Treasury bills (T-Bills), notes and bonds are marketable securities the U.S. government sells in order to pay off maturing debt and to raise the cash needed to run the federal government. When you buy one of these securities, you are lending your money to the government of the United States.
T-bills are short-term obligations issued with a term of one year or less, and because they are sold at a discount from face value, they do not pay interest before maturity. The interest is the difference between the purchase price and the price paid either at maturity (face value) or the price of the bill if sold prior to maturity.
Treasury notes and bonds, on the other hand, are securities that have a stated interest rate that is paid semi-annually until maturity. What makes notes and bonds different are the terms to maturity. Notes are issued in two-, three-, five- and 10-year terms. Conversely, bonds are long-term investments with terms of more than 10 years.
Tuesday, February 12, 2008
Differences of treasury bills (T-Bills), notes and bonds
Option pricing theory vs. queuing theory
◈ Both theories are for modeling and analysis
The “science” of pricing and queuing
Analytical closed-form solutions for the general case is very difficult
or impossible to obtain
◈ Both belong to a branch in applied mathematics
Involves sophisticated theoretical mathematics and statistics
Lead to new mathematical tools, theories and analysis
◈ Both based on “unrealistic” assumptions for mathematical
tractability
Exponential distribution for queuing theory
Log-normal stock price distribution for option pricing
◈ They are often used for design and optimization
Strong predictive power
Useful theoretical tools
◈ Therefore, be cautious on the results due to underlying
assumptions, and be appreciative to the models derived and the
expressive beauty of mathematics
Text Books
◈ Higham, An Introduction to Financial Option Valuation, Cambridge
A very good introductory book for financial engineers
◈ Wilmott, Paul Wilmott Introduces Quantitative Finance, Wiley
Mathematical, good introduction to qfin field
◈ Keith Cuthbertson and Dirk Nitzsche, Financial Engineering: Derivatives and
Risk Management, Wiley
◈ Hull, Options, futures, and other derivatives, Pearson
A complete guide on options and futures
◈ McDonald, Derivatives Markets, Addison-Wesley
A good book on derivatives
◈ Corrado and Jordan, Fundamentals of Investments: Valuation and Management,
McGraw-Hill
Easy to start with, but for general financial students
Some slides are from there
◈ Bodie, Kane, and Marcus, Investments, McGraw-Hill
Some slides are from there
◈ Levy and Post, Investment, Prentice-Hall
◈ Alexander, Sharpe and Bailey, Fundamentals of Investments, Prentice-Hall
◈ Duffy, Financial Instrument Pricing Using C++, John Wiley & Sons, Ltd.
◈ Duffy, Introduction to C++ for Financial Engineers: An Object-Oriented Approach,
Wiley
◈ London, Modeling Derivatives in C++, John Wiley & Sons, Ltd.
What is a good model?
A good model has strong predictive power
- It considers all the important parameters without over-simplifying the reality
- A good model does not need to factor in all the system parameters, as
many of them are not important!
- It provides you with trends and general performance characteristics
- It sheds light on how different parameters affect/interact with each other to
come up with an equilibrium price
- It provides you guidance on possibly “under-priced” or “over-priced”
instruments
Using models, we can “quantify,” and hence “optimize,” many investment
decisions and understand how a portfolio performs over time by varying
parameters.
Assumptions commonly made in pricing models
◈ Increased realism leads to increased complexity
◈ The more money, the better
- Need to keep rebalancing one’s portfolio in order to gain money.
- Can money really buy job satisfaction or happiness? There is opportunity
cost associated with gaining money (your time, energy, family, friends, etc.).
Is it really good for your soul to be occupied with money only every moment
of your life? Would you be more interested in work other than investment?
◈ Efficient market with perfect information (no un-symmetric or insider
information)
- Market at equilibrium and hence no arbitrage opportunity
◈ There is a commonly-agreed and known risk-free interest rate
◈ Price is continuous
◈ Trading is instantaneous and continuous (no stale prices)
◈ No transaction costs or taxes (Tax and death are two certainties in your
life)
◈ Settled transactions are reflected in the proceeds immediately
- No restrictive rules (such as short proceeds can be totally available for use
immediately)
◈ Log-normal stock price movement
- Leads to analytic simplicity
◈ Etc.
