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r****t
发帖数: 10904 | 2 你说的没错，不过讲 model 应该都指 equation |
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C******n
发帖数: 9204 | 3 你不能说因为 "this model"是Incomplete，“所以”你就可以任意选一个SDF。
对于你所感兴趣的market，例如option market，fact会告诉你SDF应该长什么样。
financial market大体上是complete的，虽然有很多的noise，所谓incomplete只是因
为你的model focus on 1 asset and 2 or 3 shocks，这只是你的modeling technique
的限制，不代表你应该这么反映现实。
举个例子，BS + SV或者BS + jump都是incomplete,但merton和heston都是怎么确定SDF
的，也就是说他们做了何种假设？是否合理？不合理的话现在大家在干什么？ |
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p*****u
发帖数: 14 | 4 我也是学理论物理出身的。。。话说做derivatives pricing前景这么不好，为什么要
往这方向去呢。现在已经不是当年刚爆发时的情形，真正做model的都是极少数人，大
家学理论物理的都懂的。。。辛苦准备一年最后进去多数可能性也是做做model
validation或者library quant， 不值得阿不值得。现在比较多的工作都是data
driven的。我之前虽然也面过几个derivatives pricing方向的，现在主要也是找data
scientist, quant trading research这类的了。当然这是一己之见，楼主三思，建议
还是先了解下市场情况吧
John Hull这本内容确实很丰富，衍生品的bible。缺点在于数学细节讲得不多，会有断
续的感觉，因为这本书本身主要也是定位入门,很大一部分读者是学finance和MBA的。
觉得看这本前先找本金融的概论看下对整个金融领域有个全局认识会比较好，推荐
Bodie和Merton写的financial economics第二版，里面corporate finance相关的可以
先不看。John Hull看... 阅读全帖 |
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L*******t
发帖数: 2385 | 5 complete market的时候非常简单啊，什么Pliska, Karatzas Lehoczky, Shreve, Cox
and Huang神马的都把这个研究的妥妥的。
Merton是先锋，不过他的方法是传统的随机优化，没有上面几个elegant。 |
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L*******t
发帖数: 2385 | 7 没那么牛啦，而且Merton做的东西的有些过时了。。 |
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x*****i
发帖数: 112 | 9 谢谢回复！
我想了解一下 hedge jump risk 的方法，
没有特定的模型限制，
Merton Jump Diffusion, 或者 Levy models (variance gamma, NIG, ......) |
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a*********r
发帖数: 139 | 11 If the company uses its own internal model, then it's firm-specific. You
will learn the modeling process once you are part of the company.
For example, FICO score is the scores provided by a specific credit company.
In general, there is no single best credit models. As far as I know there
are four major models: credit migration model (based on discrete Markov
Chain), KMV model (based on Merton's option pricing model. It's just a
simple application of Ito's lemma), creditrisk+ model (based on a P... 阅读全帖 |
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w**********y
发帖数: 1691 | 12 你们咋没人mark这个啊..
这个说的才是真正credit risk工作用到的知识..当然,不排除面试不会问到?
其实generalized linear regression + 这里的model..足够面试和工作了..
btw:这里的一些model讲的好像不大清楚..reduce form的model区别不是在于是不是
poisson..Merton model 与ito lemma没啥关系..你就给它当成加上一个random
variable就行了,根本跟stochastic无关..
其实Vasiek之类的大牛在Risk上面发了很多这方面的文章..Creditrisk和
CreditMetrics都有不错的paper和presentation可以找找..
好像最近不少这方面的openning..找工作的童鞋good luck
company.
has |
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w**********y
发帖数: 1691 | 13 PD - Default Probability
In Merton’s framework, If asset price (total net value) of a company is X,
and it will default if X goes below a threshold X*(constant), then PD=P(X
In Statistics, we can assume X is normal/lognormal or whatever;
In Stochastic, this is called First Passage Time
LGD – Loss Given Default
Suppose a collateral of a loan is Y (proportion, ranging in [0,1]).
Then if the counterparty of the loan defaults, you can only get back Y, and
thus the loss is 1-Y (Y>1 is almost impo... 阅读全帖 |
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M*****t
发帖数: 85 | 14 在看一个job description，某bank（非credit card），没有详细写明需要什么model，只说是做credit risk scorecard / rating model，而且用的编程工具是matlab或者sas。要计算probability of default和loss given default等metrics。我觉得这个job应该涉及的是retail credit risk，和Basel II有关，model应该是regression，decision tree等statistics model。
有可能是涉及corporate bonds方面的credit risk，或者用merton model吗？应该重点准备哪些modeling方法呢？大家给点意见，谢谢~~ |
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A*******s
发帖数: 3942 | 15 I wouldn't say it's HuYou, but it is correct that there is no consensus on
the methodology of Economic Capital modeling in CONSUMER credit risk areas.
