QDZ and NoMoreOptions is the same person?
Do you think the size of corporate balls rubs off on the people employed by the corporation? p.s. I do have to say that their IR derivatives...
Have you seen how well BS done this year? Man, it has been a great year for fixed income and especially FI derivatives.
Well, as for assertion - in conditions of non-zero volatiltiy (i should have added that to the conditions), any barrier will be hit if you hold...
No, I was talking about question a. The answer to question B is kind-of tricky, i will post it later, but I can tell you the price for question b:...
Right, they were taking on large positions in markets in which it did not have trading experience: equity derivatives, total return swaps, index...
If you play the game forever, you expect to make $1 dollar - any barrier will be hit eventually, right? However, the answer is correct for a...
They only reason i know this is because I was doing exactly the opposite at the time and a whole bunch of people was dancing on their coffin.
Most interesting is that terminology is quite confusing - to me, credit spread is the difference in interest rates between defaultable (corps) and...
Here are a few that I ask at the interviews: a) You are offered to play the following game - you throw a coin and your payout is number of...
i dont know where did you get this info from, but LTCM did not sell options (at least not in the pure sense of that world). They where betting on...
Well, i have done it as a part of a contigent asset spread - go short on OTM reciever swaptions and long on OTM treasury puts. I have also seen...
In short, this whole thread is about trading curtosis. When to buy it and when to sell it. You should buy curtosis when you expect a lot of......
this would give you a calendar - see next thread :)
not really - mbs lag a bit behind t's but not much (seconds scale, no arb there). i'd say swap prices sometimes lead the t's but change in swap...
Mav is quite right about the floor - lots of bright people there, may be not as quantitatively inclined, but they are pretty good at what they do....
VAR has it's merits and it's shortfalls. The fact that NT has been bashing it does not make it a valid risk management approach. To me VaR is just...
Wake up, Harry, it is not insurance, it is about transfering risk. And terror futures or CAT bonds for example, are means of transfering risk....
They are probably are talking about some sort of swap options (swaptions) or eurodollar futures options - i would have to read more to explain...
I think I have to post this here to end this discussion: I have come to New York with a PhD from ********. Quickly, I answered an internet ad...
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