f*****g
发帖数: 15860 | 1 hehe, this is the beautiful part of poker: INCOMPLETE information.
he totally underestimates your hand, he knows you have at least AJ alike and
he'll get some payoff on the river. but he neglects your re-draw part,
which could cost his whole stack.
a LOT of ppl tend to check with made flush, and bet afterwards at some point
. however, at the same time, ppl are more sensitive to flush board than
straight possibilites. that's why you get more big payoffs with straights
than flushes.
not a bad resu |
|
t****e
发帖数: 4821 | 2 刚打电话问了 Toyota Finance， 第一个问题无解，说 Dealer 做 Loan 的时候才知道
；第二个问题回答是 Toyota Finance 目前没有任何一种车贷有 Early Payoff
Penalty 的，可以随时 Request Payoff Quote (10 天内有效)。 |
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f*******e
发帖数: 785 | 3 这个top 1%,算的是年收入吧？不是终生收入吧。。。
很多年无收入+甚至举债+低收入，然后突然高薪，在税收上是吃亏的。。。
Forbes新文章，分享一下：
[The 10 Steps to Make Your Kid A Millionaire]
We're spending our children's money. So goes the refrain from people
appalled at the government's deficits. As long as entitlement spending and
tax collections continue on their present course, it's an undeniable truth.
Instead of wringing your hands, do something about it. Make your children
so prosperous that they can withstand the Medicare cutbacks and tax
increases tha... 阅读全帖 |
|
t******n
发帖数: 2939 | 4 ☆─────────────────────────────────────☆
justleaving (JJWW) 于 (Wed Apr 10 17:10:20 2013, 美东) 提到:
35年还清当然比30年还清总钱数要多。
你refi之后按照25年还清来付钱再来比较。
☆─────────────────────────────────────☆
ffjump (看热闹的) 于 (Wed Apr 10 17:13:46 2013, 美东) 提到:
和奶票无关的架，我是不打算参合了。。。
☆─────────────────────────────────────☆
guantaoshi (Guantao princess) 于 (Wed Apr 10 17:14:19 2013, 美东) 提到:
照康家的实际情况再算一遍呗，两个利率我都标出来了
☆─────────────────────────────────────☆
accos (socca) 于 (Wed Apr 10 17:17:26 2013, 美东) 提到:
说越多，越暴... 阅读全帖 |
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a*******u
发帖数: 619 | 5 5、先行者优势
前面的几个博弈都是静态的、双方同时作选择的博弈。你可以设想不同的情况，改变双
方快乐指数的分配，博弈的性质和结果，便会有所不同。
如果一方可以先行一步作选择，有的博弈结果不会变，比如囚徒博弈；有的博弈结果会
不同，比如两性战争。
假设 #2两性战争博弈中，WSN 可以先作选择的话，他面临的博弈是这样的：
WSN
付出 | 不付出
--------------------------------------------------------
| |
大妈付出 大妈不付出 大妈付出 ... 阅读全帖 |
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a*******u
发帖数: 619 | 6 先行者优势可以给先行者带来不平等的益处，也可以用来达到双赢。
在“我爱你，如果你爱我”博弈中，如果有一方采取主动， 则面临如下博弈：
WSN
付出 | 不付出
-----------------------------------------------------------
| |
大妈付出 大妈不付出 大妈付出 大妈不付出
（100，100） （20，-5） （-5，20） （0，0）
如果知道W... 阅读全帖 |
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o********r
发帖数: 775 | 7 "A way to make more money
While we haven't heard any statistics for the past couple of years, graduate
students used to estimate the ``payoff'' using the starting salaries of Ph.
D. and M.S. positions, the average time required to obtain a Ph.D., the
value of stock options, and current return on investments. For a period of
at least five years that we know, the payoff was clearly negative. Suffice
it to say that one must choose research because one loves it; a Ph.D. is not
the optimum road to we |
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R*o
发帖数: 3781 | 8 C. Full Exegetical Outline
Idea: The reason Christians who are no longer the law, but under grace shoul
d not sin is because it leads to slavery to sin and death, whereas slavery t
o righteousness leads to eternal life.
