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Jan
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Oct
30
comment how do we know if the volatility which is quoted in market is Normal (Bachelier model) or log normal (Black 76)?
The fact that those values are missing is just a Bloomberg / "BVOL" issue. Although liquidity in EUR is poor in general, all of those points are published by the usual brokers like ICAP and do indeed trade (0% and negative strike Euribor floor options -- same as listed Euribor options with 100.00 strike and higher -- as do short expiry options on 1y and 2y swap). There has been a lot of demand for ~ 0% Euribor volatility, understandably, from corporates locking in financing at low levels with options, and from the hedging of implicit 0% floors in collateral agreements and structured notes.
Oct
29
answered how do we know if the volatility which is quoted in market is Normal (Bachelier model) or log normal (Black 76)?
Oct
27
awarded  Yearling
Oct
27
comment Delta Hedging with fixed Implied Volatility or floating Implied Volatility?
Almost, in the model the expected P&L at maturity is very, very close with different vols used. The max/min, and standard deviation of profits will vary, though (higher vol used, higher max profit). Key practical differences are the P&L profiles of mark-to-market vs. mark-to-model until expiry, and of course the non-continuity of hedging and returns in the real world. A very nice, succinct paper is "Which Free Lunch Would You Like Today, Sir?: Delta Hedging, Volatility Arbitrage and Optimal Portfolios" by Ahmad and Wilmott. It has great detail on returns with different hedging vols.
Oct
26
answered Delta Hedging with fixed Implied Volatility or floating Implied Volatility?
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answered Comparing Returns on a Sector Basis
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answered What does it mean to modify the factor loadings of a credit risk model?
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answered How to limit the nbr of cross-gamma calculations in a delta-gamma VaR calculation?
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answered How are distributions for tail risk measures estimated in practice?
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Feb
8
comment Black-Equivalent Volatility
Depending on the context, I think this might mean the same thing as "Black Implied Volatility." The Black Model is to FX Options, Caplets, etc as Black Scholes is to Equity Options. So Black-Equivalent Volatility is likely the volatility that, if using the closed form Black model pricing formula, gives the same price as the market.
Feb
8
answered Wealth Management Vs Asset Management