Major reasons is 1) Consumer credit risk may not fit the Merton/Vasicek
Model based on contingent claim assumption; 2) Insufficient data (data are
usually monthly based in consumer risk) to estimate (as well as validate)
the portfolio volatility.
But anyway, if we are not concerned on volatility estimates, PD and LGD are
the same as any other pred... 阅读全帖 |
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h***a
发帖数: 312 | 17 来自主题: Medicalpractice版 - GMO http://www.aaemonline.org/gmopost.html
https://www.youtube.com/watch?v=eeW5yUSqdhY
American academy of enviromental medicine
Genetically Modified Foods
According to the World Health Organization, Genetically Modified Organisms(
GMOs) are "organisms in which the genetic material (DNA) has been altered in
such a way that does not occur naturally."1 This technology is also
referred to as "genetic engineering", "biotechnology" or "recombinant DNA
technology" and consists of randomly inserting genet... 阅读全帖 |
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w**********l
发帖数: 8501 | 18 来自主题: _Stockcafeteria版 - TA真面目
===================
这本书里没有PDE啊，我提的那本书贯穿PDE写的啊，否则怎么会称之为理论书呢，总共
十几章，我本来奔着PDE去的。 这是你这本书的目录，内容还是倾向于trading system
的科普吧。
Options, Futures, and
Other Derivatives, Eighth Edition
1. Introduction
2. Mechanics of Futures Markets
3. Hedging Strategies Using Futures
4. Interest Rates
5. Determination of Forward and Futures Prices
6. Interest Rate Futures
7. Swaps
8. Securitization and the Credit Crisis of 2007
9. Mechanics of Options Markets
10. Properties of Stock Options
1... 阅读全帖 |
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w**********l
发帖数: 8501 | 19 来自主题: _Stockcafeteria版 - TA真面目
===================
这本书里没有PDE啊，我提的那本书贯穿PDE写的啊，否则怎么会称之为理论书呢，总共
十几章，我本来奔着PDE去的。 这是你这本书的目录，内容还是倾向于trading system
的科普吧。
Options, Futures, and
Other Derivatives, Eighth Edition
1. Introduction
2. Mechanics of Futures Markets
3. Hedging Strategies Using Futures
4. Interest Rates
5. Determination of Forward and Futures Prices
6. Interest Rate Futures
7. Swaps
8. Securitization and the Credit Crisis of 2007
9. Mechanics of Options Markets
10. Properties of Stock Options
1... 阅读全帖 |
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C*G
发帖数: 7495 | 20 我老文科男不是很懂,问个具体的。请教大牛，在Merton布朗运动扩散假设下，如果考
虑秋师傅的市场温度，对Quanto Options（假设固定利率/风险中性）的求解，比如日
经225或布伦特期油，理论上如何作出修正？谢
hiahia |
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s***h
发帖数: 372 | 21 刘锦昌
前言 一九四八年当梅顿(Thomas Merton, 1915~68)出版了他的传记《七重山》
(The Seven Storey Mountain)后，成为知名的作家，梁伟德先生在翻译此书之后写
了一篇介绍《七重山》的短文，他指出「《七重山》......纽约时报书评专栏将它
比作近代的圣奥斯定(St. Augustine)《忏悔录》。......是近代西方知识份子对抗
十九世纪以还，达尔文主义、唯物主义、纳粹主义......的实录。.....作者尝遍了
人生的忧乐，终於清醒地摆脱了世俗的羁绊，寻得了天国的珍宝而变卖了一切」1，
此书出版后历卅多年，让许多人爱读不忍释手。梅顿和法国廿世纪几位思想家像G.
Marcel、J. Maritain、S. Weil等人一样，可以说都从近乎无神论或怀疑的立场走
向有神论信仰并从心底接受耶稣基督。圣公会M. Gibbard牧师在《生活在祈祷中的
人》书中有一段，以相当吸引人的文笔来描述梅顿，他说：「一九六八年十二月十
日，他的死讯却传遍了整个世界。基督徒、非基督徒和没有信仰的人，都受到了失
去一个敬爱的人的震撼。为什么？他们会说，因为他了 |
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g****y
发帖数: 323 | 22 If the discovery of DNA gave the birth to the new field of
biology—genetic engineering, the discover of Black—Scholes
formula brings a new field to economics—financial
engineering.
Black-Scholes formula was derived by economists Myron
Scholes, Robert Merton and the late Fischer Black. It is a
way to determine how much a call option is worth at any
given time. In the other words, it can mathematically
calculate the risk of the investment which can reduce the
vulnerability to the financial insecur |
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c********a
发帖数: 780 | 24 1) Robert Benchley
It took me fifteen years to discover I had no talent for writing, but I
couldn't give it up, because by that time I was too famous.
2) Oscar Levant
What the world needs is more geniuses with humility, there are so few of us
left.
3) Paul Merton
I'm always amazed to hear of air crash victims so badly mutilated that they
have to be identified by their dental records. What I can't understand is, if
they don't know who you are, how do they know who your dentist is?
4) Homer Simpso |
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