I. Should Christians who are no longer under law, but under grace, conti
nue in sin? Absolutely not! (6:15)
II. A person is a slave to the one whom he obeys, whether sin resulting
in death or obedience resulting in righteousness (6:16)
A. A person is a slave to th... 阅读全帖 |
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o***o
发帖数: 249 | 9 刚查了一下，有几点搞清楚了：
1. NEXT要两个billing cycle才能 pay off
2. Payoff 后可以选择trade in or keep
3. NEXT如果不用data share value的优惠，即使两个月后payoff再优惠价买个新手机
，两个平均下来价格和毁约交罚款250差不多。 |
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b******d
发帖数: 149 | 10
established
Option 1 sounds slightly better, but you are also having a big assumption
of "领域较冷因为目前做的人还不多，但是将来会热". Option 1 probably gives
you
"all or none" payoff, and Option 2 probably gives you some payoff.
BTW, the fellowship thing is often the requirement from good labs,
especially for postdoc with Green Card/citizenship. Many good PIs will
cut you some slacks if you are foreigner. If you have done reasonably
well, I really don't think that fellowship is required. Supporting
postdoc is... 阅读全帖 |
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p*******u
发帖数: 16 | 11 如果你要确切的payoff function，估计就很难。简单到一服中药都是一个game
game的参与者是各种中药，各药的分量直接影响药效，而他们的payoff就是希望这幅药
能够有最大的功效，最后的N.E就是中药药方。
中医留下来的只有“方歌”，就是药方，药的分量本来就根据各人的不同而有异。所谓
中医理论就是阴阳平衡，发展下来就是那些药方，如果只有确切数字的才是理论，我只
能觉得你认识得太肤浅。
中药本身就是同一时间内多种化学物质之间的相互化学反应，西方的化学要求一次只能
够一个化学反应。多个化学反应之间的相互关系，反应物的量等都会直接影响其结果。
倘若所谓的西医才有理论基础，那我个人觉得中医所探讨的东西，本来就你西医要复杂
多。
其次，现代人认为医术是人病了，吃药，然后治愈。这种是西方观念，“病向浅中医”
一句话直接解析中医的观点，不是等有病才去治，而应该平常就调节自己的身体，此称
为食疗。现在说的所谓“亚健康”状态，不过就是抄袭中医的思想罢了。中医的虚，寒
，热，毒，所谓的五行，就是指如果调解身体，让自己的身体达到最佳状态，这种观念
下，如果你时刻保持体内阴阳平衡，你的身体是不 |
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k***g
发帖数: 7244 | 12 考虑一个简单的Rubinstein Bargainning Model: John和Mary分一块饼，两人交替提出瓜
分方案。假设他们的discount factor 相同，都等于 d. 如果John是第一个提出瓜分方案
的(first proposer)，那么最后我们可以算出 (1/(1+d),d/(1+d))是一个唯一的subgame
perfect equlibrium outcome的payoff。
但是如果我们把这个bargaining
model稍微改一下，假设如果John提出一个proposal,Mary可以选择接受或是拒绝，如果Ma
ry拒绝，那么仍然由John继续提出新的proposal,Mary再次选择接受和拒绝，如此下去，
我们仍然假定两人的discount factor相同，都是d,那么在这种情况下，存不存在subgame
perfect equilibrium？如果存在，那么相关的payoff是多少？
多谢，多谢//bow |
|
e********I
发帖数: 693 | 13 ☆─────────────────────────────────────☆
bobfish (一天到晚游泳的鱼) 于 (Thu May 29 18:24:17 2008) 提到:
2-player non-cooperative game. Both players have private information.
Payoffs depend on players' types and when they act. A player who take action
later can observe the earlier action taken by the other player (if the
other does act first), which is the advantage of acting late. However, there
is a discount to the payoff of the late player because of waiting, which is
the disadvantage of acting late. |
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k***g
发帖数: 7244 | 14 呵呵，我说的那个就是 original 的 battle of sexes game啊，那个 game 是不允许
communication；如果允许商量，就是按照你说的那个 game，那么轮流或者仍硬币，未
必是可以最大化效用，而不过是可以更公平啊，如果这个 game 的里 （球，舞）和（
舞，球）的 payoffs 是 （a,b), (b,a)，不管你 mixed 不 mixed，总效用始终是 a+b
；如果 payoffs 不对称，那么更不应该 mixed了，譬如 （2a,b), (b,a)，那应该始终
选择 2a+b 那个总效用的 strategy 啊 |
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c******n
发帖数: 32 | 15 RIGHT, my personal experience with this company is not that pleasant.
