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Bob, I originally agreed with you on this, I was very surprised that the guy who was so vocally against derivatives would chose to issue them. Then, on a bit of reflection, I think that there is a subtlety here that I didn't appreciate originally. If I can go back to my earlier P/E analogy, the...

Cheers mate. Sorry, this is the problem with the internet... I read a post and think "Oops, I've upset this guy now", sometimes it is hard to tell the tone of the replies :) I'm always willing to debate, but sometimes my sense of humour doesn't translate well over the 'net.

The models I've read (and I'll admit I'm not intimately familiar with them) relied more or less entirely on observable market data. In general, I'm getting more and more lost reading your replies :( I don't know if I'm really misunderstanding your posts, but you seem to be consistently putting...

Ahahahahaha.... "Non parametric model" -> in no way related to BS.. which is a distinctly parametric model. For various reasons I'd prefer not to comment on the particular models I am more familiar with, but as some examples, and a particularly relevant abstract, I refer you to the following...

*sigh* I really don't want to start a war. I don't have the inclination, nor the experience to comment on what model is "the best". I personally don't know of any other model that HAS blown up and caused damage to the same extent as the BS model (of course, that is possibly due to the massive...

I'm sorry, I don't really understand what point you are trying to make with the first part of this latest post and video? The point is, people (Taleb and Haug, amongst others), very blatantly DO NOT agree with the assumptions of the BS model, and indeed I think they argue that it absolutely IS...

Search for an article, in fact, I've done it for you: (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1012075) , in which the authors discuss the ability of traders to price options well before the BS-argument, and I believe they argue, in a more "ideal" manner. Er.... what good is a...

Out of interest, do you disagree with either of the first two Buffett points you mention? And it would seem to me that the aim of investing is to maximise your returns... if Buffett has the best returns over the longest times, wouldn't that suggest he's worth listening to? ;)

Just read this again, and it seems particularly pertinent given that the USA is currently in emergency talks about raising their debt ceiling. The simple fact is, if you want to stop going broke, you have to spend less money than what you earn, and what you DO spend has to be spent "better"...

No offense, but you want to grow, excel and earn the big bucks... and also want me to trawl through this forum and find your answers for you? Try searching, using the search tool. Look in particular for articles by Dominic Connor, consider sending him a CV to get a copy of his quant guide. Look...

I do ever so hate to disappoint... Seriously? Read the entries that already exist on this forum and Wilmott forum... this has been answered a zillion times, in a zillion places.

*sigh* I really doubt the validity of phrases like "correct 70% of the time" and "you only need to..." I have friends who have asked me something like this... "surely, if I can just make a few percent profit every trade, I can get wealthy easily?" In the same way that options trading seminars...

It's always risky to assume your own ambitions and (particularly) abilities are representative of your peers... careful when assuming that something YOU can't do, can't be done... (from someone who will probably never be able to work for Simons ;) )

Just a quick question... the very final question, about whether to know a little about everything or a lot about one thing, does anyone know how Simons answered? The video keeps cutting out for me in the final minute, and I'd like to know how he phrased his answer?

Dumping money? What money. Oh, the money that is being invented out of thin air, to pay bills the US has no other way of meeting? ;) Common sense would seem to suggest that spending less than you earn would be a good way to start extracting yourself out of a huge financial crisis. How does...

I've found Wilmotts books to be an excellent example of stoch calc in practice... not like a full blown Klebaner-level rigorous treatment, but a simple, every-man's "this is what it is, and this is why it's used, and this is when it can be appropriate". I think Paul has a quote something like...

I guess most simply and just talking quickly out loud, I'd say because I believe they've been greatly hyped, seem to trade at a very large multiple of their profits, make all their money on a single product but splash a lot of cash around on what a lot of the time seem like wildly disparate...

Oh, and to contribute to the specific question... (and to fly in the face of my "you have to have an idea of fundamental price before you can comment"), I'm currently sceptical of the valuation of Google, and laughing my head off at $50B for Facebook and Twitter ;) So, I guess you could...

Given that this is a quantitative finance forum, I thought I'd pose a question that this thread provokes. I'm currently reading a book, which is pretty much regarding fundamental investment, written by an Aussie Buffett enthusiast... where he hammers home the point that if you dont have "an...

Having semi-recently received a subscription to the Economist for my birthday, I can say that this really is an excellent source of info about the world in general. I find the Economist still seem subscribe slightly/occasionally to the "we as a world can just breed our way out of the impending...

