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| bio | website | |
|---|---|---|
| location | Tokyo, Japan | |
| age | ||
| visits | member for | 1 year, 2 months |
| seen | 37 mins ago | |
| stats | profile views | 597 |
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May 7 |
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Relationship between European, American options volatility define "monotone in volatility" please. Do you mean volatility being deterministic? |
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May 2 |
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Call vs. Put Option Sorry I just commented above while you purged. I wanted to explain my rational for the downvote. |
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May 2 |
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Call vs. Put Option I downvoted for the following reasons: You did not answer either question, instead you claimed other answers are incorrect without the slightest reasoning why. Then you claimed the answer can only be found through conditional probabilities. Not only did you not show at all how your conditional probability solution looks like but it is factually wrong that the question can only be answered through conditional probabilities. Your links did not support your answer other than tossing in wikis and academic papers. What can I say, I simply think most of your answer is taken from other posts. Sorry. |
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Apr 30 |
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Call vs. Put Option By the way I made the statement about not needing to make any distributional assumption in regards to your very specific case and question. |
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Apr 30 |
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Call vs. Put Option Nice attitude towards those that tried to help you and that may be many years of professional work experience senior to you. |
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Apr 30 |
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Call vs. Put Option Put Call Parity is both intuitive and mathematical, two ATM options are not subject to skew nor distributional assumptions of the underlying. If that is not intuitive then I do not recommend considering a career in options |
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Apr 30 |
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Call vs. Put Option SRKX, thanks a thousand for the edit and apologies |
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Apr 28 |
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Volatility of a rolling window strategy I am still not sure I understand correctly: Why would the generated returns and their variations be impacted by different approaches to analyze such returns and their variations? Your risk/return profile is strictly a function of your model specification and changing market dynamics. I do not see any advantage in changing your strategy risk-return profile generation process. I would rather look at different risk/return windows and look at the stability of risk/return between such risk/return clusters. |
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Apr 28 |
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Volatility of a rolling window strategy what do you try to accomplish? I am not sure from your question what you are asking or where you try to get to. Is this to evaluate the risk profile of a strategy or is this in order to test for the stability of strategy parameterization? |
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Apr 26 |
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Convexity adjustment for a forward swap rate good point made at the end, indeed the question may actually be about swap futures. |
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Apr 26 |
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Convexity adjustment for a forward swap rate Sorry, I was very vague and it was probably misleading. Convexity adjustments still have to be made but its more during the libor forward curve built-out (off the euro$ futures). Thanks for pointing that out. Will edit my answer. |
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Apr 24 |
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Trading days or calendar days for Black-Scholes parameters? you want to be consistent. Whatever annualization factor you use, apply it across all inputs equally. There is no recipe for BS which exact trading day adjustment to apply. BS is a framework with inputs left to its user. You are to decide which inputs to feed into BS. |
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Apr 21 |
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Option vs Equity market-making strategies? Could it be that you are asking for a bit much? I would be hard-pressed to believe anyone here is willing to surrender their working strategies. Maybe you could rephrase your question and ask specific questions about a specific asset class. Options and cash equity market making strategies could not be more different. |
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Apr 19 |
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how do you evaluate an FX market aggregator? Agree with that point and yes admittedly FXAll is still in its infancy vs. Reuters and ebs. |
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Apr 19 |
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how do you evaluate an FX market aggregator? That is something I can for sure confirm to be incorrect. Almost always does one get much better liquidity at better prices from ECNs such as Ebs or FxAll or reuters than from an individual bank. I can give you 5 or more reasons why that is the case but I do not see a single reason in support for your case. No single bank will be able to offer 100mil upwards at as competitive prices as a mature and well connected ECN. |
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Apr 18 |
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Resources for finding scholarly research on topics in quantitative finance? type "quant finance papers" in google and you get a host of archives. It could not be easier |
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Apr 18 |
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Resources for finding scholarly research on topics in quantitative finance? that is MY definitive answer, yes. There are archives as you yourself pointed out, but there are at least a dozen such archives, not a centralized one. |
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Apr 18 |
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Resources for finding scholarly research on topics in quantitative finance? There are no centralized resource store. This is exactly what this site is for (among others): You have an idea, look for research performed in regards to your idea, and either google or search on sites like this. All research is scattered around the web and either you find it all yourself or you rely on friendly chaps who already dug it up for you. |
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Apr 18 |
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how do you evaluate an FX market aggregator? I would first consider trading through an ECN before potentially shelling out tens of thousands of dollars for an in-house aggregation solution. FXALL, for example, has deep liquidity and shows very good pricing. Before long I would expect a lot of consolidation in the fx aggregation market, so players such as FXALL will only get bigger nor smaller. You will hardly see better prices at current than what you see at FxAll. I am not affiliated with them but find what they offer very convincing. |
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Apr 17 |
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Can Central Index Keys (CIKs) issued by the SEC be reassigned? how is this related to quantitative finance? |
