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by boulala666
April 5th, 2015, 8:32 am
Forum: Student Forum
Topic: Why do FX markets quote FX Plain Vanillas as volatility vs delta?
Replies: 2
Views: 2545

Why do FX markets quote FX Plain Vanillas as volatility vs delta?

but why is it more stable? the delta vol may stay the same but the strike vol will probably move? do you have a little more detailed explanation?sorry I am a very noob in fx options :D
by boulala666
April 4th, 2015, 9:46 pm
Forum: Student Forum
Topic: Why do FX markets quote FX Plain Vanillas as volatility vs delta?
Replies: 2
Views: 2545

Why do FX markets quote FX Plain Vanillas as volatility vs delta?

Hey there,can someone explaint to my why FX options are quoted as volatility-delta pairs? I just know that stock options are quoted as strike-volatility pairs?why not the same in FX?And what is the longrun variance?regards boulala
by boulala666
March 31st, 2015, 8:53 pm
Forum: Student Forum
Topic: How to explain a rising sum of squared errors?
Replies: 1
Views: 2453

How to explain a rising sum of squared errors?

<t>Hi there,I calibrated my Heston model for the year 2014 for EURUSD. As I can see the sum of squared errors is rising with time. For example the SSE in december is about 3 times larger than in january.I use Nelder-Mead's method (fminsearch in matlab as local minimizer) to minimize the error betwee...
by boulala666
March 31st, 2015, 8:43 am
Forum: Student Forum
Topic: Normal Vs Lognormal volatility market quotes
Replies: 3
Views: 4051

Normal Vs Lognormal volatility market quotes

Is it possible to get EURUSD volatility free from the internet? Anyone got a source? Searching for vols from 2014.
by boulala666
March 24th, 2015, 8:05 pm
Forum: Student Forum
Topic: The Heston Model and a positive Rho? Possible?
Replies: 8
Views: 3147

The Heston Model and a positive Rho? Possible?

@JSHellen: that would be awesome. Another point: which interest rates would you use to calibrate Heston for EURUSD Vanillas??
by boulala666
March 23rd, 2015, 8:57 pm
Forum: Student Forum
Topic: The Heston Model and a positive Rho? Possible?
Replies: 8
Views: 3147

The Heston Model and a positive Rho? Possible?

@JSHellen: thanks for the very detailed answer. I will try my best to implement it :)
by boulala666
March 23rd, 2015, 2:38 pm
Forum: Student Forum
Topic: The Heston Model and a positive Rho? Possible?
Replies: 8
Views: 3147

The Heston Model and a positive Rho? Possible?

<r>Thank you both.@JSHellen: I have the Vol Surface for each day, but I calibrate each Maturity of the surface seperately. Do you mean I should do one calibration for each day including every maturity? Am I right?Yes I was thinking about a global calibration for the first day. But I have to write a ...
by boulala666
March 23rd, 2015, 10:07 am
Forum: Student Forum
Topic: The Heston Model and a positive Rho? Possible?
Replies: 8
Views: 3147

The Heston Model and a positive Rho? Possible?

<t>Hey there,I have calibrated my Heston Model to market volas for 261 trading days in 2014. The Underlying is the EURUSD, as interest rates I have use the Euro implicit rate and USD OIS. My issue now is, that for each single day my correlation is positive. Is that possible? I have never seen a pape...
by boulala666
March 21st, 2015, 12:06 pm
Forum: Student Forum
Topic: Risk Reversal and Butterfly in Forex Markets
Replies: 2
Views: 2787

Risk Reversal and Butterfly in Forex Markets

nice answer, very easy to understand. thanks!!!
by boulala666
March 20th, 2015, 7:43 am
Forum: Student Forum
Topic: Risk Reversal and Butterfly in Forex Markets
Replies: 2
Views: 2787

Risk Reversal and Butterfly in Forex Markets

Hi there,can someone explain to me why the Risk Reversal measure the Skew of the Smile Curve and why the Butterfly measure the Convexity of the Smile Curve?Thanks in advance. Regardsboulala
by boulala666
March 9th, 2015, 1:58 pm
Forum: Student Forum
Topic: Wehre can I get some FX options data from? Especially prices.
Replies: 2
Views: 2945

Wehre can I get some FX options data from? Especially prices.

<t>Hi there,is there any possibility to get some last year FX Option Prices with corresponding Strikes?Does anyone know a database? The only thing I have access to, is bloomber terminalg. But I dont know if it is possible to find there something (until now I havent found anything).The other thing is...
by boulala666
February 10th, 2015, 11:37 am
Forum: Student Forum
Topic: Heston Calibration Understanding Problem
Replies: 13
Views: 4440

Heston Calibration Understanding Problem

Is the same true for FX Options?
by boulala666
February 10th, 2015, 8:12 am
Forum: Student Forum
Topic: Heston Calibration Understanding Problem
Replies: 13
Views: 4440

Heston Calibration Understanding Problem

@bearish: now my brain is working into the right direction thanks. I think now i've got the point. Edit: has anyone an idea where I can get Market Optionprices from? I've got access to Bloomberg, can I get them there?
by boulala666
February 9th, 2015, 8:20 pm
Forum: Student Forum
Topic: Heston Calibration Understanding Problem
Replies: 13
Views: 4440

Heston Calibration Understanding Problem

<r>@Alan: sorry that i havent read your answer carefully enough <E>;)</E>@Orbit: Thanks for your answer and the nice examples. The thing I didnt understood was, that this calibration looked for me like a "circle". I'll try to explain it in more detail:I am using the Heston Model to calculate some MO...
by boulala666
February 9th, 2015, 4:11 pm
Forum: Student Forum
Topic: Heston Calibration Understanding Problem
Replies: 13
Views: 4440

Heston Calibration Understanding Problem

<t>Hi,thank you both for your answers. But the question a still have is: Where do I get the model implied Prices fro, to put them into this Calibration scheme? do I have to calculate some calls with the heston model with lets say some "initial guess" parameters, to put them into the calibration?I kn...
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