It's late, and I can't be of any specific help, but I'll offer you two pieces of advice regarding processing of financial data, and Thomson Datastream data in general. 1). Read this, and realise that the chances are the financial data you're dealing with is at best incomplete, and at worst...

Ah yeah, sorry, I thought that was the open source option, when i went hunting for the link I just remembered it started with a k and saw the "download here" option on their page :( sorry for the confusion.

If you're going to get into zillions of records, such as historical tick data, then I believe you might be well advised to look into Kx. I've not used it myself, but I read about it (and am pretty sure you will find it discussed on this forum, and on wilmott.com) as being more suited to the task...

While not directly answering your question, I would make the following two statements: a) avoid triggers most of the time (wow... i know people are going to flame me for that), as people tend to use them to put business logic in their db layer of their application. and b) I seriously question...

Friend sent me this, it kinda kicks the EMH in the teeth ;) FT Alphaville The largest arbitrage ever documented Haven't finished reading this in detail, but it looks interesting.

Sorry, but I found this hilariously naive ;) I'd extend Dominic's statement and go so far as to say that a vast majority of software isn't extensively tested... regardless of industry. It's easy enough to hunt around on the net for statistics about "bugs found per 1000 lines of code". Be...

I've used datastream in the past, but was working more with bond and interest rate data sorry. I do recall, however, that there were a lot of tutorials and datastream-related help files floating around the net, some quite comprehensive. I can only suggest google is your friend :)

Isnt the term for this, "shaking the monkeys [from the tree]"? Massively short a stock, til it hits every ma and pa's 10% trailing stop loss... cover when the bottom falls out.

Sorry, can you possibly explain in a bit more detail, and a little clearer, exactly what you are trying to do, and what problems you currently have. I'll try to help if i can.

"NORTH Korea executed two senior economic officials last month - not one as previously reported - over a botched currency revamp that forced markets to close temporarily and fuelled social tensions. "...

You don't drink? Drive a car for recreation (or heaven forbid, a motorcycle?). I wouldnt mind the idea of taxes so much, if I thought they were being spent well. I think it might have been Rupert Murdoch, who had a quote along the lines of "Anyone who doesn't try to limit the tax they pay is a...

Things my supervisor told me, that i largely ignored because I assumed they wouldnt be a problem, and then paid the penalty for later: a) Check your sources of data first. In great detail. Figure out how you will export it, and read it into any code you are planning to write. b) If you are...

Evil 3D.... I don't mean to be a Luddite, but before you drop your hard earned quanting dollars on a 3D television, give this a read: ABC The Drum Unleashed - Keep doing that and you'll go blind On a side note, I don't know about you lot, but when a group of friends and I watched Avatar 3D...

Overqualified and under qualified.. Sing it loud brother... I know the tune...

there are a few guys, look up UTS (uni of tech sydney), you can find this sort of thing using google. Most are sold in the format of a masters program, which i think is very different in style to what a lot of the new york boys experienced.

I'm thinking that any maths and/or coding you do in your Actuarial studies would help in MFE-type work I think, but my understanding of actuarial science vs MFE is that the two don't strictly overlap. In short, I'm somewhat doubtful that actuaries would make an easy transition into the quant...

fairly sure if you look through the thesis paper, the code should be included at the end. i dont know that everything is included, i have a feeling that some of my files were missed out during the copy&paste-a-thon to get all the code in the appendices, but it should be enough to give you some...

While I am rolling my eyes about your DirkPitt label ;), I'd suggest you check out the quant career guide put out by Dominic Connor, search this forum (or wilmott) for information on how to get a copy.

Do you mind if i ask why they are an utter waste of time? Do you consider them out of date, superceded, too theoretical, not theoretical enough...etc etc? I have a copy of shreve, but its been sadly neglected and laying at the bottom of my collection, but looking through it again now, it does...

look on this website for the guide by dominic connor.. it will be a good place to start with your questions

I've always tended towards the "enlightened understanding is an innate ability" opinion. In the same way that most people can probably produce a half decent painting after lessons, they'll likely never produce truly inspired works. Art that transcends time and space is only going to be produced...

I can tell you that in australia, a masters is considered a poor route to a PhD. There "exists a certain prejudice against masters study", and it is considered better to have taken Honours research study if you intend to continue onto PhD research. I think that Australian universities are...

I absolutely agree with you Andy, and I think you'll find out we're not alone. An American friend of mine and I used to both lament at the sudden and disturbing trend of txt-speak that people even only a couple years younger than us have taken to heart. Funny you should mention getting your...

