Never heard of bond ladders? Well neither had I until a few months back. I was running some tests on a sample bond portfolio and discovered a seeming paradox: A portfolio that is long bonds may actually benefit from a sell off! The explanation is that you benefit when you reinvest the coupons that your … Continue reading Bond ladders
Book recommendations
Want to know what I like reading? Here is a list of some recent favourites. I'll keep updating as new reads come along. 1. Want to feel inspired to be creative? These two books are for you. 2. The mathematics book that all mathematics books should look like. 3. Learn mathematics through its history. Highly … Continue reading Book recommendations
Well-written articles & blogs about investing
I'll use this post to list my favourite online reads, updating whenever I come across something new. Suggested reading James Montier at GMO. A recent article uses the concept of mean-reversion together with the profit equation to explain why equity markets might not have such a stellar performance over the next 5-7 years. Click here … Continue reading Well-written articles & blogs about investing
Reading list of Mebane Faber
Mebane Faber has created a career out of his timing model. Fair enough, the article (click here) that he wrote and published back in 2006 was a breath of fresh air. Click here to go see a list of investment books that he recommends.
LeanPosts
The posts you read sometimes take me weeks to research and develop to the point of being finished. That's a problem -- not the time it takes, but the fact that we all implicitly make an equality: finished = "can be published now". All the posts are interesting long before they are finished. A better way to decide whether … Continue reading LeanPosts
What does ‘reduce the balance sheet’ mean?
This post is a LeanPost: it will be developed further depending on feedback from my readers. See my note here on what a LeanPost is. Many companies are these days talking about reducing the balance sheet. Another term used is de-leveraging. In the simplest terms, this just means that a company is reducing the number of … Continue reading What does ‘reduce the balance sheet’ mean?
Galois Theory for dummies
This post is a LeanPost: it will be developed further depending on feedback from my readers. See my note here on what a LeanPost is. Update, January 2014: Dear Reader, for the last year I have been struggling to find time to work on this blog, and this article is particularly in need of further work. … Continue reading Galois Theory for dummies
Smile, it’s Volga!
Armed with the Hardy Decomposition for option prices, it now becomes much easier to understand why the smile exists. To be clear, options trader might use the smile to manage supply & demand, but here we discuss the mathematical basis for smile - which is important if you want to understand how to generate smile … Continue reading Smile, it’s Volga!
The history of a shop
I am in the process of writing a post on corporate finance, and have been doing some research into debt levels and leverage. It's part of an effort to understand more about companies, and specifically to answer the question of why quite a few companies have been struggling to get through the crisis. There are … Continue reading The history of a shop
Calculating option prices in your head
We all know that option prices are calculated with the Black-Scholes formula, using a volatility, time-to-maturity, strike and forward. Typically you just chuck them all into your computer and let it spit out the number. Trouble with this is how do you get an intuition for prices, especially when you are looking at options trades … Continue reading Calculating option prices in your head
Fermat's Last Spreadsheet 