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| bio | website | Nonewhatsoever |
|---|---|---|
| location | London, United Kingdom | |
| age | ||
| visits | member for | 8 months |
| seen | May 15 at 13:28 | |
| stats | profile views | 21 |
Merge keep
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Sep 11 |
comment |
Paradoxes in quantitative finance To elaborate on Kinderchocolate answer, the market market should be able to offer you a bid-ask because he is making a market and delta hedge the remaining position. As an individual you are unable to do this on a small scale operation without incurring large costs. |
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Sep 11 |
comment |
Quantitative Analysis Games on Investing? @jlowin: are you looking for someone to join your team ? |
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Sep 10 |
awarded | Revival |
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Sep 10 |
awarded | Teacher |
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Sep 10 |
revised |
Quantitative Analysis Games on Investing? added 584 characters in body |
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Sep 10 |
revised |
Quantitative Analysis Games on Investing? added 584 characters in body |
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Sep 10 |
answered | Quantitative Analysis Games on Investing? |
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Sep 7 |
awarded | Editor |
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Sep 7 |
revised |
Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? added 985 characters in body |
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Sep 7 |
comment |
Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? @user7056: what you just posted tells you that you should add a spread to the discounting rate. i.e the discount factor becomes 1/(1+r+c) instead of 1/(1+r) for each year. This is a very simplistic assumption because: the CDS does not translate in default probabilities exactly like you described and because in case of default on a bond, you usually do not receive 0, you usually get a recovery amount. |
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Sep 7 |
comment |
Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? I will detail my answer during the week-end as I am at work, but ... when you do NPV, you implicitely assume that there is no default as you multiply the cashflows by the discount factors. This does not work in a risky world, as the discount factor needs to be multiplied itself by the survival probability. |
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Sep 7 |
awarded | Supporter |
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Sep 7 |
answered | Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? |
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Sep 6 |
comment |
Interpolating FX forward points Do you happen to really see arbs ? When I was working on a swap desk the b-o was so wide that I never even tried to look for one. |
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Sep 6 |
answered | Interpolating FX forward points |
