eye51
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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.
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Peace means reloading your guns |
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MadMax
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Graeme
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| Yes, the latter - thanks! |
Graeme West |
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imcool84
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| Total Posts: 50 |
| Joined: Aug 2007 |
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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 |
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pj
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imcool84
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Dimatrix
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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. |
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Chuck
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| I would greatly appreciate a copy of
muchas grax! |
Speculator |
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filthy
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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" |
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| filthy, check your email in about five minutes |
2008 resolution: reinvent back-end paradigm |
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filthy
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| did it get lost? |
"Game's the same, just got more fierce" |
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filthy
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| awesome.awesome.awesome. thanks. |
"Game's the same, just got more fierce" |
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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. |
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Veegan
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"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.  |
"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 |
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Johnny
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| Total Posts: 4333 |
| Joined: May 2004 |
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| In wonder what fraction of phorum members would consider themselves immune from thinking themselves above average? |
From the subprime to the ridiculous |
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Kutilya
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| Quote Machine |
| Total Posts: 1294 |
| Joined: Jun 2004 |
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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.
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This too shall pass...
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kubrick
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| I'm better than most people at not considering myself above average. |
Alpha male
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Graeme
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| That's why you are the alpha male, right? |
Graeme West |
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DocAdam7
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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. |
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FDAXHunter
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| 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. |
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DocAdam7
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| 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. |
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AndyM
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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 |
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RFMontraz
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| NP Italian Stallion |
| Total Posts: 2021 |
| Joined: Mar 2004 |
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| 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 |
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AndyM
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Or more eloquently:
"The best lack all conviction, while the worst are full of passionate intensity" - WB Yeats |
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