My payoff is junior level. My experience is not.
However, when I observe other PMs, some of them work really hard, weekends,
late night,,,,anyway, i don't think the payoff is balanced (A IT guy with 2
year experience=A e-consulting PM with 9 year experience, salary wise)
In China, foreign consulting firms are quite competitors, however, they got
to play the game with chinese rules. I also had such experiences. |
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k***g
发帖数: 7244 | 16 考虑一个简单的Rubinstein Bargainning Model: John和Mary分一块饼，两人交替提出瓜
分方案。假设他们的discount factor 相同，都等于 d. 如果John是第一个提出瓜分方案
的(first proposer)，那么最后我们可以算出 (1/(1+d),d/(1+d))是一个唯一的subgame
perfect equlibrium outcome的payoff。
但是如果我们把这个bargaining
model稍微改一下，假设如果John提出一个proposal,Mary可以选择接受或是拒绝，如果Ma
ry拒绝，那么仍然由John继续提出新的proposal,Mary再次选择接受和拒绝，如此下去，
我们仍然假定两人的discount factor相同，都是d,那么在这种情况下，存不存在subgame
perfect equilibrium？如果存在，那么相关的payoff是多少？
多谢，多谢//bow |
|
k***g
发帖数: 7244 | 17 呵呵，背水一战为什么是关于commitment-making的啊？韩信背水列阵的主要目的之
一是故意装作irrational来骗赵军倾巢而出，从而用奇兵攻占赵军的老巢全歼赵军
（当然“置之死地而后生”是另一个方面）。之所以是irrational，是因为common
knowledge是 ～[背水列阵]>[背水列阵]，这点很像一个简化版的Centipede Game
的非SPNE的strategy，第一个player如果rational应该马上结束游戏，但是这样的
payoff比较少，如果他装作irrational欺骗第二个player玩下去，那他可能获得更
大的payoff。 |
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r*****t
发帖数: 286 | 18 ☆─────────────────────────────────────☆
ThatYear (那年) 于 (Thu Feb 22 07:43:38 2007) 提到:
underlying X, a floor F, a cap C
payoff 1/min(max(X, F),C)
how to hedge it with European options on X with dierent strikes.
☆─────────────────────────────────────☆
njupeer (小虫) 于 (Thu Feb 22 11:41:33 2007) 提到:
Stock Price Payoff
X
F
C
Now I can construct a bear spread by sell a call at Strike F (price PC1) and
buy a call at strike C |
|
B*********h
发帖数: 800 | 19 ☆─────────────────────────────────────☆
hoyt (none) 于 (Sat May 12 04:31:23 2007) 提到:
For the underlying X, a floor F, a cap C, and the payoff 1/min(max(X, F),C),
how to derive a model independent static hedge in terms of European options
on X with different strikes.Thanks a lot.
☆─────────────────────────────────────☆
francis4321 (lei) 于 (Sat May 12 06:41:19 2007) 提到:
i tried to replicate the payoff using Call only to make it easier.
the result should be:
(-1/F^2)*C(S,t,F,T)+integral |
|
D**u
发帖数: 204 | 20 Notice that, if you play optimally, your expected payoff is a multiple of
your initial asset, where the multiple is independent of your initial asset.
So your optimal strategy is on the boundary of your strategy space. In this
problem, you should either bet everything or 0 on each step. Then betting
everything each step is the optimal strategy.
So the expected payoff of 10 rounds is:
100 * (2 * 0.75)^10 = 100 * (3/2)^10. |
|
D**u
发帖数: 204 | 21 Suppose player A starts with X dollars and always bets optimally at each
step. If you start with Y, you can just "mimic" A's optimal play by always
betting Y/X times what A's betting at each step. Due to the symmetry between
X and Y, you are playing optimally as well.
