Feb

11th

Tue
11th

Oct

27th

Sun
27th

No purchaser of a sovereign debt instrument today does so in the hope and expectation that when the debt matures the borrower will have the money to repay it. The purchaser does so in the hope and expectation that when the instrument matures the borrower will be able to borrow the money from somebody else in order to repay it. This is a crucial distinction. If by sovereign creditworthiness we mean that a sovereign is expected to be able to generate enough revenue fromn taxes or other sources to repay its debts as they fall due, then most countries are utterly insolvent.

— [no citation. yet.] (via felixsalmon)

Sep

24th

Tue
24th

Follow me on Twitter

The latest from experquisite (@experquisite). NYC

I will probably continue to post medium-length stuff here, but links will be there from now on.

Sep

7th

Sat
7th

Little experiment to validate that absolute variation tends to infinity, mean squared variation tends to 1 (for standard normal), and the cubic, quartic etc variations tend to 0 (as delta t tends towards 0). This, if I am not mistaken, is why we can do all the tricks we do in Ito calculus.**MATLAB code (my first ever):**

function drawExpectationConvergence = drawExpectationConvergence(nstepsmax, moment) figure; hold on; results = zeros(0, nstepsmax); parfor n = 1:nstepsmax results(n) = expectation(n, moment); end plot(results); hold off; end function expectation = expectation(nsteps, moment) T = 1.0; dt = T / nsteps; sqrt_dt = dt^0.5; V = 0; for i = 0:nsteps V = V + abs((normrnd(0,1)*sqrt_dt)^moment); end expectation = V; end

Aug

27th

Tue
27th

Nothing screams shadow banking quite like a leveraged loan ETF | FT Alphaville

They are billed as a quick and easy way for investors to gain access to higher-yielding assets while still providing some protection if interest rates start to rise. They are ETFs which track portfolios of (floating-rate) bank loans. And they are on fire.

Jun

25th

Tue
25th

Bernanke's Misfired Shot Heard 'Round the World

When considering both the global economy and the US economy, take into account Eurodollars.