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seen May 1 at 21:18

equity/index options trader; masters in financial engineering; masters in applied mathematics


Jan
23
answered Typical coefficients uses in square-root model for market impact
Jan
22
comment What are the advantages/disadvantages of these approaches to deal with volatility surface?
We can compute the price of vix options using spanning formula from Peter Carr using Ito's Lemma (I will elaborate on this a later further later as it is trading hours). There are arbitrage free parameterization of the vol surface under all conditions that Jim Gatheral derived in SVI right here papers.ssrn.com/sol3/Delivery.cfm/….
Jan
14
answered What are the advantages/disadvantages of these approaches to deal with volatility surface?
Jan
13
answered Why is short term implied volatility typically higher?
Jan
4
comment BS and delta hedging questions
interesting. did not know that even under stochastic vol bachelier and bs are that close
Jan
2
comment BS and delta hedging questions
@Freddy, assume interest rates 0, dividend 0, then $value = SN(D1) - KN(D2) $ in geometric brownian motion. and S=K $value \approx S(N(0) + N'(0) * d1) - K(N(0) + N'(0) * d2)$ by 1st order taylor expansion $value \approx S(1/2 + \frac{\sigma\sqrt{T}}{2\sqrt{2\pi}})- K(1/2 - \frac{\sigma\sqrt{T}}{2\sqrt{2\pi}})$, since S=K $value \approx \frac{S\sigma\sqrt{T}}{\sqrt{2\pi}}$, since $1/\sqrt{2\pi} \approx 0.4$, $value \approx .4*S\sigma\sqrt{T}$. again, still gbm
Jan
2
comment BS and delta hedging questions
@Freddy, I am saying that for the .4*S*$\sigma * \sqrt{T}$, this derivation comes from B-S value of a call/put. if you assume 0 interest rates, you can taylor expand it and you will see this result and as you noted, B-S follows geometric brownian motion. so it should be the asset price follows geometric brownian motion
Dec
31
comment BS and delta hedging questions
actually, asset prices do not follow arithmetic brownian motion in .4 *S*$\sigma * \sqrt{T}$, it is still geometric brownian motion. just do a simple taylor expansion on B-S formula and you will see
Dec
27
answered What is the instantaneous P&L of a Variance Swap?
Dec
23
comment Trading a synthetic replication of the VVIX (volatility of VIX)
vix is mean reverting but vol of vol does not seem to be mean reverting. std is well known to decay at ~$\frac{1}{\sqrt{t}}$
Dec
23
answered Trading a synthetic replication of the VVIX (volatility of VIX)
Dec
23
awarded  Supporter
Dec
23
comment easy one step option replication
please read the new answer below
Dec
23
answered Trading a synthetic replication of the VIX index
Dec
23
answered easy one step option replication
Dec
23
comment easy one step option replication
The reason this is because, we can hedge out uncertainty by using the stock.
Dec
22
answered easy one step option replication
Dec
17
comment Kalman Filter Equity Example
a Kalman Filter is built into the Kyle-model. Implementing the settings for the kyle model will give you a great example of how some market makers actually trade as well as some intuition of real financial markets using kalman filter
Dec
15
awarded  Teacher
Dec
15
answered How to improve the Black-Scholes framework?