<金色的琴弦>出现过的所有曲子
第一话：
柚木梓马：
格里格的培尔·金组曲之晨景
火原和树：
Wagner瓦格纳的 Under the Double Eagle双鹰旗下进行曲
小号版
月森莲：
维尼亚夫斯基 D大调第一波兰舞曲
后来片尾的那个是萨拉萨蒂改编的歌剧《卡门》中的斗牛士之歌
志水桂一：
博凯里尼《降B大调大提琴协奏曲》
冬海笙子：
雷格《G大调浪漫曲》
第二话：
月森莲 日野香穗子：
Schubert舒伯特的 Ave Maria圣母颂（第2话中两个各演奏一遍，第7话中两人合奏的也是这个曲子）
日野香穗子：
Gossec戈赛克的Gavotte加伏特舞曲[小提琴版]
火原和树：
门德尔松的《乘着歌声的翅膀》
第三话：
日野香穗子&火原和树：
Gossec戈赛克的Gavotte加伏特舞曲[小提琴加小号版]
土浦梁太郎：
Chopin肖邦Op.66 的升c小调幻想即兴曲
第四话：
土浦梁太郎：
肖邦降D大调op.64 No.1小狗圆舞曲
肖邦练习曲作品的10号之3“离别曲”（比赛时日野和土浦合奏的也是此曲）
王崎信武：
德沃夏克E小调第九交响乐<自新大陆>中的第二章
小提琴版
交响乐版
第五话：
日野香穗子与土浦梁太郎合奏的为肖邦练习曲作品的10号之3“离别曲”
第七话：
月森莲&日野香穗子：
Schubert舒伯特的 Ave Maria圣母颂（话说他俩要成了这曲子就是定情物的说）
第八话：
月森莲：
Tomaso Antonio Vitali维塔利《G小调恰空》（Chaconne in G Minor）
日野香穗子：
帕海贝尔Johann Pachelbel《D大调卡农》（Canon and Gigue in D）[小提琴版]
第九话：
几位不知名大叔的三重奏：舒伯特 - 钢琴三重奏No.1 降B大调, Op. 99, D. 898
Franz Schubert - Piano Trio No.1 in B-Flat Major, Op.99, D.898
动画里的是第二乐章02. Schubert Piano Trio No. 1 Op. 99: Andante con moto（多谢fujitofu大大提供曲名，终于拖好无损，压好放上了……）
第十话：
土浦梁太郎：
Chopin肖邦Op.66 的升c小调幻想即兴曲
日野香穗子：
帕海贝尔Johann Pachelbel《D大调卡农》（Canon and Gigue in D）[小提琴版]
火原和树：
门德尔松的《乘着歌声的翅膀》
冬海笙子：
Saint-Saens Op. 37, Romance in D-flat major for flute and orchestra（多谢fujitofu大大提供）
志水桂一：
圣桑《动物狂欢节》天鹅
柚木梓马：
马斯奈的《泰伊思冥想曲》
第十一话：
柚木梓马：
Adagio 舒缓曲 托马索·阿尔比诺尼Tomaso Albinoni
PS：阿尔比诺尼最著名的作品是《g小调柔板》（即此舒缓曲），以至于被称为“阿尔比诺尼柔板”（Albinoni Adagio）。但据学者考证，这一片段并非他所作。二次大战期间，米兰的音乐学者雷莫·贾佐托（Remo Giazotto）刚刚完成了阿尔比诺尼的传记和作品目录，1945年，他在德国的德累斯顿图书馆发现了一个手稿片断，怀疑是阿尔比诺尼的作品，贾佐托觉得非常好听，就用这个旋律写了一段曲子，后来被传为“阿尔比诺尼柔板”。它是贾佐托的作品，应该称作“贾佐托柔板”，但至今人们仍习惯地称之为“阿尔比诺尼柔板”。
第十二话：
找日野要求提供意见的女生演奏的曲子：莫扎特：G大调第三小提琴协奏曲
Concerto for violin and orchestra No. 3 K 216 in G major -Mozart
王崎信武：
德彪西：美丽的夕阳 Beau soir, for vl. and pno-Debussy
第十三话：
日野香穗子：
柴可夫斯基 旋律 TCHAIKOVSKY - Melody Op. 42 No. 3
第十四话：
柚木梓马：
Adagio 舒缓曲 托马索·阿尔比诺尼Tomaso Albinoni（没有变化啊……）
第十五话：
火原和树：
Massenet, Jules马斯奈 挽歌Elegy, Op.10, No.5（火原同学即使追入爱河也不必悲伤至此吧……）
第十六话：
日野香穗子、月森莲、王崎信武、志水桂一：
Mozart, G大调弦乐小夜曲 K.525 第一乐章 Eine Kleine Nachtmusik，1.Allegro（这曲子超喜欢，从小听到大的）
第十七话：
火原和树：
Schudert 舒伯特小夜曲Serenade（交响版）
志水桂一：
佛瑞 西西里舞曲 Gabriei Faure Siciliano
冬海笙子：
舒曼 Schumann _3首浪漫曲 3 Romances Op 94（发现冬海MM只会选浪漫曲）
月森莲：
Maurice Ravel Poeme, Op. 25拉威尔-茨冈狂想曲
土浦梁太郎：
c小调第12号练习曲 革命 肖邦 Etude Revolutionary In C Minor OP 10 12 Chopin
日野香穗子：
柴可夫斯基 旋律 TCHAIKOVSKY - Melody Op. 42 No.
