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Or just take on a forward... but that's the point isn't it? There's FX risk unless it's hedged. Actually, come to think of it - how *would* you dynamically hedge it with the spot? (unless you are thinking of constructing a synthetic option, which I don't think is what you are trying to do)

How is it difficult to see that you have a very large FX exposure? Say you want to buy $100 worth of a japanese asset. Today the exchange rate is about 107.21 JPY:USD and you exchange your dollars into Yen. So you bought yourself 10,721Yen worth of assets. A year later, let's say the value of...

Really? Please show why it does not work. It's easy to argue that consumer debt is indeed problematic because of the perverse incentive structure created by various government sponsored insurance programs; However, debt is one of the most fundamental form of financing. Again, the problem...

I think your belief that bank == the middle man is faulty. In many ways, banks function more as a conduit for risk-pooling rather than just intermediation. Think about it this way: individuals dont' have the time or the expertise to diversify their investments across many different ventures such...

Good luck with that... I believe there has only been on non-institutional trade in CDS ever - it was done after months of paper work (the guy who wanted to trade had several hundred million in liquid assets).... MarkIt data costs about 100k+ a year

At this point it's pretty much just a quoting convention... I don't think any is trading with it anymore (dynamic hedging with BS delta is pretty much suicide).

Think about it.... a stop-loss when your $50 stock drop more than $1 is the same as delta replicating a $49-strike put where you maintain an initial delta of 0 and hedge to 1 when the $49 line is breached. So stop-loss is basically a dynamic hedging strategy that's not very dynamic. This, of...

Explain what?

If we are going with game theory as a general framework for disciplined and rigorious thinking process, then I'll agree with you completely. A lot of high order market mechanics can be simplified into a set of "dominant" players with their own motivations and payoffs. For example, a simple game...

I'm going to have to go with this opinion. I studied game theory on a PhD level... Game theory is a framework for understanding how one or more players interact with each other under a set of rules (which can be different for different players)... Anything except for fairly simple rules and...

In general, Masters in Financial Enginnering is a fad. It's worth very little. The actual quantitative trading jobs usually require a PhD or masters from folks who were in the PhD program. In no way does a Masters in Fin Eng prepare you for the level of knowledge required (I would know; I've...

A BA in econometrics from oxford or cambridge is one of the very very few undergrad degrees that can realistically expect to make around 80-100k (all in, including bonus) in the first year out of college. Virtually no options are shut and plenty of opportunities not avaliable to graduates at...

I'd be hard pressed to find anyone (academic or otherwise) who actually believes in strong, classic random walk. Sure, we use iid random walk for some derivatives pricing for matter of analytical simplicity, but I don't think anyone thinks its right. Sometimes it just doesn't matter that much.

Random walk isn't the only form of randomness, you know. You know that, right?

Sigh indeed. no, if you had any statistical training, you will realize that this is not at all what the test is saying. The test is saying that with high confidence it rejects the notional that the directional moves of the S&P day-on-day is independent of each other. That is to say, the S&P is...

More than that - his analysis simply showed (in a fairly poor way, I might add) that there's serial correlation in daily returns. This is very very well known. However, autoregressive models can still have a random component. In fact, I can easily devise a random number generator that would give...

(1) There's reserve enough to pay you. Again, consider the management fee alone they bring in and your salary. You mean nothing. (2) Yes, headhunters will generally find you if they are the right sort. You don't find them. (3) Unless you've traded or analyzed equity derivatives (on an...

I work on the buy side, though not a hedge fund in a front office capacity. If you aren't getting retained headhunter calls at this point, your prospects are poor. The finance job market is pretty strained. Few firms are hiring and there's a large pool of senior analysts and jr associates...

Not to take away from p&d's nice gain, but we were talking whether ABK is toxic from the perspective of holding on to it for more than few hours. The title does say "investment", no?

That's not true. They don't insure ratings, they insure the principal and coupon payments (see Orange County's default years ago). The bonds (like munis) get AAA rating because the bond insurer, being AAA rated, guarantees the viability of the bond. They don't put a rating on anything (nor can...