# Search results

26. ### free NY computational fin seminar w/ R

www.stat.columbia.edu/pages/ComputationalFinance/index.html
27. ### Kiyoshi Ito died last week

Renowned math wiz Ito, 93, dies | The Japan Times Online

External Resources
29. ### Risk Management Community?

Also PRMIA - Professional Risk Managers' International Association
30. ### basic swap curve question

day count convention? Could be day count convention? For the first three, you are using the exact fractions 0.25, 0.5, and 0.75 of a year. It could be 91/365, 181/365, 273/365 of a year? If you kept this tiny inaccuracy going over many periods out to 15 years, the accumulated error could be...
31. ### Fortran and C++?

Thank you gentlemen. Alain I sent you a PM.
32. ### Fortran and C++?

Does anyone know both Fortran and C++ well? I have Fortran code that I am trying to read and translate into C++, and I have some questions. It's not something that can be posted here - it is detailed, line by line, and would take a while. Does anyone know how I might begin to seek assistance...
33. ### Correlation Gold,Dollar,Oil,Interest rate

no solution to this? ------------ If one is doing any stress test analysis how do he incorporate current situation in his scenarios analysis ------------ For stress testing, you can try a variety of covariance matrices, e.g. we have used constant correlations of rho = 0.0, 0.3, 0.5, 0.7, and...
34. ### GARCH Covariance?

another thought Carol Alexander also mentions orthogonal GARCH, where you fit a GARCH model to each of the first few principal components of the covariance matrix, forecast those, then reassemble the forecasted covariance matrix from this eigenvector / eigenvalue decomposition. This would not...
35. ### GARCH Covariance?

still a student of this With bivariate GARCH you would forecast covariance directly, based on past covariances, covar(x,y)(time t) = beta * covar(x,y)(time t-1) + coefficient * (long run level) + alpha * (innovation term) There is no need to use a correlation coefficient, because you wouldn't...
36. ### GARCH Covariance?

bivariate GARCH To estimate covariance, you can use bivariate GARCH. This is discussed a little in Carol Alexander's books. SSRN-The Systemic Risk Potential in European Banking - Evidence from Bivariate GARCH Models by Michael SchrÃ¶der, Martin SchÃ¼ler
37. ### Statistics for FE

In 2007, we used a book called Statistics for Finance by David Ruppert, which is basically the class notes from a stat class in the Cornell MFE. I can recommend this -- it touches option pricing, similar to above, but discusses other topics: GARCH, VaR, more sophisticated portfolio theory with...
38. ### Monty Hall Problem

Yes, bendort is right. The way to see it clearly is to scale it up. Suppose there were 1 billion doors. You pick one. Then the host opens up all the remaining doors, except the one you picked, and one other. Is it 50/50? Of course not. On the first round, the player has a 1/n chance of...
39. ### middle office jobs

Vkaul said: Thanks Andy. So the model validation group same as structurers group? No, they are different. Model validation is backtesting, questioning assumptions, trying to break models, trying to see when they will give weird answers, trying to uncover when things will go wrong before they...
40. ### another IAFE event 5/12

I thought the name was funny: The International Association of Financial Engineers is pleased to invite you to: America's Next Top Pricing Model Monday, May 12th PricewaterhouseCoopers 300 Madison Avenue New York 5:00 Registration 5:30 Program Begins 7:00 Reception Panelists: Michael...
41. ### The Black Swan

Not everyone agrees wholesale with Mr. Taleb -------------------- Quant forecasting doesn't work; it's more akin to witchdoctor medicine. Of course, this message is the bane of quant professors who make their living peddling quant bullsh!t. Quants can't calculate risks: this is hubris. We can...
42. ### How valuable would CAIA (Chartered Alternative Investment Analys) be for a software engineer

1) I doubt if the CAIA would be beneficial for working at a hedge fund. Look at the CAIA website; it concerns people who will be investing in hedge funds or private equity (fund of funds or wealth managers). There is not much about how to manage a hedge fund, or anything about IT. 3) The best...
43. ### Polynomial regression help?

Yes, ordinary least squares will work for this -- it's still Ax = b, and the solution is still x=(A'A)^-1 A'b You can do it in Excel -- just type "=X^2" in a second column, and then regress with both of these columns as independent variables, against whatever Y variable you want. For the...
44. ### Looking for a book.

not a quant book, but good for valuation Financial Statement Analysis and Security Valuation Stephen Penman This is not a quant book, but it is, IMO, the best for equity valuation, although it is not a primer or survey of all the methods out there. You could supplement this with The...
45. ### has anyone ever used this?

interesting wiki? www.financialmathematics.com
46. ### Interest in Intro to Unix/Linux during January

me too me too
47. ### Integrate C++ program into VBA

related pdf here's something
48. ### Marginal VaR of Swap position

It depends on the payment formula. For a 1 day 99% VaR, take the formula for the floating payout and figure how much you would have made/lost on the swap every day over the past X years. Then take the 99% worst day.
49. ### Marginal VaR of Swap position

Hi, It is certainly possible. Single name equity swap? The marginal VaR is usually calculated with the covariance matrix E -- the portfolio variance is w'Ew, and then you scale up the square root of that by some coefficient to get portfolio VaR (95%, 99%, 1 day, 10 day, etc). The derivative...
50. ### The pseudo-science hurting markets

Reading Taleb is frustrating. Better is Benoit Mandelbrot's book, The Misbehavior of Markets. Mandelbrot is the entire substance behind Taleb. Just go straight to the source and save time.
51. ### Non-risk neutral Black Scholes

I believe that you would add on some higher risk premium, p, everywhere you see the risk free rate, r. The risk compensation variable p would depend on some sort of risk aversion, or how much people want to be compensated for bearing volatility in the future. This is difficult to estimate...
52. ### How PDE is applied in FE?

Finite differences are discrete approximations to differentials -- instead of going all the way to the limit case of infinitely small changes dx, you only have to consider a small finite change. Consider the definition of the derivatives [ f(x+h) - f(x) ] / h -- instead of letting h go down to...
53. ### A place to find used book

www.bookfinder4u.com www.bookfinder4u.com
54. ### NY Academy of Science

has quant finance meetings: www.nyas.org/channels/index.asp?channelID=63