Find it here. I know there are a couple spelling mistakes... 3 at last count. I found them within minutes of printing it out for submission (4 copies :wall ) I hope its of some help to you. What exactly are you researching yourself?

look on this forum for dominic connor's guide to being a quant, he is a head hunter who has written up what appears to be a rather good answer to most of your questions. you send him a resume, he sends you his pdf.

Without meaning to sound rude, whoever told you this is leading you somewhat astray. I had access to all the systems i mentioned earlier (Bloomberg, Datastream and COmpuStat) and still had great difficulty getting any decent data out of them for bond issues. Yes, you can RUN the query easily...

dajdouj check around on this forum, there are a few lists of free data and indeed someone just asked about free bond data recently. If you want information on US companies/bonds, then I believe yahoo.com actually features a bit of this information. In fact: ;)...

I would be a fool to argue that there are not differences (in intellect, size, strength etc) between individuals, and would have to also be naive to argue that these differences do not extend into your clustered groups of "race". I guess the point I am trying to make is that I ultimately think...

Ilya.... for someone who professes IQ doesn't matter, to then list yours not once but twice (and improving with each report), made me chuckle just a little. I suggest the following lectures (in particular 4 and 5) by Rupert Murdoch as a good explanation of what might influence the success of...

Its my understanding that the IQ tests are under some criticism because they don't reflect your innate intelligence, as is supposed, but more a combination of your innate ability AND of course your social circumstances. Or do you have figures that suggest these average values regardless of...

if you're looking at the US market, yahoo has bond pricing data available as part of their finance.yahoo.com services i believe. i almost used it for a research topic i was involved in, but ended up going with compustat and datastream (not free) because they were more comprehensive. agreed...

From a couple guys I know who looked at moving into trading careers, it seemed that there was little requirement for them to have an MFE or similar. They talked about the various applicants coming from a variety of fields (basically anyting >= a bachelor degree in arts), as long as you had a...

I don't think its a body blow to the country. It might be a body blow to the guys working in the car industry. Car industries, in most countries in the world, are a net negative... a black hole. No matter how many people are employed by the car (or indeed, any) industry, if at the end of the...

I wrote up a few functions to solve Nelson-Seigel using the solvers in matlab, similar to how the Vasicek implementation is done, but... this version by Dimitri is much MUCH faster, and uses a couple clever insights based on their original paper...

no worries, i hope you can get something useful out of the code :) i'd tried to do a couple others, like the colin-dufresne and goldstein, but ran out of time unfortunately. I really should subscribe to a couple journals and do some research again...

I am somewhat cynical, but I think I disagree. Apparently the average "housewife" in America still spends just as much time today doing chores as they did towards the start of the century (if what I read can be believed). So, despite all the wonderful new appliances, the amount of work hasnt...

Without knowing exactly what you want to do, its pretty hard to answer your question. You already appear to have found code to generate a single path, so some simple (although not necessarily the most efficient) solution is to just run that function some number N times for as many simulations as...

when you say "technical analysis", are you referring to the arts and craft activity that is the drawing of occasional lines on plots of share price movements, and tagging said lines with comments like "breakthrough rally triggered nowz" and "something bad happenin' herez"? ;)

On a side note, our lousy commodity-based dollar is worth about 1/2 an american peso at the moment, so a $2G laptop (even though you mention it was quite a while ago) is the equivalent to about $4G aussie... which ties back to my earlier comment about my thinking that the tablet PCs were...

Excel Net, Thanks. You have pretty much exactly answered my question: Can I use these devices to easily and clearly read documents formatted for large display (A4 technical papers, pdfs of textbooks etc), and is the technology friendly. I don't intend to read any fiction (I'd love to, but...

Hmm... that is impressive Alain. I'd been looking all around and hadn't seen anything for under 2200 (australian dollars), and they weren't all that particularly powerful either. Using the series you mentioned as a search start though, I have found a couple good listings for aussie tablet...

Hey, thanks all for the feedback. The problem I have is that based on the 6" sony reader, its far far too small to read technical documents, such as the PDFs formatted in A4 size. The Kindle, being the same size, is presumably going to also be unsuitable. I don't want to read novels as such...

Hi everyone, I'm really interested in buying one of these new electronic ink readers that are available now. My friend has the Sony 6" reader, which is quite cool, except it doesn't handle the display of PDF's formatted for A4 pages very well. I've since seen the iRex stuff...

