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by joeyk
October 22nd, 2009, 9:55 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are the stupidest things people have said about risk neutrality?
Replies: 40
Views: 88425

What are the stupidest things people have said about risk neutrality?

Re the topic of this FAQ, I have heard:"Risk Neutral pricing underprice options because risk free rate is definitely lower than expected returns.""The BS formula and the dynamic hedging ensures that at every moment your portfolio has no risk"
by joeyk
April 8th, 2009, 9:59 am
Forum: General Forum
Topic: AUD swaption volatilities underlying
Replies: 3
Views: 42164

AUD swaption volatilities underlying

<t>Hi,In general, if I need to use swaption volatilities for calibration of an interest rate model, and my yield curves are bootstrapped using the most liquid swap rates, which, in AUD case would be BBSW3M vs. Fixed, I believe it is best to preserve the consistency at least in the underlying swap wh...
by joeyk
April 8th, 2009, 7:00 am
Forum: General Forum
Topic: AUD swaption volatilities underlying
Replies: 3
Views: 42164

AUD swaption volatilities underlying

<t>Hi,Does anybody know what is the underlying AUD swap of a AUD swaption on Bloomberg? The AUD swap rates on Bloomberg for 1-3 years are quoted quarterly with actual/365 daycount convention, while the 4-30 years are quoted semi-annually. In the market, the most liquid 1Y AUD swap has fixed quarterl...
by joeyk
October 17th, 2008, 4:28 am
Forum: Student Forum
Topic: Basis risks of hedging using futures
Replies: 1
Views: 47675

Basis risks of hedging using futures

<t>Hi,If I wrote an option on an equity index and I delta-hedge using futures, but the changes in the futures prices are very different from the changes in the spot prices day over day (ie. delta of spot vs. futures is not close to 1) which gives me basis risks.1) How does this impact the daily P&am...
by joeyk
April 21st, 2008, 8:59 am
Forum: Student Forum
Topic: Measuring Historical volatility
Replies: 4
Views: 56120

Measuring Historical volatility

It's alright if the time series is long enough.
by joeyk
April 21st, 2008, 8:49 am
Forum: Student Forum
Topic: Risk-adjusted vs. Real-world Evolution
Replies: 0
Views: 55236

Risk-adjusted vs. Real-world Evolution

<t>I have read numerous articles on hedging and risk management that says one should use real-world evolution to evaluate hedge effectiveness of minimum guaranteed insurance contracts, which is essentially a put option sold to policyholders. If the pricing of the premium is based on risk-neutral pri...
by joeyk
June 28th, 2007, 12:43 am
Forum: Technical Forum
Topic: Multifactor Basket Option
Replies: 0
Views: 69568

Multifactor Basket Option

<t>Hi,Suppose I have sold an put option on a basket of stocks that listed on different indices, but very illiquid.Assume that I am able to replicate an underlying basket returns via robust regression using several risk factors such as returns on the equity futures on the different indices. Is there ...
by joeyk
June 27th, 2007, 8:23 am
Forum: Student Forum
Topic: equity statistical arbitrage and quantitative trading
Replies: 3
Views: 70510

equity statistical arbitrage and quantitative trading

Terms to look out for: cointegration, commodity prices (ie. Jump processes) and China.
by joeyk
June 27th, 2007, 8:21 am
Forum: Student Forum
Topic: Multifactor Basket Option
Replies: 0
Views: 69405

Multifactor Basket Option

<t>Hi,Suppose I have sold an option on a basket of stocks listed on different indices.Assume that I am able to replicate an underlying basket return via robust regression using several risk factors such as returns on the equity futures on the different indices. Is there a direct linkage between the ...
by joeyk
May 30th, 2007, 2:25 pm
Forum: The Quantitative Finance FAQs Project
Topic: Mathematica vs Matlab vs Maple, discuss
Replies: 81
Views: 225426

Mathematica vs Matlab vs Maple, discuss

For Quant Finance purposes though, such as visualizing the greeks of an exotic option that has no analytic solution available, how does Mathematica compares to Matlab in terms of:- speed?- learning curve for a non C++ programmer?
by joeyk
April 11th, 2007, 7:09 am
Forum: Student Forum
Topic: factor loading
Replies: 7
Views: 129080

factor loading

Hi Aaron,Would you please kindly elaborate on why you do not recommend this method?Thanks,J
by joeyk
January 12th, 2006, 11:57 pm
Forum: Careers Forum
Topic: Equities or Credit or Fixed Income Markets in the next 5 years
Replies: 0
Views: 122766

Equities or Credit or Fixed Income Markets in the next 5 years

<t>Hi,Which Capital Market, do you think, will employ more people in the various areas such as Trade Execution, Sales, Middle office and Research for the next 5 years? By geographic location, the equity and equity derivatives markets are booming in Asia in all areas. Credit seems to be mainly from L...
by joeyk
February 11th, 2005, 5:26 pm
Forum: Careers Forum
Topic: Online Aplication Question
Replies: 7
Views: 160544

Online Aplication Question

They almost NEVER reply! Unless you actually talk to someone of authority (NOT HR) during a career conference, otherwise I found applying online to US IB just a waste of time. I got replies and talked to real people from some banks based in London tho.
by joeyk
August 9th, 2004, 7:29 pm
Forum: Careers Forum
Topic: H-share VS Red-chip?
Replies: 1
Views: 178805

H-share VS Red-chip?

Are you referring to the shares traded in China? I think I have read about them on the Far East Economic Review. Try to look up for the proper definition there.
by joeyk
July 22nd, 2004, 4:14 pm
Forum: Student Forum
Topic: Matrix Math Question re: Variance Covariance Matrix
Replies: 0
Views: 180823

Matrix Math Question re: Variance Covariance Matrix

<t>The factor-based Portfolio Expected Risks:C = X*F*X' + Ewhere C is an nxn matrix of asset return covariances, F is an mxm matrix of factor return covariances, X is nxm matrix of of factor loadings and E is nxn matrix of the specific return convariances. Consider m << n.I am trying to create chara...
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