This easily leads to the conclusion: In order to maximize your expected
final payoff, it is equivalent to maximize your expected payoff for EACH
step. So you should bet everything or non on each step, and easy to check
that betting |
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s****l
发帖数: 137 | 22 这个option定义为：S_0=100, K=1000, if S_t>=K, payoff = 1; otherwise payoff =
0. 如何用类似binomial option pricing的方法replicate? |
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j*******d
发帖数: 55 | 23 如果求American put option的价格和optimal excercise strategies, 并且已经是一
binomial tree, 是不是只能用rolling back和European put option 比较的方法? 和B
-S 没关系了吧? 因为B-S是针对连续模型的.
如果用binomial tree的方法, 从T 到0 比较的时候,会不会有可能出现不只一次
American payoff > E(European payoff?
见附件. |
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j*******2
发帖数: 18 | 24 B-S也能用的吧
如果用binomial tree的方法，有可能出现不只一次的American payoff > European
payoff. |
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j*******d
发帖数: 55 | 25 我可以在每个节点上用B-S,根据所在点的price, St,得出相应的value,Ct,然后和
intrinsic value比较,但american payoff>European payoff 会出现不只一次. |
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k****z
发帖数: 550 | 26 这既是我的一个面试题,也是我一直没搞清楚的问题.
我知道American Put Option可以用binomial tree的方法,从后向前比较Expected
payoff和立即执行的payoff,求得Exercise时间.
但是用PDE能不能解呢? |
|
h*******n
发帖数: 24 | 27 The question:
We long a Euro call with 2 underlying assets.
S1 = spot price of one underlying asset, Stock 1
S2 = spot price of the other underlying asset, Stock 2
1. hedging strategy if the payoff is S1-S2-K (i.e. rainbow option), where K
is the strike price of the call.
2. hedging strategy if the payoff is S1*S2-K.
Thanks soooooooooo much. |
|
T******r
发帖数: 257 | 28 这是有payoff函数决定的.
通俗的说, T越长, call成为in the money的几率越大所以越值钱, 相对应就是
theta为负.
那你会问put为什么不是这样, 因为call的upper limit是无穷大. 而即便是deep in
the money的put也是有上线的, payoff=K when S=0. 所以一定情况下, 对于
put T越长反而不是越值钱.
你把BS公式写成forward的函数就可以知道你另一个问题的答案.
call |
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w**********y
发帖数: 1691 | 29 Zhucai mm今天说的那个经典问题，说现在的股价是S=$80， 有个barrier是K=$100，
第一问: B>S. 一个option， paysoff $1 when the stock hits B. 问价格是多少。
第二问,如果是B
看完了资料,总结.欢迎讨论交流
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
大部分人同意的做法:
现在买1/100只股票,stoppingtime的时候,payoff一样.所以定价应该是80*1/100=$0.8.
咋看起来没问题.
那问个问题哈,如果我今天replication的portfolio是1/50股票-$1呢,payoff还是一样.
那这个portfolio的定价是0.6.当然你还可以制造出无数个不同的replication的
portfolio.也就是market不是non-arbitrage的,除非..除非你多给点条件..
加一个条件:
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
看heard |
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u***1
发帖数: 179 | 30 Problem 1.4: Explain carefully the difference between selling a call option
and buying a put option.
The solution from the solution manual is: Selling a call option involves
giving someone else the right to buy an asset from you. It gives you a
payoff of -max{S_T-K, 0} = min{K-S_T, 0}.
BUT my understanding is: suppose the strike price for the call option is K,
I am selling the call option at the price of S_T, then my payoff would be
max{S_T-k, 0}, which is opposite to the solution manual.
What's |
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m******n
发帖数: 354 | 31 plus sign for payoff means you get the money from the counterparty,
minus sign for payoff means you pay the money to the counterparty.
that's only the englich expression thing. |
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o**********s
发帖数: 73 | 32 我也觉得不能理解。他的意思是，如果你对一个trader解释risk neutral price，你怎
么说服他用risk neutral price, given 实际中是有risk 的。
我回答risk neutral measure 下的expected discounted payoff和physical measure
下的expected discounted payoff 是一样的。在risk neutral measure 下，虽然
discount rate 用riskless risk, 但underlying process同时也assume riskless
drift, 所以并不是我们忽视了risk premium. 不过interviewer 并不buy 这个回答。
。。。 |
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J*****n
发帖数: 4859 | 33 我回答risk neutral measure 下的expected discounted payoff和physical measure
下的expected discounted payoff 是一样的。
How? |
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a*******x
发帖数: 1 | 34 The payoff in JPY is Xt*Xt.
