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May 31, 2007

Subway riding

How to ride the subway, take one.

Mark your territory

Remember, what makes you feel more secure(and comfortable) is
having strangers away from you.So go ahead, try this - when you
get on your next crowded subway/bus/train, try to occupy the most
space as possible; keep others AWAY - keep your arms a bit wider
from you, keep your backpack on the back instead of at your feet,
make larger arms gestures whenever possible, etc.You don't need
to have "clear space" around you to make yourself more
comfortable. Whether you are seated or standing, you can keep the
crowd away from you by marking your territory with clothes,
accessories, luggage, etc. For instance, if you keep your jacket
or luggage in your hand or on your seat, barely trespassing the
space of your neighbors, you are actually making THEM feel
uncomfortable - though they probably won't be able to see why ;
hopefully they will step back a bit, preys of your evil
space-domination plan. [/quote]

There's more at hacktheday, lifehacker, and straphangers.

May 30, 2007

Interest-rate term-structure pricing models: Riccardo Rebonato

Review Paper. Interest-rate term-structure pricing models: a review
Riccardo Rebonato

Interest-rate term structure modelling from the early short-rate-based
models to the current developments; use models for pricing complex
derivatives or for relative-value option trading. Therefore, relative-pricing
models are given a greater emphasis than equilibrium models.

The current state of modelling owes a lot to how models have
historically developed in the industry, and stresses the importance
of 'technological' developments (such as faster computers or more
efficient Monte Carlo techniques) in guiding the direction of theoretical
research.

The importance of the joint practices of vega hedging and daily
model-recalibration is analysed in detail. The relevance of market
incompleteness and of the possible informational inefficiency of
derivatives markets for calibration and pricing is also discussed.

Keywords
Term-Structure Modelling, Interest-Rate Models, Model Calibration,
Vega Hedging, Informational Efficiency (Emh)

Available via the Royal Society.

May 29, 2007

The scourge of unusable golf balls ?

A new study by Katherine A. Burson, a marketing professor at the University
of Michigan, shows that, when we buy things like golf balls and digital
cameras, we generally do a poor job of evaluating our skills, and so
get stuck with unsuitable products.

-- James Surowiecki

The scourge of unusable golf balls ?

See also menu paralysis in behavioural economics

May 28, 2007

What is Sub Prime Today ?

MacroBlog opines on the state of sub-prime lending today.
More at Federal Reserve's April Survey of Senior Loan Officers [pdf].

For the purposes of this survey, please use the following definitions
of these loan categories (note that the loan categories are not mutually
exclusive) and include first-lien loans only:

The prime category of residential mortgages includes loans made
to borrowers that typically has relatively strong, well-documented credit
histories, relatively high credit scores, and relatively low debt-to-income
ratios at the time of origination. This would include fully amortizing loans
that have a fixed rate, a standard adjustable rate, or a common hybrid
adjustable rate--those for which the interest rate is initially fixed for a
multi-year period and subsequently adjusts more frequently.

The nontraditional category of residential mortgages includes, but
is not limited to, adjustable-rate mortgages with multiple payment options,
interest-only mortgages, and "Alt-A'' products such as mortgages with
limited income verification and mortgages secured by non-owner-occupied
properties. (Please exclude standard adjustable-rate mortgages and
common hybrid adjustable-rate mortgages.)

The subprime category of residential mortgages typically includes
loans made to borrowers that displayed one or more of the following
characteristics at the time of origination: weakened credit histories
that include payment delinquencies, chargeoffs, judgments, and/or
bankruptcies; reduced repayment capacity as measured by credit
scores or debt-to-income ratios; or incomplete credit histories. prime
category of residential mortgages includes loans made to borrowers
that typically had relatively strong, well-documented credit histories,
relatively high credit scores, and relatively low debt-to-income ratios
at the time of origination. This would include fully amortizing loans that
have a fixed rate, a standard adjustable rate, or a common hybrid
adjustable rate--those for which the interest rate is initially fixed for
a multi-year period and subsequently adjusts more frequently.

May 27, 2007

Third car is a small car

“From a dollars-and-cents point of view, it doesn’t make sense,”
said Jesse Toprak, director of industry analysis for Edmunds.com,
a Web site that offers car-buying advice. “There’s no way you’re
going to drive it enough to justify the purchase, so it’s more of a
psychological decision.”

That is particularly true for premium models, like the Mini Cooper,
as well as cars in Toyota’s Scion lineup. When decked out with
options like aluminum wheel covers and leather seats, their prices
can climb well above $20,000, the same as a family sedan or a
midsize S.U.V.

