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eye51


Total Posts: 196
Joined: Oct 2004
 
Posted: 2007-12-22 10:26
Hi Greame,

I am not sure if this is what you are looking for, but at the 3rd fixed income conference, Vasicek gave a talk about modelling interest curve from an economic point of view. Hope this helps:

The Economics of Interest Rates: / Oldrich Vasicek, Founding Principal of KMV
The paper looks at the behavior of investors in an economy consisting of a production process controlled
by a state variable representing the state of technology. The participants in the economy maximize their
individual utilities of consumption. Each participant has a constant relative risk aversion. The degrees
of risk aversion, as well as the time preference functions, differacross participants. The participants may
lend and borrow among themselves, eitherat a floating short rate, orby issuing orbuying term bonds.
We derive conditions underwhich such an economy is in equilibrium, and obtain equations
determining interest rates.

Peace means reloading your guns

MadMax


Total Posts: 424
Joined: Feb 2006
 
Posted: 2007-12-22 21:37
I think that's the one Graeme is referring to:
Attached File: realworldevolutionpaper.pdf

Graeme


Total Posts: 1629
Joined: Jun 2004
 
Posted: 2007-12-23 10:34
Yes, the latter - thanks!

Graeme West

imcool84
Banned

Total Posts: 50
Joined: Aug 2007
 
Posted: 2007-12-24 13:09
 

hi all,

 i need the following paper:

Delta,Gamma and bucket hedging of interest rate derivatives by Jarrow , Turnbull published in Applied Mathematical Finance (1994)

Can somebody help me with it ?

thanks


goodwork

pj


Total Posts: 3307
Joined: Jun 2004
 
Posted: 2007-12-25 12:16
Attached File: JarrowRA TurnbullSM delta, gamma and bucket hedging of interest rate derivatives.pdf
Merry Christmas!

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

imcool84
Banned

Total Posts: 50
Joined: Aug 2007
 
Posted: 2007-12-26 08:09
many thanks

goodwork

Dimatrix


Total Posts: 539
Joined: May 2006
 
Posted: 2008-01-14 15:17

Does anyone have the following paper:

F. Jamshidian, Forward Induction and Construction of YieldCurve Diffusion Models (1991), Journal of Fixed Income 1(1), 62-74.

Pretty please. Thank you.

Ctrl - L.

Chuck


Total Posts: 328
Joined: May 2006
 
Posted: 2008-01-14 20:03
I would greatly appreciate a copy of

 

 Stock Prices and Capital Evaluation by Alan Greenspan

 

 

muchas grax!


Speculator

filthy


Total Posts: 1257
Joined: Jun 2004
 
Posted: 2008-01-15 21:53

this is a long shot but does anyone have

Kruger, J., and D. Dunning. 2005. Unskilled and unaware of it: How difficulties in recognizing one’s own incompetence lead to inflated self-assessments. Journal of Personality and Social Psychology 70:1121–1134.

?


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

cpptrader


Total Posts: 86
Joined: Feb 2007
 
Posted: 2008-01-15 22:05
filthy, check your email in about five minutes

2008 resolution: reinvent back-end paradigm

filthy


Total Posts: 1257
Joined: Jun 2004
 
Posted: 2008-01-16 14:41
did it get lost?

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

cpptrader


Total Posts: 86
Joined: Feb 2007
 
Posted: 2008-01-16 15:17
I sent it to the email addr in your profile, and it didn't bounce back.

try here: Attached File: unskilled unaware.pdf

2008 resolution: reinvent back-end paradigm

filthy


Total Posts: 1257
Joined: Jun 2004
 
Posted: 2008-01-16 15:54
awesome.awesome.awesome. thanks.

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

athletico


Total Posts: 951
Joined: Jun 2004
 
Posted: 2008-01-16 18:35

Reminds me of the George Carlin joke: 

"Ever notice how people who drive slower than you are all idiots, and people who drive faster than you are maniacs?"