The remaining question is standard, i.e., how to get pdf from call price and
how to integrate pdf together with payoff. |
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t*******y
发帖数: 637 | 35 prefer 30 individual options?
one index option payoff 是0的时候 30 individual option payoff可能是正的？ |
|
c****o
发帖数: 1280 | 36 For the binary call, the payoff is discontinuous, while for vanilla call and
put the payoffs are continuous, which means any combination of them are
continuous, is it possible to replicate?
Maybe I am too naive here..... |
|
z****i
发帖数: 406 | 37 转自wilmott
mghiggins
Senior Member
Posts: 313
Joined: Nov 2001
Sat Jan 04, 03 01:54 PM
User is offline
Qualitative explanation for why there is a vol smile in stochastic
volatility models from a market-making perspective:
First, let's step back and look at the standard Black-Scholes world. Why do
options have value over intrinsic value? Because they have positive Gamma.
As a market-making trader, you buy an option and Delta-hedge it - now, the
value of your portfolio as a function of the ... 阅读全帖 |
|
h*****r
发帖数: 1052 | 38 Consider a digital option with S0 = 100, your payoff is $1 if the stock
price is greater than $120 after 1 year, otherwise 0. This option's price
is 35 cents.
Consider another option also with S0=100, your payoff is $1 if the stock
price is ever greater than $120 from now to 1 year later. How much is this
option?
想请教一下如何用reflection原理来想这个问题，谢谢 |
|
n******m
发帖数: 169 | 39 恩，我没有说清楚。
我说的是 价值恒等于S^2 的这个东西不能 trade， 不是不能有payoff 等于 S^2的
european option.
payoff 为S2 的 european option 只在 expiration的时候价值为 s2，在这之前，可
以用s和money market 来replicate, 所以价值不等于 s2.
Black
option |
|
n******m
发帖数: 169 | 40 换一种说法好了。就是现在有个option, 到期给 S(T)^2, 问怎么定价。
原来的话等于在说，不能定价为 c(t,S(t))=S(t)^2 (t
arbitrage。
至于你的疑问， 我想你是在考虑 payoff 为 (S^2-K)+ 的call, 和相应的put. 你这样
组合一下，是弄出一个相当于 payoff 为 S^2 的组合。这个组合在到期的时候才值 S^
2，在到期之前价值不等于 S^2 。没有矛盾。 |
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i**w
发帖数: 71 | 41 这些是最近两个月每次面试完，给C同学(谢谢陪我一路哈~~)的汇报整理出来的。其实
也没怎么整
理...
大部分都是常见的题。有些常见的题就直接没列。还有些当时忘了的，现在更记不起来
了。
有些是电话上的，有些是onsite。题目有些没说清楚，大家将就，领会精神。
本来什么都没定下来的时候一肚子感想和经验，想着有一天搞定了，一定好好总结总结
。现在定下来
了，倒没了兴致了。。。但想想从版上看过那么多面试题和面经，我争取写点儿，励志
型的，给出身
不好的同学们一点鼓励。也顺便攒攒人品，希望OPT快点儿下来!
1. Singly linked list, write a function to print the nodes backwards.
2. solve dS = (a - b*S)dt+sigma*dW Calculate the variance of S(T)
3. what does it look like if we plot: floating variable against the
actual value assigned to the variable?
4.... 阅读全帖 |
|
i**w
发帖数: 71 | 42 这些是最近两个月每次面试完，给C同学(谢谢陪我一路哈~~)的汇报整理出来的。其实
也没怎么整
理...
大部分都是常见的题。有些常见的题就直接没列。还有些当时忘了的，现在更记不起来
了。
有些是电话上的，有些是onsite。题目有些没说清楚，大家将就，领会精神。
本来什么都没定下来的时候一肚子感想和经验，想着有一天搞定了，一定好好总结总结
。现在定下来
了，倒没了兴致了。。。但想想从版上看过那么多面试题和面经，我争取写点儿，励志
型的，给出身
不好的同学们一点鼓励。也顺便攒攒人品，希望OPT快点儿下来!
