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Publication year: 2010Source: Journal of Financial Economics, In Press, Accepted Manuscript, Available online 10 February 2010Claus, Munk , Carsten, SørensenWe solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. [...]
Publication year: 2010Source: Journal of Financial Economics, In Press, Accepted Manuscript, Available online 10 February 2010John J., McConnell , Alessio, SarettoThe market for auction rate securities (ARS) made headlines during the second week of February 2008 when auctions at which the bonds’ interest rates reset experienced a wave of “failures.” Contrary to headlines [...]
I have been struggling to find a suitable research topic for my PhD in finance these days, initially I chose to research on convertible bond underpricing considering multiple features other paper might fail to do so, but later on I realized the potential margin contribution is small with more knowledge on this field, indeed [...]
A follow up post of my previous entry Using Quadrature method for option valuation, where the accuracy and computational speed are demonstrated briefly with a simple European option based on the paper “universal option valuation using quadrature methods“. Today I play the Quadrature method for a vanilla convertible bond, still, the results are promising, [...]
The Role As a Senior Calculations programmer your core responsibility is to develop and then implement calculations for variety of bond instruments. These calculations involve price-yield computations, duration-risk-convexity analysis, advanced…
Read the whole story on Quantitative Finance Jobs for Business / Finance / Economics PhDs.
Several good working paper have been found this week, hope you will also enjoy them.1, Quant Nugget 1: Square-Root Rule, Covariances and Ellipsoids: How to Analyze and Visualize the Propagation Law of Risk in a Multi-Dimensional Market, “How to analyze and visualize the propagation law of risk in a multi-dimensional market.”, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1548162;2, Variance Swap [...]
When asked how to value a stock option without dividend or with continuous dividend, many people would refer to Black Scholes formula, but how to price an option with discrete dividend then? certainly Black Scholes model can’t be used directly since one of its assumptions is continuous payout. Paper Back to Basics: a new [...]
Senior User Interface Developer Role
Role:
My Client, a top tier Investment Bank are seeking an exceptional and senior level user interface developer from all competitive firms.
Cross asset exposure is highly preferable, but single asset class experience will be valued.
You will own the Bond-Studio application, which is a mortgage products analysis application used by customers [...]
Publication year: 2010Source: Journal of Financial Economics, In Press, Accepted Manuscript, Available online 25 January 2010Francis A., LongstaffI conduct an empirical investigation into the pricing of subprime asset-backed collateralized debt obligations (CDOs) and their contagion effects on other markets. Using data for the ABX subprime indexes, I find strong evidence of contagion in the [...]
Volopta is a site I came across yesterday, it contains free C++, Matlab, and VBA code for derivatives pricing. Derivatives categories include equity options, options on bonds, swaps, swaptions, options on futures, variance swaps, collateralized debt obligations, credit default swaps, volatility models, etc.At the moment the files uploaded are only a few, which is [...]
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