Claus... in Datastream, you should be able to do a search for interest rate data, in the same way that you search for bonds or equity/option prices etc. For example, there will be US treasury yield curve values, all listed as instruments of different maturities. Eg, the code will be something...

not yet no, too busy trying to find a job to pay my rent :P

I don't have a lot of time to reinstall matlab to try out your code, but just looking at it, i think you can probably improve the code by specifying "valid ranges" of values, and also max numbers of iterations etc. What I mean is, the matlab code you have now might, for example, use some...

I.e. java and C# to me, are always managed code, because they are translated through the JVM and CLR, whereas C++ can be written to run natively on your CPU?

I was of the belief that "managed code" had less to do with the compiler you used, and more to do with the libraries/frameworks etc? This wiki link doesn't really confirm nor deny my impression... comments anyone? Managed code - Wikipedia, the free encyclopedia

What do you mean, it's not available yet? you go to the http://www.cdsmodel.com/ as per my original post, and there is plainly a package of C files, and an excel plugin available for download...

JP Morgan open source Credit default Swap pricing source code From slashdot: "Credit default swaps (CDS) are infamous for bringing down AIG and requiring a bailout of hundreds of billions of dollars. Because the market for these was so murky, the US government has insisted that Wall Street...

After all, finance isn't about the big money...

Well, I'm already quite experienced as a .Net C# developer (and I admit, I really do quite like a LOT of what C# has to offer), but I am trying to move into more quantitative role and finding that there is a distinct lack of employers using C# for such work. The focus is still very much on C++...

AAAAAAAAAAAAAAAAAAAAAHAHAHAHHAHAHAHAAA...... In my very humble opinion, you'll be discounting yourself from a massive amount of jobs if your approach to an employers request for a Word document is "no". Take this from a man who is "in between jobs" and going through the application process as...

Cheers I've got a reasonable history working with C#, and really quite like it, but my C++ stems from some stuff I did several years ago for a game programming major and so managed code wasnt even an issue at that point. Trying to decide where to best invest my time.

Just wondering, for those of you who've had some inside experience of the use of C++ within a quantitative (and especially, finance) environment, how common is the Microsoft Managed Extensions framework? (I.e. that provided by the .Net framework?) Any bad/good experiences using managed vs...

I tend to take the "there was too much banking going on" as more a statement "there was a lot of banking going on because of cheap credit etc, that would not survive a downturn". In the same way that a housing boom would likely to increase the number of real estate agents trying to sell homes...

http://www.bloomberg.com/apps/news?pid=20601039&sid=agDGAkZjbbLw&refer=home Talking about how the finance industry for the last couple years, has been paying about 40% over its long-term historical average, and how similar things occurred before the 30s crash. Might be time to dust off those...

Tobias, I ended up exporting a full list of all available companies into excel, and a full list of all the bonds, and after applying some limiting criteria (only companies who ever had two or less bonds on issue, for example), narrowed down my potential pool of bonds significantly. That meant I...

Omm... Look around on this site for the thread about the guide for quants written by Dominic Connor... he is a head hunter who wrote a rather good document which I think will explain everything to you in detail and will answer all your questions. Basically, you send Dominic your resume, and he...

hmm, not exactly sure I entirely understand what you are trying to do. You've already established interest rate parameters for the Vasicek model, is that correct? Not sure that I'll be able to help you out much more than that anyway, my research project was very large and I didn't do much work...

The vasicek code to do what I think you want, is already attached on this page... its included in the zip file in my earlier post, file name: Bond And Interest Models - Matlab.zip let me know how you go

If you are asking what tools might be useful etc, then the first thing I can think of might be some graphing / graphical tools, for charting and visual display of results. (Note: that is NOT an endorsement of technical analysis ;) ) I had a look on the net a while ago when I was thinking about...

"This will inevitably create deeper societal divisions and, very likely, a permanent underclass of mortgage-slaves" I'm interested as to how this will be the case, given that in the USA, you have your "jingle mail" (I believe is the terminology)... you can't pay your loan, you walk away...

The R code for the Vasicek parameter finding should be available if you search for posts made by a user named "cyklop", in the wilmott forums. Attached is my matlab code and what I believe are all the necessary files to run the functions. Sometimes my commenting is overkill, and sometimes its...