乘着歌声的翅膀 （门德尔松）
http://music.163888.net/openmusic.aspx?id=5199714
长笛版 http://music.163888.net/openmusic.aspx?id=5316918
2.卡农
（帕海贝尔（Johann Pachelbel）《Canon and Gigue in D》（D大调卡农）被影片《反夫俗子》（ordinary people）《我的野蛮女友》当作背景音乐使用过第八话日野香穗子决定了的曲子……）
http://music.163888.net/openmusic.aspx?id=5220086
3.加伏特舞曲
（Gossec戈赛克的 Gavotte加伏特舞曲）
http://music.163888.net/openmusic.aspx?id=5252847
小提琴版 http://music.163888.net/openmusic.aspx?id=5166119
小提琴+小号 http://music.163888.net/openmusic.aspx?id=5199664
4.离别曲
（土浦梁太郎在第四话的录象中弹奏的曲子 土浦梁太郎 日野香穗子在第五话比赛中也是演奏此曲）
http://music.163888.net/openmusic.aspx?id=5166331
5.斗牛士之歌
http://music.163888.net/openmusic.aspx?id=5048942
6.小狗圆舞曲
（肖邦 降D大调,op.64,no.1 小狗圆舞曲 第四话土浦梁太郎录象中演奏）
http://music.163888.net/openmusic.aspx?id=5176912
7.圣母颂 （舒伯特《Ave Maria》《圣母颂》 月森莲在第二话中演奏的作品。）
http://music.163888.net/openmusic.aspx?id=5164289
小提琴独奏 http://music.163888.net/openmusic.aspx?id=5199392
8.自新大陆
（Dvorak德沃夏克Op.09 的 From the New World 自新大陆 第二乐章 王崎信武在公园演奏的）
http://music.163888.net/openmusic.aspx?id=5166392
小提琴 http://music.163888.net/openmusic.aspx?id=5199874
9. 晨景
（Grieg(格里格)的 Morning from "Peer Gynt"(培尔·金组曲之"晨景") 柚木梓马比赛曲目）
http://music.163888.net/openmusic.aspx?id=5166050
10.双鹰旗下进行曲
（Wagner(瓦格纳)的 Under the Double Eagle《双鹰旗下进行曲》 火原和树）
http://music.163888.net/openmusic.aspx?id=5164555
小号 http://music.163888.net/openmusic.aspx?id=5166084
11.D大调第一波兰舞曲
（维尼亚夫斯基 D大调第一波兰舞曲 月森莲的第一次比赛曲）
http://music.163888.net/openmusic.aspx?id=5165639
12.降B大调大提琴协奏曲
（志水桂一在第一话里演奏的 Bocherini(博凯里尼)的 Concerto B flat Major《降B大调大提琴协奏曲》）
http://music.163888.net/openmusic.aspx?id=5164415
13.圣桑 天鹅
（法国作曲家圣桑《动物狂想曲》中,第十三首大提琴作品《天鹅》为其最为知名的代表作。 志水桂一第十话比赛曲目）
http://music.163888.net/openmusic.aspx?id=5366781
14.爱的礼赞
（《爱的礼赞》亦译作《爱的问候》及《情人的问候》，是小提琴独奏曲。本曲是英国作曲家爱德华－埃尔加（Edward Elgar,1857－1934）的代表作之一，而且是小提琴独奏曲中的名篇。 金色琴弦OP完整版中出现的伴奏）
http://music.163888.net/openmusic.aspx?id=5238817
15.G小调恰空
（Tomaso Antonio Vitali托马索·安东尼奥·维塔利《G小调恰空》（Chaconne in G Minor） 第8话月森莲在家拉的曲子……）
http://music.163888.net/openmusic.aspx?id=5220034
16.升c小调幻想即兴曲
（升c小调幻想即兴曲 肖邦Fantasie Impromptu In C Sharp Minor OP 66 Chopin 土浦梁太郎第三话末演奏曲子）
http://music.163888.net/openmusic.aspx?id=5169225
17.马斯奈 泰伊思冥想曲
（马斯涅的《沉思》小提琴独奏曲， 原曲为马斯涅的歌剧《泰伊思》第二幕第一场与第二场中间所奏的间奏曲，故又称为”泰伊思冥想曲”，常被单独演奏，成为小提琴独奏曲中经久不衰的名篇，也是马斯涅的代表作品。 柚木梓马第十话比赛曲目）
http://music.163888.net/openmusic.aspx?id=5366816
18.G大调浪漫曲
（雷格《G大调浪漫曲》 冬海笙子的第一次比赛曲目）
http://music.163888.net/openmusic.aspx?id=5221702
19.g小调柔板
（Adagio 舒缓曲 托马索·阿尔比诺尼（Tomaso Albinoni, 1671-1750） 第11话柚木梓马在天台上演奏的……）
http://music.163888.net/openmusic.aspx?id=5436844
20.圣桑 浪漫曲
（Op. 37, Romance in D-flat major for flute and orchestra 冬海笙子第2次比赛曲目）
http://music.163888.net/openmusic.aspx?id=5403787
21.美丽的夕阳
（Beau soir, for vl. and pno -Debussy 德彪西 美丽的夕阳 金色琴弦12话王崎信武）
http://music.163888.net/openmusic.aspx?id=5505116
22.旋律
（TCHAIKOVSKY - Melody Op. 42 No. 3 柴可夫斯基 旋律 日野第13话）
http://music.163888.net/openmusic.aspx?id=5580956
23.G大调弦乐小夜曲
（莫扎特《G大调弦乐小夜曲 K.525》 第一乐章 Eine Kleine Nachtmusik，1.Allegro 16话四重奏）
http://music.163888.net/openmusic.aspx?id=5879241
24.小夜曲
（Schudert 舒伯特小夜曲Serenade 火原和树第3次比赛曲目）
http://music.163888.net/5953391
25.西西里舞曲
（西西里舞曲 佛瑞Gabriei Faure Siciliano 志水桂一第三次比赛曲目）
http://music.163888.net/5953462
26.茨冈狂想曲
（Maurice Ravel Poeme, Op. 25拉威尔-茨冈狂想曲 月森莲第三次比赛曲目）
http://music.163888.net/5953616
27.3首浪漫曲
