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 Oct 2 comment derivation of the hedging error in a black scholes setup cool, many thanks! I have to wait 24 hours to award the bounty. If I forget, pls ping me here and I will do so. Oct 2 accepted derivation of the hedging error in a black scholes setup Sep 30 asked derivation of the hedging error in a black scholes setup Aug 18 comment How to calibrate a volatility surface using SVI Thanks for your answer of question 1). Whast do you mean by scaleless? Aug 16 comment How to calibrate a volatility surface using SVI @Farahvartish Thanks for the link. I already checked that question and the code in the answer as well. As you can see, I already posted there a comment. However, in the mean time additional question came up and I thought its better to split it and post a complete new question. Aug 16 asked How to calibrate a volatility surface using SVI Aug 15 comment Local volatility SVI parametrization May I ask you a small question about your code? When you fit the whole surface (SSVI), why are you recalibrate the slice afterwards? according to ( arxiv.org/pdf/1204.0646.pdf ) you chould choose $\phi (\theta) = \frac{\eta}{\theta^\gamma(1+\theta)^{1-\gamma}}$, eq 4.5 on page 17. Given the constraint should result in a complete free of static arbitrage surface, or am I missing someting? Aug 5 comment Greeks of a swaption using Brigo I will reward the bounty tm. On the app there isnt a button to reward it. Many thanks for your patience and explanations. This was very helpful. Aug 5 comment Greeks of a swaption using Brigo Very interesting. I thought it was by purpose to use the black 76 because of future payoffs like in a future case. About the different definition: thats maybe the most confusing part in FI. There are alot of slightly different definition of similar things, eg duration etc. That makes it at the beginning much more confusing than the equity casr Aug 5 accepted Greeks of a swaption using Brigo Aug 5 comment Greeks of a swaption using Brigo maybe my last comment was not that clear. A swaption is like a call on a future, isn't it? That's the reason why uses the Black 76 formula for quoting. Therefore, in the equity world (call on a future) your delta is $\beta N(d_1)$ since your underlying is tradable. You have the discount factor in front. However, taking in FI the derivative wrt to the underlying $A_{\alpha,\beta}$ cancels the discount (annuity) part, which seems counter intuitive. That was my question in the last comment Aug 5 comment Greeks of a swaption using Brigo thanks gordon. I really like the paper! Maybe one last question. In the equity case, i.e. call on a future $F$: $C=\beta(t)E_Q[\frac{1}{\beta(T)}(F-K)^+|\mathcal{F}_t]$. Using Black 76 we see that the forward delta, $\frac{dC}{dF} = \frac{1}{\beta(t)}N(d_1)$. $F$ is the underlying and can be traded. Why do we have there a discounting factor? It seems to me, one can't really make a linke between equity and the FI case. Aug 4 comment Greeks of a swaption using Brigo Many thanks Gordon! Its much clearer now. Aug 4 comment Greeks of a swaption using Brigo thanks a lot for your explanation and the link. What would be interesting to know why exactly $A_{\alpha,\beta}$ is considered to measure the change. Sure it is a tradable asset, but the connection to the swaption / swap is not fully clear yet (to me). For example, a swap can also be decomposed into FRA's contracts which are tradable asset. I'm new to these things and still lacking of the intuition. Thanks for your help and the pdf. Aug 3 revised Greeks of a swaption using Brigo edited title Aug 3 comment Greeks of a swaption using Brigo @GabrielePompa exactly, In equities you have a bound of the delta. Why can it exceed 1? Aug 2 comment Greeks of a swaption using Brigo @AlexC Yes, I mean D.Brigo and his famous text book Aug 2 comment Greeks of a swaption using Brigo @GabrielePompa Hi, I added an example. I hope it is clear now. Aug 2 revised Greeks of a swaption using Brigo added 531 characters in body Jul 29 asked Greeks of a swaption using Brigo