SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by overkill112358
April 26th, 2017, 9:07 pm
Forum: Trading Forum
Topic: FVA pricing at inception + dynamic replication
Replies: 2
Views: 1339

Re: FVA pricing at inception + dynamic replication

I assume we are talking rates FVA. You can hedge part of FVA through a vol triangle (swaptions) or through swaption vs midcurve. Part is because FVA has exposure to forward vol, while those hedges are spot vol sensitive, but it's the best you can do in vanilla space. Otherwise there is not much in t...
by overkill112358
April 25th, 2017, 9:32 pm
Forum: Trading Forum
Topic: Conventions in EUR and GBP Interest Rate Swaps
Replies: 3
Views: 1398

Re: Conventions in EUR and GBP Interest Rate Swaps

GBP Market conventions for swaps and cash settled swaptions are: 0b settlement 1y tenor: annual fixed payment vs quarterly 3m libor floating payments 2y+ tenor: semi annual fixed payments vs semi annual 6m libor floating payments. Basis ACT365 in both cases for both fixed and floating legs. EUR Mark...
by overkill112358
April 5th, 2017, 8:03 pm
Forum: Technical Forum
Topic: Mixing SABR (Antonov 2015)
Replies: 1
Views: 748

Re: Mixing SABR (Antonov 2015)

Anyone with a view on this?
by overkill112358
March 28th, 2017, 1:32 am
Forum: Technical Forum
Topic: Mixing SABR (Antonov 2015)
Replies: 1
Views: 748

Mixing SABR (Antonov 2015)

Hello,   I wanted to have your thoughts on the practical usefulness of the Mixing SABR approach by Antonov et al: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2653682   Maybe you know of some banks using this method? But while I think that their approach is mathematically nice, in my view the...
by overkill112358
April 27th, 2016, 7:43 pm
Forum: Technical Forum
Topic: Interpolation of shift values for shifted EUR swaption vol?
Replies: 3
Views: 1163

Interpolation of shift values for shifted EUR swaption vol?

I'd use linear interpolation in shift or convert into equivalent normal vols in the first place and interpolate those. I think ICAP must be showing normal vols as well when it shows shifted lognormal ones.
by overkill112358
October 29th, 2015, 9:11 pm
Forum: Student Forum
Topic: How to plot graphs in Matlab
Replies: 9
Views: 2512

How to plot graphs in Matlab

try writing your question in google
by overkill112358
October 19th, 2015, 8:52 pm
Forum: Careers Forum
Topic: IR/FX Valuations Controller - What will I actually be doing?
Replies: 9
Views: 3606

IR/FX Valuations Controller - What will I actually be doing?

I think everyone has a different interpretation of "better". E.g., if your goal is to move to FO and you can't get a FO quant role straight away, I would recommend moving to MV as an interim step.
by overkill112358
October 18th, 2015, 8:08 pm
Forum: Careers Forum
Topic: IR/FX Valuations Controller - What will I actually be doing?
Replies: 9
Views: 3606

IR/FX Valuations Controller - What will I actually be doing?

<t>One of the jobs you will be doing is using FO's library and calibrated vols/curves/correlations to reprice vanilla and slightly exotic instruments quoted in the market making sure those vols are not too far from the market. You probably won't be implementing stuff or doing research but you'll hav...
by overkill112358
July 31st, 2015, 8:04 pm
Forum: Careers Forum
Topic: Which banks has the best/most interesting model validation work?
Replies: 9
Views: 5338

Which banks has the best/most interesting model validation work?

<t>I'd say Tier II banks have more interesting MV work. In major banks, the amount of stuff to validate is too big for MV to have time to do independent C++ implementations or some alternative research. They are mostly running Excel spread sheets with risks and doing sanity checks using FO library i...
by overkill112358
July 13th, 2015, 7:58 pm
Forum: General Forum
Topic: Quasi-Guassian Model or Libor Market Model
Replies: 22
Views: 7335

Quasi-Guassian Model or Libor Market Model

What would you use for a callable range accrual with a range on on a cms spread?
by overkill112358
March 28th, 2015, 10:21 am
Forum: Student Forum
Topic: Normal Vs Lognormal volatility market quotes
Replies: 3
Views: 4051

Normal Vs Lognormal volatility market quotes

<t>It depends on the market. If the underlying cannot become negative, then the vols are quoted lognormally. In IR you can see both quotations normal and "lognormal", where instead of lognormal vols you might see shifted-lognormal vols with a shift provided as well. This is due to negative rates e.g...
by overkill112358
March 8th, 2015, 4:31 pm
Forum: Technical Forum
Topic: Equivalence of Closed-Form Density and Eigenfunction Representation of Density
Replies: 9
Views: 3781

Equivalence of Closed-Form Density and Eigenfunction Representation of Density

<t>You can write the transition density function as an infinite sum over some family of orthogonal polynomials. These polynomials are the eigenfunctions of the infinitesimal generator of your particular diffusion. So say you have a Vasicek model. Then, the associated orthogonal polynomials are (mayb...
by overkill112358
February 27th, 2015, 7:49 pm
Forum: Careers Forum
Topic: Leave or Stay
Replies: 35
Views: 10517

Leave or Stay

<t>Are there some typical values for the expectation/stdev of the transition time Associate->VP->D->MD? Clearly, the titles are not unique within banks, but you know what I mean. Would it be fair to say that one could expect to spend 2-3 years for the first transition, and 3-6 years for the second.....
by overkill112358
February 21st, 2015, 9:34 pm
Forum: Careers Forum
Topic: Leave or Stay
Replies: 35
Views: 10517

Leave or Stay

<t>QuoteOriginally posted by: bearishQuoteOriginally posted by: overkill112358I guess you ThinkDifferent and DevonFangs speak out of experience. If one is currently working in FO being paid no more than in a MV role, what's the point of stying unless one is trying to become a trader? I think it is n...
by overkill112358
February 21st, 2015, 5:08 pm
Forum: Careers Forum
Topic: Leave or Stay
Replies: 35
Views: 10517

Leave or Stay

<t>I guess you ThinkDifferent and DevonFangs speak out of experience. If one is currently working in FO being paid no more than in a MV role, what's the point of stying unless one is trying to become a trader? I think it is not a big secret that working in FO is tougher than in MV, its more time and...
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