Hi all Just finished my masters, and have a bit of code sitting around which I used in my thesis in case anyone wants it. Everything is in Matlab. I was working on a project trying various structural bond pricing models to price corporate bonds, and implemented the Merton 1974, Longstaff and...

erm... if you have the data in excel, can't you simply use =min(A1:A10) to find the minimum of each row, where in this example A is the current row of data and you have values in the columns numbered 1-10? that would get the minimum of each row and be very quick, or am i misunderstanding you?

depending on the exact definition of attrition, this might not be *as bad* as the high numbers would immediately suggest. I have several friends doing their phds, and have heard a number of anecdotes about phd students not finishing because they've been head-hunted and moved into industry, even...

heh heh... this would be even funnier, if it weren't so depressingly relevant! PHD Comics: Enrollment vs. Unemployment Rate

I think I agree with Christian, reading about the massive privatisations that are occurring in Europe, watching the USA slowly implode, I can't see any quick recovery from this. Astounding to think that only a bit over a year ago, the share market was going only up, people were talking about an...

bad timing? ahahah.... I went through an I.T. degree being told that people would line up to give me a job... and then the dot com crash happened. I spent a few years working and travelling, came back and started my masters of financial math, due to graduate this november, and the biggest...

what a coincidence... i msn'd that exact quote to a friend of mine this morning when discussing the current snafu that is the US housing / credit crisis... it boggles my mind to ponder the size of this mess... We aren't seeing much of a similar effect on the australian housing market even...

I'm not sure if the dig at africa is laced with an irony that I'm not detecting, but I don't really know that I support the idea that poverty and disease is natures way of sorting out the abuse that a massive global population exerts on the world? Seems to me that americans and we aussies (as...

as an aside, I noticed that as I submitted that last post, the inclusion of the urls caused the php curl library to throw up errors... is this a known issue?

funky: http://www.myspace.com/butterfingersmusic heavy: http://www.myspace.com/opeth heavy: http://www.myspace.com/amorphis

Yeehah... got a copy of the guides :D. Thanks Dominic, looks tops. Now, to read in extensive detail and figure out whether I should chase a job come the end of the year, or shoot for the phd...

Mmm.. I am fairly new to this and other quant finance forums, but recently (last night? time is all kind of blurring together lately), saw that Dominic and co actually have a separate site that it appears you can register for, in order to apply for jobs etc. I haven't joined up for that yet...

But its not something you'd ever bother with again? I find the concept a bit strange, unless you happen to be the CEO of some major bank and are pressed for time... but then, after reading a recent article on the collapse of Bear Sterns, it sounds like those guys just sit around playing bridge...

Just out of perverse curiosity (and not meaning to to start any war of words), does anyone here actually use one of these 'buy back your life' personal assistants? I know that its certainly not something I'd bother to do, but then, I'm not in a position where I really need pay someone to book me...

Yup, exactly... When I pull out bond info from DS, it has the bond name, coupon, DS code, ISIN number specific to that bond issue etc, and includes some "short" version of the company name that issued the bond, but not a DS-specific code for the issuer. So, when I contacted DS, two different...

Hi Andy I've worked in IT for about 5 years now for both private and university systems, so I'm well aware of the difficulties in tying data together when its being retrieved from different sources/systems. But I think my mentioning CompuStat earlier may have confused the issue... In all my...

For me, unfortunately no. The only sources of data that I have available are DataStream for the bonds (and some financial data) and compustat, but an american-only set of data in computstat. The project I am working on, I'd hoped to do a new study using UK data, which turned out to be very...

For anyone who reads this and is interested, I got a phone call from DataStream this afternoon, and the woman who spoke to me again confirmed that "it is currently not possible to precicely match bonds issued with the issuer.. many clients have asked for such a feature recently, but our...

No Bloomberg... I've looked through it briefly at another location. I wasn't experienced using it and so the short time I had was spent just trying to figure out how to export the data. While it seemed promising, I unfortunately don't have access to it any more, so I'm stuck with DataStream...

Hi Doug, The interface is very clunky, so there probably isnt much value in wasting anyones time trying to describe how I use it unfortunately... I'd considered something along the lines of what you are suggesting (loading into excel or SQL or something), a list of bonds and a list of issuers...

Hi all Does anyone here use DataStream, in particular matching bond issue data with the financial data of the parent company? I have actually seen several people about this, and even called the Thomson DataStream help centre, and have now had their help-desk tell me that there is NO WAY to...

US Treasury interest rate data Hi Andy, Give these a try perhaps? U.S. Treasury - Daily Treasury Yield Curve U.S. Treasury - Daily Treasury Yield Curve U.S. Treasury - Daily Treasury Yield Curve If you find any others, particularly UK treasury data in a similar format, please let me know...