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filthy


Total Posts: 1255
Joined: Jun 2004
 
Posted: 2007-11-05 22:06

does anyone have access to

"The valuation of soccer spread bets" by Fitt, Howls and Kabelka,2006, J.Oper.Res.Soc. 57, pg 975-985

i think i may have been at bristol when howls was a post doc there...

"The kelly criterion and bet comparisons in spread betting", by Haigh, 2000, Statistician, 49, pg 531-539.


"Game's the same, just got more fierce"

jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2007-11-05 23:11

Attached File: ValuationOfSpreadBets.pdf

Here you go - couldn't find the other one.


"Game theory or game practice?"

filthy


Total Posts: 1255
Joined: Jun 2004
 
Posted: 2007-11-05 23:41
thanks. you deserve some sort of award for this

"Game's the same, just got more fierce"

Bachelier
Transparent Doppelgänger

Total Posts: 692
Joined: Dec 2005
 
Posted: 2007-11-06 09:19

"Last Wednesday (the 24th of October) there was in Paris a breakfast meeting (pardon, un petit dejeuner). Guillaume Gimonet spoke about integrating market risk and model risk: a holisitic approach to financial risk. See this link. Seems quite interesting. Does anybody have a copy of the handouts? Many thanks in advance!"

I don't have them but Guillaume will send them to you if you ask. ggimonetbloombergnet


Dear Bernanke: Please cut interest rates so I can still buy a Bugatti Veyron. Thank you, a Goldman Sachs trader.

Omega


Total Posts: 412
Joined: Jul 2006
 
Posted: 2007-11-07 16:14

Could someone also send me a copy of the paper

Discrete and continuous time cointegration by F. Comte

 

Thanks


pj


Total Posts: 3302
Joined: Jun 2004
 
Posted: 2007-11-07 21:09
Check Your e-mail

BTW you should definitely try and take some sort of holiday... good for the soul. (Donal Gallagher)

urnash


Total Posts: 558
Joined: Sep 2006
 
Posted: 2007-11-08 10:17
Bachelier: Thanks!

The combination of some data and an aching desire for an answer does not ensure that a reasonable answer can be extracted from a given body of data. - John Tukey.

filthy


Total Posts: 1255
Joined: Jun 2004
 
Posted: 2007-11-15 21:19
does anyone have access to the jpmorgan publication "VDAX-NEW, VSTOXX and VSMI Futures" from september, 2005?

"Game's the same, just got more fierce"

jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2007-11-15 21:22
Filled!

Down the black swanee.

filthy


Total Posts: 1255
Joined: Jun 2004
 
Posted: 2007-11-15 21:33

thanks.

actually didn't you send that to me last week as well?

but thanks anyway


"Game's the same, just got more fierce"

jungle
Chief Rhythm Officer
CSD LLC
Total Posts: 3162
Joined: Jul 2004
 
Posted: 2007-11-15 23:48

I think so, and I did wonder why you requested it.  I have, anyway, re-sent it.

 

 


Down the black swanee.

pj


Total Posts: 3302
Joined: Jun 2004
 
Posted: 2007-11-21 13:46
Does by any chance somebody has a spare pdf of
Boyle, P., "Option Valuation Using a Three-Jump Process",
International Options Journal 3, pages 7-12 (1986)
?

«Да чего там описывать, планировать! Жизнь всё равно богаче». (Саня Радченко about specification writing)

tabris


Total Posts: 1242
Joined: Feb 2005
 
Posted: 2007-11-22 00:03
filthy, check your email for Haigh's paper if you still haven't found it.

Dilbert: Why does it seem as though I am the only honest guy on earth? Dogbert: Your type tends not to reproduce.

pj


Total Posts: 3302
Joined: Jun 2004
 
Posted: 2007-11-29 12:16
does anyone has an e-copy of the following paper:
L. Andersen and R. Brotherton-Ratcliffe,
“The equity option volatility smile: an implicit finite- difference approach”.
Journal of Computation Finance, Volume 1, Number 2 (1997)
?

«Да чего там описывать, планировать! Жизнь всё равно богаче». (Саня Радченко about specification writing)

eye51


Total Posts: 196
Joined: Oct 2004
 
Posted: 2007-12-10 13:54
Hi,

Does anybody want to share:

Valuing Convertible Bonds with Credit Risk. By: Tsiveriotis, Kostas; Fernandes, Chris. Journal of Fixed Income, Sep98, Vol. 8 Issue 2, p95, 8p; (AN 1255526)

?? Thanks in advance.

Peace means reloading your guns

hgeorgako


Total Posts: 44
Joined: Oct 2006
 
Posted: 2007-12-18 00:00
Anyone have a copy of this paper. Very hard to find online:

Barone-Adesi G. and R. Whaley, 1988, On The Valuation of

American Put Options on Dividend Paying Stocks, Advances in Futures and

Options Research,} Volume 3, 1--14.

Χεστήκαμε καί η βάρκα γέρνει

ClopeMan


Total Posts: 328
Joined: Jan 2007
 
Posted: 2007-12-18 01:28
eye51, check ur email...

twisted objective mind

eye51


Total Posts: 196
Joined: Oct 2004
 
Posted: 2007-12-18 08:56
Thanks a lot !

Peace means reloading your guns

Chuck


Total Posts: 328
Joined: May 2006
 
Posted: 2007-12-18 20:35

"On The Valuation of American Put Options on Dividend Paying Stocks, Advances in Futures and Options Research,} Volume 3, 1--14."

 

Attached File: American Puts Pricing.pdf


Speculator

hgeorgako


Total Posts: 44
Joined: Oct 2006
 
Posted: 2007-12-18 22:28
Thank you Sir.


Χεστήκαμε καί η βάρκα γέρνει

MadMax


Total Posts: 424
Joined: Feb 2006
 
Posted: 2007-12-21 11:40
Does anyone have access to:

Y. Yamamoto, “A path-following procedure to find a proper equilibrium of finite games,”
International Journal of Game Theory 22 (1993) 249-259

Thanks

dgn2


Total Posts: 2043
Joined: May 2004
 
Posted: 2007-12-21 21:51

Does anyone have access to:

Chris Whitrow (2007)
Algorithms for optimal allocation of bets on many simultaneous events
Journal of the Royal Statistical Society: Series C (Applied Statistics) 56 (5), 607–623.

Also looking for this one:

On the Evolution of Investment Strategies and the Kelly Rule—A Darwinian Approach
Lensberg and Schenk-Hoppé Review of Finance.2007; 11: 25-50

email is dgnokesgmailcom

thanks

 


...WARNING: I am an optimal f'er

filthy


Total Posts: 1255
Joined: Jun 2004
 
Posted: 2007-12-21 22:05

the second one is here

http://ideas.repec.org/p/hhs/nhhfms/2006_023.html

i would also be grateful for a copy of the first one.


"Game's the same, just got more fierce"

dgn2


Total Posts: 2043
Joined: May 2004
 
Posted: 2007-12-21 22:07

thanks filthy...sorry about that people.


...WARNING: I am an optimal f'er

Graeme


Total Posts: 1629
Joined: Jun 2004
 
Posted: 2007-12-22 09:53
A year or so ago a paper about modelling the yield curve under real world evolution rather than arbitrage or equilibrium considerations was discussed here. It might have had two or three authors and one of them might have been RR or MJ or ... Can anybody give me a pointer?

Graeme West
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