SERVING THE QUANTITATIVE FINANCE COMMUNITY

## Search found 45 matches

January 22nd, 2020, 3:01 am
Forum: Technical Forum
Topic: dumb question
Replies: 2
Views: 2916

### Re: dumb question

So is put call parity really obeyed in real financial markets?  I mean in C+ PV(X) = P + S, we need a risk free rate.  But the lending rate would be different for different market particpants.
January 22nd, 2020, 2:13 am
Forum: Technical Forum
Topic: dumb question
Replies: 2
Views: 2916

### dumb question

Hi, This might be a dumb question but I find myself questioning a lot of things I either took for granted or overlooked in the past in recent days. We know put call parity is obeyed in Black Scholes pricing model, but what is the condition/reason in the black scholes model that gurantees put call pa...
January 21st, 2020, 6:44 am
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 3976

### Re: how exactly do traders determine prices

let's say for a bermudan swaption priced under hull-white model.  what would be the difference between the quote price given to the client and the model's theoretical price?
January 21st, 2020, 2:11 am
Forum: Technical Forum
Topic: option delta
Replies: 13
Views: 5126

### Re: option delta

Thanks a lot.  The deeper I go into models, the more I ask myself, "how do we know our models derivations/results" are correct.  Sometimes getting confused between real financial markets and mathematical models
January 21st, 2020, 12:10 am
Forum: Technical Forum
Topic: option delta
Replies: 13
Views: 5126

### option delta

Hi,

Does anyone know a no-arbitrage proof that call option delta has to be between 0 and 1?  We know that Black Scholes model N(d1) tells us that it is between 0 and 1, but is there a no-arbitrage argument?

Thanks
January 20th, 2020, 11:45 pm
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 3976

### how exactly do traders determine prices

Hi, I have a question on how exactly do traders determine their price quotes.  let's say a clients comes to the trader, and asks for a price on an exotic instrument.  the trader goes to his quant, and asks for a theoretical/model price.  but then how does the trader determine what final price to giv...
January 19th, 2020, 2:23 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 3762

### Re: All Power to PRDC Notes

Yes. I'm not claiming that we were particularly efficient, but we had a big stack of machines working on pricing and (arguably more importantly) risk numbers for them.  Was this for front office pricing or risk management (i.e. PFE purposes).  If it is for FO valuation, how many did you have on you...
January 19th, 2020, 1:17 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 3762

### Re: All Power to PRDC Notes

Hmm, I don't, but I worked with Jason at the time. Our rule of thumb was that we needed to buy one more computer for every other PRDC he sold.
What do you mean?  Because of the computation resources required to price them?
January 19th, 2020, 1:17 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 3762

### Re: All Power to PRDC Notes

Hmm, I don't, but I worked with Jason at the time. Our rule of thumb was that we needed to buy one more computer for every other PRDC he sold.
I reached out to him at JP Morgan, but unfortunately he does not have a copy anymore either.
January 19th, 2020, 1:16 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 3762

### Re: All Power to PRDC Notes

Register for a free trial of Risk.net and you can read that paper.
https://www.risk.net/derivatives/1526705/all-power-prdc-notes
Unfortunately I already used my free trial
January 18th, 2020, 5:50 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 3762

### All Power to PRDC Notes

Hi,

Does anyone have a copy of "All Power to PRDC Notes" published in 2002 by Jason Sippel and Shoichi Ohkoshi?

Thanks
January 18th, 2020, 5:20 am
Forum: Technical Forum
Topic: SABR backbone
Replies: 1
Views: 3005

### SABR backbone

Hi,

I understand the SABR backbone is the ATM volatility as a function of the forward rate, but can someone explain to me what is the significance of this backbone term?
January 15th, 2020, 5:41 am
Forum: Careers Forum
Topic: Risk Quant trying to switch into front office / trading
Replies: 1
Views: 4103

### Risk Quant trying to switch into front office / trading

Hi Everyone, I have worked in market risk and counterparty risk for more than 7 years now, most of which is in interest rate modeling.  I have been trying to switch into the rates front office side for a number of years now, but have had so much bad luck in the process.  It is been very frustrating....
September 4th, 2019, 1:40 am
Forum: Student Forum
Topic: Interview Question
Replies: 2
Views: 9695

### Interview Question

Hello,

Suppose we hold some stocks, and we want to add some treasuries in our portfolio.  Would it be better to add very long duration treasuries or a levered position in short duration treasuries?

Thanks
August 2nd, 2019, 10:13 pm
Forum: Student Forum