Jazz - Besame Mucho

Sigh...really want to go for a Jazz bar now...

True?

Sometimes we ask ourselves too much questions that we felt paralyzed with uncertainty and fear to do what we ought to do and tend to feel.

At my age now, after so many failures (mainly coming from a few after grad exams), I finally got it, why people with so much credentials are more fearful and sensitive with how and what they do and the response they get. This is mainly because they think they have much to protect and much to lose.

I know how it feels and I know how bad it can be. From now on, I choose to leave truthfully, more truthfully than what I can. If it is not meant to be, so be it. All the glories are tying me down and weighting me down more than I ever have imagine. At least, I know who can I refer to as a model guidance...be truthful with yourself, and the world will be true to you.

Network

Think this is another gimmick...which I join...damn...how money lures..

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楊宗緯-對愛渴望MV

Great song

Great song...2nd attempt.

FRM questions by bionic turtle

• The partial first derivative is very common in risk measurement. It appears in various asset classes and metrics; e.g., option delta, bond duration, risk contribution, marginal value at risk (marginal VaR)
• The first derivative is an instantaneous rate of change; i.e., the limiting ratio illustrated by the convergence of a secant line to a tangent line.
• We looked at some basic differentiation rules (e.g., power rule).
• I highly recommend the excellent, free calculus resources at www.analyzemath.com. My favorite calculus texts are The Calculus Lifesaver: All the Tools You Need to Excel at Calculus (Princeton Lifesaver Study Guides) and Calculus Know-It-ALL: Beginner to Advanced, and Everything in Between by Stan Gibilisco. I also like the affordable Schaum's Outline of Calculus.
• We looked at a handy idea: The first derivative of the natural log of a function equals the function’s growth rate or relative rate of change: if f(x) = ln g(x), f’(x) = g’(x)/g(x).
• Given the price function of a 30-year zero-coupon bond under continuous discounting, p(y) = 100*EXP(-y*30), we showed that the first derivative is the dollar duration: p’(y) = –3000*EXP(-y*30). Further, while duration has various specific "flavors," all are variations on (functions of) this first derivative dollar duration. For example, by dividing by price [i.e., p(y)], we produce the modified/Macaulay duration of 30.
• It is helpful to be mindful of the axis units. In the case of dollar duration, our first derivative at 5% yield was about –670. What are the units? In this case (i.e., dollar duration), this refers to –670 $/%. Specifically, 670 dollars in price change for a one-unit (100 basis point) change in yield. Still confused about duration units? See the comments to this post.
• The option delta is a first derivative; i.e., the change in call price with respect to a change in stock price. What are the units in this case? Since we have dollars (option price on y axis) divided by dollars (stock price on x axis), they cancel and option delta is unitless.
• We applied the first derivative rule to confirm that (i) futures contract delta is EXP(r*t) and (ii) the Eurodollar futures contract implies a $25 dollar change for each one basis point move.
• Finally, I hope I succeeding in conveying the one big idea underlying this webinar. We may characterize portfolios as responding to (mapped to) a set of underlying risk factors (the call option analogy: the value of the call option reacts to risk factors such as volatility and interest rates). The partial first derivative returns a linear approximation of the portfolio’s sensitivity to an underlying risk factor.
• Phillip made an excellent point about the key weakness of the first derivative linear approximation: is it is only locally accurate; the larger the change in the underlying factor, the less accurate it becomes.