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| visits | member for | 5 months |
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| stats | profile views | 33 |
equity/index options trader; masters in financial engineering; masters in applied mathematics
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May 19 |
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When the Inverse Correlation between the SPX and VIX breaks down @Freddy, I meant this in the short term and you are right, it is very hard to profit from this in the long term. jessica, if you look at implied volatility of equities derivatives, it is actually quite different. you don't have some of the basic properties in index options such as skew decaying approximately at square root of t, as a function of time, implied volatility decaying square root of t, etc. that is because the chance of adverse selection in equity derivatives is much higher since there is a chance you will be trading with an insider. whereas index, hard to move it much at all |
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May 18 |
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When the Inverse Correlation between the SPX and VIX breaks down message too long, look at edited post |
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Mar 26 |
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How does the number of free dimensions of a model affect its required size of sample? en.wikipedia.org/wiki/Overfitting I do the above. I have a training sample, a validation sample, and an out of sample |
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Mar 15 |
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Theta's effect for OTM options sorry.. haven't had time yet.. at work |
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Mar 13 |
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main arbitrage & statistical arbitrage concepts I'll answer some questions if you tell me what your profile picture is a volatility smile of, why you are going flat vol, and why are you linearly interpolating :) |
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Jan 22 |
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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/…. |
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Jan 4 |
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BS and delta hedging questions interesting. did not know that even under stochastic vol bachelier and bs are that close |
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Jan 2 |
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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 |
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Jan 2 |
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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 |
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Dec 31 |
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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 |
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Dec 23 |
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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 ~$\frac{1}{\sqrt{t}}$ |
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Dec 23 |
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easy one step option replication please read the new answer below |
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Dec 23 |
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easy one step option replication The reason this is because, we can hedge out uncertainty by using the stock. |
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Dec 17 |
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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 |
