Andy, Thanks for putting up the banner. It's an exceptional message.
  173. C

    Fannie, Freddie Credit-Default Swaps May Be Unwound

    Uncertainty about writedowns is less welcome by a market than writedowns themselves.
  174. C

    Fannie, Freddie Credit-Default Swaps May Be Unwound

    A bit of follow up... Fannie, Freddie Derivatives Default May Trigger Dealer Losses By Shannon D. Harrington Sept. 9 (Bloomberg) -- The takeover of Fannie Mae and Freddie Mac may cause ``significant'' losses for banks that trade credit-default swaps following a technical default on the...
  175. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Mon, Sep 8, 2008 notes attached. Homogeneous System of Linear Equations defined. Coefficient Matrix Augmented Matrix Gauss-Jordan Elimination Homework assigned from the handout (see introductory post below).
  176. C

    Long-Term Capital: It's a Short-Term Memory

    posted to provoke thought.
  177. C

    Long-Term Capital: It's a Short-Term Memory

    Long-Term Capital: It’s a Short-Term Memory By ROGER LOWENSTEIN A FINANCIAL firm borrows billions of dollars to make big bets on esoteric securities. Markets turn and the bets go sour. Overnight, the firm loses most of its money, and Wall Street suddenly shuns it. Fearing that its collapse...
  178. C

    Fannie, Freddie Credit-Default Swaps May Be Unwound

    Fannie, Freddie Credit-Default Swaps May Be Unwound (Update2) By Oliver Biggadike and Laura Cochrane Sept. 8 (Bloomberg) -- Investors may be forced to unwind contracts protecting $1.47 trillion of Fannie Mae and Freddie Mac bonds against default after the U.S. government seized control of...
  179. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Wed, Sep 4, 2008 notes attached. The diagonal elipsis in the matrix notation may, depending on the version of MSFT Equation you have, read like some funky character, but you should get the idea.
  180. C

    need ur valuable opinion

    How valuable is the opinion a) at present and b) at expiration?
  181. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    Wed, August 27, 2008 notes attached. [well, depending on what you have in the way of Microsoft equation, the matrix notation can look a little funky. I'll attend to that in a bit.]
  182. C

    MTH 4100 Linear Algebra and Matrix Methods Class Notes

    This is an unofficial thread. Class notes from Linear Algebra with Matrix Methods, Fall 2008, will be posted here. The instructor is Alfred Friedland; the class meets M/W 6-715pm. All students are encouraged to review the notes and comment in the event of errors and omissions. The notes are in...
  183. C

    What are you listening to now ?

    Funny you should ask. Last night after class I went and saw Steve Lukather at BB Kings. Amazing. Sunday night I saw Larry Carlton at the Blue Note. I should delete this because I realize nobody will have a clue who these guys are...
  184. C

    Bond Trading Automation

    Haven't done this for bonds, but for other vanilla instruments, it's possible to find a single gateway to the exchanges and use their API (for example, Globex). For bonds the first place I'd look would be the Bloomberg terminal. I think hear people queueing up to suggest IB...
  185. C

    MS Visual Studio 2008

    Speaking of the IDE, Doug, even though I've done numerous things in C++ and dabbled in .Net with it, I still find the way it manages files to be mysterious. Can you point me to a tutorial on that aspect of it?
  186. C

    Fleckenstein's views on algo trading

    "Model-Arbitrage" - the next big model?
  187. C

    Fleckenstein's views on algo trading

    There's so much more to the equation than can be enumerated.
  188. C

    List all combinations in Excel

    My pleasure, Andy. I think the call to the unique pair function changed slightly, too -- if you haven't, you should have a look at that. ~c
  189. C

    CQF a good background?

    Yeah, but I learned something from Hull. In the terms you use, it seems that you have a better shot doing great harm to a financial institution as an MFE than as a CQF. An MFE is more likely to be charged with coming up with an infrastructure that puts capital at risk, at least at a bank or a...
  190. C

    CQF a good background?

    I looked at the CQF some time ago. I bought "Paul Wilmott Introduces Quantitative Finance." I talked to a finance professor, not affiliated with the MFE, about the CQF. I came away with the impression that the CQF is more of a survey, and that is how I found Wilmott's book to be, as well. It...
  191. C

    List all combinations in Excel

    Andy: You might want to run it as is, just to test it, in case there's an inadvertent error in the process of carving it up and adding the changes to your version. Recall this is the one where you select the entire range, including the header.
  192. C

    VBA looping problem

    Are you actually entering the "$" and "%" characters? Maybe you should post a small example sheet, if you haven't already solved your problem.
  193. C

    Introduction and question about age

    If you mean, are you going to meet hurdles and challenges because of your age, the answer is yes. So what?
  194. C

    Just took the Briggs Meyers personality test

    it was the only test I ever failed.
Top