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seen Oct 31 '13 at 3:08

Feb
27
awarded  Critic
May
12
awarded  Announcer
Jan
29
comment Can duration gap analysis be applied to mortgages?
@Pasha, my recommendation is the text i cited above (Fixed Income Securities by Pietro Veronesi). I learned what i know from Bruce Tuckman's Fixed Income Securities, which is EXCELLENT still after ~10 years. You cannot go wrong with either, both are assigned in FRM. Of course, Fabozzi also has a couple of popular books.
Jan
28
answered what is the best way to calculate the probability of an equity option ending in the money?
Jan
19
comment Can duration gap analysis be applied to mortgages?
@Pasha - To my knowledge, Macaulay duration cannot be applied with mortgages/MBS: the prepayment (an embedded option) implies that maturity varies with yield. I suppose you could try Mac duration = effective * (1+yield/k) but I am unclear to what end and don't see how it can have the traditional "weighted average maturity" definition that works for vanilla bonds (i.e., in a vanilla bond, you actually do weight maturities, but not here).
Jan
19
answered Is Duration really the slope of the Price-Yield curve?
Jan
19
comment Can duration gap analysis be applied to mortgages?
... I should say, the duration formula is calculating -1/P(r)*slope (slope is the dollar duration, not duration) as this is rise/run: [Price(r+b) - Price(r-b)]/(2*b)
Jan
19
awarded  Editor
Jan
19
revised Can duration gap analysis be applied to mortgages?
added 58 characters in body
Jan
19
answered Can duration gap analysis be applied to mortgages?
May
4
awarded  Supporter
Mar
26
awarded  Teacher
Mar
26
answered What are the main limitations of Black Scholes?
Mar
24
comment Using Black-Scholes equations to “buy” stocks
... actually, the worst part of the model risk is probably that by using BSM you assume the future asset price is lognormaly distributed
Mar
24
answered Using Black-Scholes equations to “buy” stocks