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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 group consistently recovered after every blowup they've been through

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 the options perpetually. The only other condition i would add is that we are talking about default-free world. But even the assertion was not true, the...

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: 79c .

Right, they were taking on large positions in markets in which it did not have trading experience: equity derivatives, total return swaps, index options, bets on takeover targets and emerging economies. But the ultimate cause of their demise were their basis swap positions (as you rightfully...

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 different reason - to hedge such an option I would buy X shares of stock so it would pay $1 dollar when the stock hits $100, which is 1/100 shares and...

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 non-defaultable (govies) bonds.

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 heads/number of throws when you stop the game. You can exit at any time, but you can choose to play the game forever. How much would you pay to play this...

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 the corps/govies spread to narrow (it was quite wide over the boom years) and off-the-run/on-the-run to narrow. Instead, when the "N-sigma" events...

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 OTM Tbill vs OTM Tbond options plays as an attempt to capture the curve slope changes. But i do agree that as a stand-alone strategy it is a waste of time.

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... well, curtosis. I think it is very tricky to price the wings (some younger academic types might disagree), so selling it in large quantities is dangerous...

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 rates can indicated both the change in the t rates and spread change, so it is difficult to use. some people use this to structure contingent asset swaps

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. As for quantitive trading - it is about the same thing, having a view on the market in some shape or form. The difference is mainly not for exchange...

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 a standard measurement, which is A. used for limiting the open position by each trader, each group of trader, and so on. B. a single number...

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. Someone has interest rate risk - I can take it from him for a nice price. Someone has drought risk - some weather derivatives trader might buy that from...

They are probably are talking about some sort of swap options (swaptions) or eurodollar futures options - i would have to read more to explain more. There's an apparent little lie there: "1M worth" - 1M is probably a notional amount rather then the real principal - that means that you will be...

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 by a chasseur de tête who sent me to a foreign bank. Two interviews and I aced them all. A week later, I'm on the desk. "Dude, you are getting a...