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by billyx524
January 22nd, 2023, 7:27 pm
Forum: Technical Forum
Topic: Simulation Path Number in Mortgage Price/OAS
Replies: 2
Views: 3692

Simulation Path Number in Mortgage Price/OAS

Hi,

Does anybody know why in mortgage price/oas calculation, the industry standard is to use a very low number of simulation paths, only between 300-500, as opposed to 10000-100000?

Thanks!
by billyx524
March 17th, 2022, 12:25 am
Forum: Careers Forum
Topic: Trading Interview Question
Replies: 0
Views: 7300

Trading Interview Question

Hi,

I recently interivewed for a electronic trading role, and I was asked knowing the most recent transacted price in the market, how to adjust our quotes to optimize hit ratio.

Can anyone recommend books on this topic?
by billyx524
February 6th, 2021, 7:29 am
Forum: Careers Forum
Topic: What to say during interviews
Replies: 2
Views: 5469

What to say during interviews

Hi,

I am a sell side quant looking to transfer into trading. I am wondering if it is a good idea during interviews to say that I am looking for a "risk taking job". Would it be better to say this during interview for a hedge fund, as opposed to sell side trader roles?

Thanks!
by billyx524
January 22nd, 2020, 3:01 am
Forum: Technical Forum
Topic: dumb question
Replies: 2
Views: 6159

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.
by billyx524
January 22nd, 2020, 2:13 am
Forum: Technical Forum
Topic: dumb question
Replies: 2
Views: 6159

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...
by billyx524
January 21st, 2020, 6:44 am
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 7854

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?
by billyx524
January 21st, 2020, 2:11 am
Forum: Technical Forum
Topic: option delta
Replies: 13
Views: 9413

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
by billyx524
January 21st, 2020, 12:10 am
Forum: Technical Forum
Topic: option delta
Replies: 13
Views: 9413

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
by billyx524
January 20th, 2020, 11:45 pm
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 7854

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...
by billyx524
January 19th, 2020, 2:23 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 7951

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...
by billyx524
January 19th, 2020, 1:17 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 7951

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?
by billyx524
January 19th, 2020, 1:17 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 7951

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.
by billyx524
January 19th, 2020, 1:16 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 7951

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 :(
by billyx524
January 18th, 2020, 5:50 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 7951

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
by billyx524
January 18th, 2020, 5:20 am
Forum: Technical Forum
Topic: SABR backbone
Replies: 1
Views: 6244

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?