1. Singly linked list, write a function to print the nodes backwards.
2. solve dS = (a - b*S)dt+sigma*dW Calculate the variance of S(T)
3. what does it look like if we plot: floating variable against the
actual value assigned to the variable?
4.... 阅读全帖 |
|
z***e
发帖数: 5600 | 43 这里的underlyer是一个probability weighted payoff: 80% 110 / 20% 90，
看成一个赌局好了，和100% = 100是不一样的，那么市场对underlyer这个
赌局有一个价格，如果正好100的话说明市场更risk averse，更在乎亏钱的
情况。楼下提到的买保险，还有平时大家买Lottery Ticket，都是价格不等于
概率期待值的情况，因为买方和卖方的risk aversion/utility function不一样
Risk Neutral Probability就是使payoff的期待值等于derivative价格的概率分布,
率是
后又
B
到一 |
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r**a
发帖数: 536 | 44 No, see prop. 21.2 in the book i mentioned. If you change the payoff
function to the form you mentioned, then you can't guarantee only when \tau=
T you will reach the max. Actually the fact is when you consider the
american call the price should be the same as the European call with the
same conditions. This fact means that only when \tau=T the objective
function will reach its max. If you change the payoff function to a linear
function of S(T), then you can't guarantee only when \tau=T the obje... 阅读全帖 |
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e***n
发帖数: 286 | 45 I know what you meant. Let's forget the American call without dividends,
which coincides with a European call.
Let's consider a general payoff function h like this:
h(x) = max{g(x), 0}, where g: R->R and g may takes any value
What I am trying to say is for American options with a payoff function h(x)
, the following two option pricing problems are equivalent. Both of them
give the same optimal exercising strategy
v(s) = max E{exp(-r*tau) * h(S(tau)) | S(0) = s}
tau belongs to [0, T] and {+... 阅读全帖 |
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a**U
发帖数: 115 | 46 heard on这个书上的2.3题。
interest rate =0,其他的是black-scholes假设。某个股票的价格是75。option：如果
这个价格到100，payoff=1.定价这个option。
书上的价格是0.75. 这个通过hedge和no-arbitrage可以得到。我的问题是：
这个option的expire么有限制，股票总会再某个时间到达100，所有总能拿到1的payoff
，所有价格是1. 我找不出错误在哪里。请教大家。 |
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r**a
发帖数: 536 | 47
Sorry, I was wrong. Consider the following proof:
First, lets split the whole thing into two cases: 1. S(t) never hits H for 0
want to proof holds trivialy. Both sides are equal to zero. The advantage of
this splitting is you can get rid of the function $1_{\tau < T}$ in the
payoff function.
Now lets consider the 2nd case. Suppose $S(\tau)=H$.Suppose $t=\tau$, i.e.
consider the price at time $\tau$. The payoff function ... 阅读全帖 |
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l*****y
发帖数: 56 | 48 假设投了n次，那么 expected payoff
E_n= \sum k=0 ^ n k/n(n choose k)(1/2)^n = (1/2)^n \sum_k=1^n (n-1 choose k-
1) = 1/2.
所以結果和投的次数无关，payoff都是１/２, 所以ｆａｉｒ ｐｒｉｃｅ 应该也是
１/２.
一点愚见，请指教。 |
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k*********r
发帖数: 11 | 49 我觉得结果应该大于1/2.
设想你掷一次，那么是head的话你就应该终止游戏（payoff 为最大值1），是tail你就
继续掷，所以expected payoff=0.5*1+0.5*X>0.5.
我的想法是既然可以无限次的掷，那么理论上总是可以掷到head的比例无限接近于1,
所以gamne price应该是1。
不过觉得好像太简单了点。
k- |
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l*****y
发帖数: 56 | 50 假设投了n次，那么 expected payoff
E_n= \sum k=0 ^ n k/n(n choose k)(1/2)^n = (1/2)^n \sum_k=1^n (n-1 choose k-
1) = 1/2.
所以結果和投的次数无关，payoff都是１/２, 所以ｆａｉｒ ｐｒｉｃｅ 应该也是
１/２.
一点愚见，请指教。 |
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