[ small car, third car ]

May 26, 2007

Hipper than Prague

Budapest became the new Prague, I've been wondering where
the new Budapest (or, perhaps, new new Prague) would be. The
answer turns out to be Krakow.

27next600.1.jpg

Anywhere with an Ikea less than two years old will do.

Kiev, Ukraine;
Krakow, Poland;
Ljubljana, Slovenia;
Tallinn, Estonia;
Riga, Latvia
and Vilnius, Lithuania

May 25, 2007

Naked Shorts / Greg Newton

Credit Derivatives: Where’s the Risk ?

CDO implosion coming, by nakedshorts.

May 24, 2007

Accrued Interest

Accrued Interest aka accruedint, smart about finance and economics.
Why Home Depot should borrow more.

May 17, 2007

Temporary Attorney

temporaryattorney: life after graduating from a tier III law school.
Document Review rate sheet.

May 16, 2007

When to refinance: a financial engineer's optimal mortgage refinance

Kalotay's perspective on personal finance planning.

See previously Kalotay on mortgage option theory, formal modelling of
optimized mortgage refinancing, and option theoretic prepayment models.

May 15, 2007

Wallstfolly on subprime meltdown

The meltdown in sub-prime mortgages explicated by Wall Street Folly.

May 11, 2007

Amazon Prime $79 Refund class action suit

Amazon Prime automatically charged customers $79
for Amazon Prime Club free shipping.

Stay tuned for the AMZ*Prime Club $79 Refund class action suit.

[ Via TD ]

May 5, 2007

proc freq

PROC FREQ

SAS proc FREQ output to a SAS data set.

Simple example

See also: Use SAS proc freq /sort freq to
show the most commonly held values
.

May 4, 2007

Home Equity Conversion Mortgage (HECM)

The bulk of reverse mortgages funded today are
so-called Home Equity Conversion Mortgages,
known as HECMs, which are insured by the
federal government and cap the amount
homeowners can borrow.

To cater to people with higher-value homes,
lenders increasingly are creating their own
products that don't have loan limits.
Meanwhile, the increased competition
among lenders also is driving down the
overall costs for consumers.

Big Lender Enters Mortgage Niche, WSJ
By LINGLING WEI
May 15, 2007; Page D3

On CountryWide's SimpleEquity product.

May 3, 2007

Effect of Mortgage Refinancing on Interest-Rate Volatility, Duarte

Effect of Mortgage Refinancing on Interest-Rate Volatility
and not vice versa, by Duarte at UW.

[ PDF]

May 2, 2007

Learning 2.0

O'Radar bounces off Education 2.0.

Once upon a time there was a notion to move from centering
education on teachers to centering on students (RRE):

A kind of instruction manual for a new
rhetoric, and it's the rhetoric that's destructive. Take the nebulous
opposition between "teacher-centered" and "student-centered" kinds
of learning. (One does not say "teaching" any more, on the grounds
that learning is a socially necessary activity and teaching is not.
If one does grudgingly recognize the role of a professional who sees
to it that people learn, one calls that person a "learning manager" or
some such foolishness.)

The idea is that, in the old world, teachers
just stood up and droned, and the whole thing revolved around them,
whereas in the new world each student will head off in his or her own
totally unique direction, according to his or her own unique interests
and needs.

Sounds good until you try it, and until you really ask
seriously whether the dichotomies describe the reality. You wouldn't
know from listening to the technophiles that any teacher in the old
world had ever run a discussion section, assigned loosely structured
project assignments, supplemented classes with individually directed
study arrangements, or ever provided students with a reading list.

And what happens in this world where every student heads off in a
different direction? You have no community among the students. They
can't discuss a common subject matter with one another, for example.
And now the teacher -- I'm sorry, the learning manager -- loses all
of the economies of scale that made it possible to answer questions
without being overwhelmed. If all of the students are on the same
page, then questions and answers in a group format, whether in person
or online, are likely to contribute to everyone's learning.

But if everyone goes in their own direction then this is not true. The point
is not that individual direction is bad and that lectures are good --
although I have no trouble at all admitting that I give lectures. The
point is that the world has always consisted of a combination of the
full range of options, and that the world will remain a combination
of the full range of options -- unless, that is, the zealots screw it
up. This is a real possibility, it seems to me, and I want to make
sure that we can talk sense about these things, because they really do
matter.

May 1, 2007

Fortuito.us web evangelism

Fortuito.us webtastic web evangelism by metafilter guy