（舒曼 Schumann _3首浪漫曲 3 Romances Op 94 冬海笙子第三次比赛曲目）
http://music.163888.net/5953512
28.革命
（c小调第12号练习曲 革命 肖邦 Etude Revolutionary In C Minor OP 10 12 Chopin 土浦梁太郎第三次比赛曲目）
http://music.163888.net/5953551
29.Elegy
（Massenet, Jules Elegy, Op.10, No.5 火原和树15话）
参考资料：http://zhidao.baidu.com/question/20500924.html?fr=qrl3
Monday, February 11, 2008
Microsoft: SQL Server licensing to win Oracle customers
The forthcoming launch of SQL Server 2008 will see Microsoft focus its considerable resources on the issue of licensing, to win customers from rivals Oracle and IBM.
"Our challenge, now (that) we have picked off a lot of the low-hanging fruit, is to attack the traditional Oracle strongholds," said Matt Dunstan, Microsoft's U.K. marketing director for databases.
Dunstan, who is in charge of the battle with Oracle and IBM, said Microsoft will exploit weaknesses it sees in Oracle's licensing and customer treatment. It is a bold strategy from a company that has itself frequently been pilloried for its licensing policies, but Dunstan clearly thinks Oracle's licensing is a weak spot.
A "common gripe" for Oracle customers, Dunstan said, is around the issue of maintenance and licensing. "Oracle has ticked them off," he added. "I am not privy to Oracle's commercial relationships, but one of the big misconceptions is that a lot of customers believe they have an Oracle site license...there is no such thing as an Oracle site license, I believe."
In fact, Oracle has two licenses for its databases: User Plus, which factors a minimum number of users, and Processors, which is based on the number of processors on the Oracle server.
Oracle earlier this year switched to counting processor sockets rather than processor cores for some products, following the lead of Microsoft, which had seen its database market share grow at 30 percent-plus revenue each quarter for several years.
Oracle was approached for comment to clarify its latest position on licensing, but it did not respond in time for this article.
Dunstan maintains that some Oracle customers discover the lack of a site license only when it's time to pay for the ongoing license, and they find that they have to pay more than they thought. He stressed that his information was from conversations with customers, resellers, and other interested parties.
Oracle has been prepared to offer something very like site licensing, at least for the National Health Service. However, it is not clear how much of an exception this is to normal policy. In January 2004, Oracle agreed to a contract with the NHS that worked out at around 100 million pounds ($207 million), and that licenses all NHS employees to use selected Oracle software.
"Our perspective is that SQL has become very widely adopted, even among the traditional Oracle and IBM customers," Dunstan said. "You often see SQL as well as Oracle, or as well as IBM. With customer references like Virgin, the London Stock Exchange, and Nasdaq, the question 'Is SQL good enough?' has gone."
Dunstan added that because Microsoft works off a clear price list, everything is clearly priced. "Customers can make decisions based on reasonable assumptions," he said.
Colin Barker of ZDNet UK reported from London.
--------------------------
IBM DB2 34.3
Oracle 33.9
MS SQL Server 20.1