Here's another in the same vein by one of the authors:

Flawed Self-Assessment

In college I vaguely remember a psych prof talking about a study where about 75% of all Harvard Business School students consider themselves above average in their class.


Veegan


Total Posts: 684
Joined: Jun 2004
 
Posted: 2008-01-16 18:49

"In college I vaguely remember a psych prof talking about a study where about 75% of all Harvard Business School students consider themselves above average in their class."

It's a common result in any survey in which people are asked to rate themselves in common activities: driving, drinking, making love etc. Smiley


"The Stranger within my gates, He may be evil or good, But I cannot tell what powers control-- What reasons sway his mood; Nor when the Gods of his far-off land Shall repossess his blood." ~ Kipling

Johnny
Founding Member

Total Posts: 4333
Joined: May 2004
 
Posted: 2008-01-16 20:33
In wonder what fraction of phorum members would consider themselves immune from thinking themselves above average?

From the subprime to the ridiculous

Kutilya
Quote Machine

Total Posts: 1286
Joined: Jun 2004
 
Posted: 2008-01-16 21:04


For me this was answered by my class teacher in 4th grade.

Parent’s open day at school; After taking a reasonably good result for the term exams.

Mother: So what kind of a student do you think he is?

Class teacher: Average.


I never recovered from that.


This too shall pass...

kubrick


Total Posts: 104
Joined: Jul 2004
 
Posted: 2008-01-17 15:50
I'm better than most people at not considering myself above average.

Alpha male

Graeme


Total Posts: 1629
Joined: Jun 2004
 
Posted: 2008-01-17 16:18
That's why you are the alpha male, right?

Graeme West

DocAdam7


Total Posts: 153
Joined: Nov 2007
 
Posted: 2008-01-17 16:31

I wouldn't hire anyone who DIDN'T think they were above average and I also wouldn't hire anyone who thought they were the best.

Simple reasons... anyone who thinks of themselves as average or below doesn't have the confidence to act on their ideas and instincts when opportunities might arise due to other peoples' mistakes. Similarly, anyone who thinks of themselves as "the best" doesn't have the ability to take a step back and realize that they might be the one who's wrong and maybe they should investigate a little further.


That which counts cannot always be counted. That which can be counted does not always count.

FDAXHunter
Founding Member

Total Posts: 8335
Joined: Mar 2004
 
Posted: 2008-01-17 16:37
What about me? I have a mode below the mean, but I have a few right tail events. Do I still get the job?

The Figs Protocol.

DocAdam7


Total Posts: 153
Joined: Nov 2007
 
Posted: 2008-01-17 17:00
Ha, if you have enough in the right tail to drag yourself above the mean (and you know you're above the mean, which is important) then you've got a shot... just dont let me catch any of that sex with sheep stuff that you seem to like...

That which counts cannot always be counted. That which can be counted does not always count.

AndyM


Total Posts: 2306
Joined: Mar 2004
 
Posted: 2008-01-17 17:06

Kruger, J., and D. Dunning. 2005. Unskilled and unaware of it: How difficulties in recognizing one’s own incompetence lead to inflated self-assessments. Journal of Personality and Social Psychology 70:1121–1134.

LOL...I'd been reading some stuff like this recently, and your request prompted me to rack my brains as to what the name of this phenomenon is...a bit of Googling later...d'oh! it's the Dunning - Kruger Effect


RFMontraz
NP Italian Stallion

Total Posts: 2014
Joined: Mar 2004
 
Posted: 2008-01-17 18:21
The whole problem with the world is that fools and fanatics are always so certain of themselves, but wiser people so full of doubts - B. Russell

Make loans, not war

AndyM


Total Posts: 2306
Joined: Mar 2004
 
Posted: 2008-01-17 18:36

Or more eloquently:

"The best lack all conviction, while the worst are full of passionate intensity" - WB Yeats

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