network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 5 months |
| seen | Apr 4 at 1:10 | |
| stats | profile views | 55 |
|
Feb 24 |
comment |
Taylor series expansion (Volatility Trading book) explanation sought Ok, I finally got it phew. Thanks |
|
Feb 23 |
comment |
Taylor series expansion (Volatility Trading book) explanation sought Thanks. +1 for the effort. I now get the first part of the derivation. I am trying to understand the theta derivation (i.e. derivation wrt time), and how that leads to the final equation presented in 1.3 |
|
Nov 22 |
comment |
Calculating portfolio VaR for (custom) leveraged products Thanks for the link. The assets I am trading are equity, equity indices, commodities and forex. I suspect that for equity (and equity indices), I can model returns using a GBM model?. Regarding implementing f(x), I'm not sure I understand what you mean - could you please clarify what further information you require? |
|
Nov 22 |
comment |
Calculating portfolio VaR for (custom) leveraged products Thanks for the answer. I could do with a little more detail however. In particular, I am not sure which model to use to generate future returns - a suggestion would be helpful. Additionally, I am not sure how to implement f(x). Please clarify. |
|
Nov 20 |
comment |
Calculating portfolio VaR for (custom) leveraged products @BobJansen: My MC fu is a bit rusty. Could you outline the main steps involved if I decide to go the MC route?. I may implement the functionality in a C++ shared library, which I would then use via Excel. |
|
Aug 31 |
comment |
Is there any evidence that an option delta approximates ITM expiry probability? Thanks for the clarification. I do recall my maths professor talking about the change of numaire under a R.N measure. Divergence between theory and practise again - I guess a lot of straddle traders are sitting on a time bomb :/. As an aside, its could you explain the first integral? I have not encountered it before. I can understand integrating asset price from K to +inf but it is not clear why you are 'weighting' the probabilities by 1. Also, I don't see how this gives us the delta (sorry, been a while since I took calculus ;) ) |
|
May 10 |
comment |
VaR implementation using quantlib? +1 for the link. I'll download it and take a look at it for some ideas. As an aside, our portfolios are largely non-linear, we trade options almost exclusively, but I hope your codebase could be a useful starting point. Thanks |
|
May 7 |
comment |
VaR implementation using quantlib? We already have a curves defined within our system, so as much as possible, I would like to reuse that. My initial thought is to use quantlib for the pricing. I'll take a look at the link you posted and see if it generates any further ideas. Thanks for your input. |
|
May 4 |
comment |
VaR implementation using quantlib? @LuigiBallabio: Which list do you recommend - 'users 'or 'dev' for VaR implementation related questions? |
|
May 4 |
comment |
VaR implementation using quantlib? @LuigiBallabio: re type of VaR: historical simulation VaR. The system is a proprietary (internally developed) one we use for trading. HTH. |
|
Mar 4 |
comment |
How to calculate COMPOSITE underlying implied volatility from ATM (near month) option prices? Thanks for your answer. Its not the smile that I want to calculate (as I mentioned earlier, I am working with only ATM options - so at the most, I am working with two strikes [if the underlying lies between two strikes]). I am looking to find a way to calculate a SINGLE number from the ATM calls and puts (using some kind of weighting). The more I think of it, since I am only dealing with two strikes at the most, a simple linear interpolation will do - although I may probably weight the vols by Open Interest |
|
Feb 6 |
comment |
Calculating log returns using R @PatrickBurns: +1 for your input. I preferred your more succinct syntax. Would have accepted that as an answer. |
|
Jan 3 |
comment |
How to 'calibrate' simple pricing models for equity index options and equity options? Hi Tal, thanks for your feedback. I will use it as a starting point for any subsequent investigation. |
|
Jan 2 |
comment |
How to 'calibrate' simple pricing models for equity index options and equity options? @TalFishman: The (historic) 'fair' bid/ask values differ from the (historic) actually "firm" quotes - in terms of price. For now, I am not concerned WHY there is a difference between the theoretical value and the "firm quotes" (I'll leave the academics to worry about the WHY). Regarding your last question - you may have misinterpreted my question. I have no views (one way or the other) on the historical data. All I want to do at this stage, is to be able to compute the 'missing' fair value bid/ask prices for strikes which don't have this data, using the inputs I outlined in my question. |
|
Dec 1 |
comment |
How would I value a perpetual bond with an embedded option? I agree with this answer intuitively - although I must admit that I don't exactly understand your answer. My understanding of your answer is that the instrument should be valued as a perpetual bond (with an embedded option) and recorded at Notional value $X (is my understanding correct?). If yes, then it seems that the instrument I described is really, a callable "perpetual" bond?. It is still not clear to me how to price the instrument - could you please be more explicit?. Its been a while since I did any FM/pricing stuff so please bear with me being slow .. |
