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by Forde
November 7th, 2007, 7:19 pm
Forum: Technical Forum
Topic: SPX index options: SXM LE-E and SQP LE-E
Replies: 3
Views: 63211

SPX index options: SXM LE-E and SQP LE-E

<t>thx v much, so the option labelled 07 Dec 1515.00 (SXM LC-E)has nothing to do with the 7th Dec?this is the list I have, do u know what the other codes refer to?-Best Wishes,M07 Dec 1515.00 (SXM LC-E)07 Dec 1520.00 (SXM LD-E)07 Dec 1525.00 (SXM LE-E)07 Dec 1530.00 (SXM LF-E)07 Dec 1250.00 (SZQ LJ-...
by Forde
November 7th, 2007, 12:38 am
Forum: Technical Forum
Topic: SPX index options: SXM LE-E and SQP LE-E
Replies: 3
Views: 63211

SPX index options: SXM LE-E and SQP LE-E

<r>ok im looking at SPX option chains on <URL url="http://www.CBOE.comand">www.CBOE.comand</URL> e.g. there's 2 different 07 Dec 1525 calls, one with code (SXM LE-E) and another with code SQP LE-E, which is more expensive.is the latter an American option, or do these symbols represent different exch...
by Forde
November 5th, 2007, 11:33 pm
Forum: Technical Forum
Topic: Short maturity option data for Equity Index
Replies: 4
Views: 64760

Short maturity option data for Equity Index

can anyone tell me what interest rate and dividend to use for valuing SPX options expiring on 7th Dec 07?Thx
by Forde
November 3rd, 2007, 11:57 pm
Forum: Technical Forum
Topic: Short maturity option data for Equity Index
Replies: 4
Views: 64760

Short maturity option data for Equity Index

same question again
by Forde
October 2nd, 2007, 11:33 pm
Forum: Technical Forum
Topic: Short maturity option data for Equity Index
Replies: 4
Views: 64760

Short maturity option data for Equity Index

does anyone have any current short-maturity implied vol/option prices for one the important Equity indices?preferably not SO short maturity that the data is corrupted by market imperfections or huge spreads?
by Forde
September 14th, 2007, 7:30 pm
Forum: Technical Forum
Topic: Actuarial question
Replies: 7
Views: 66319

Actuarial question

thx guys, appreciate that
by Forde
September 12th, 2007, 11:09 pm
Forum: Technical Forum
Topic: Actuarial question
Replies: 7
Views: 66319

Actuarial question

can any really smart person tell me how to prove that(1+i/x)^x is monotonic in x?
by Forde
April 30th, 2007, 8:14 pm
Forum: Technical Forum
Topic: Recent pioneering work of Alan Lewis
Replies: 2
Views: 73585

Recent pioneering work of Alan Lewis

<r>I'd encourage everyone on here to check out <URL url="http://www.optioncity.net/pubs/UCSB2007Talk.pdf.Obtains">http://www.optioncity.net/pubs/UCSB2007Talk.pdf.Obtains</URL> small-time asymptotics for arbitrary stochastic volatility models using a tranversality condition.Also, just to say, this st...
by Forde
December 19th, 2006, 7:25 am
Forum: Technical Forum
Topic: Baksi Cao Chen
Replies: 2
Views: 84787

Baksi Cao Chen

does anyone have a scan of their 97 paper on stoc vol models?Thx
by Forde
December 18th, 2006, 12:49 pm
Forum: Technical Forum
Topic: P. Balland's Stochastic Implied Model
Replies: 3
Views: 85099

P. Balland's Stochastic Implied Model

From the applied, "how-to-do" perspectivecheck out the UCSB talk on my website, and Alan Lewis' forthcoming book.Balland's talk was what prompted us to look into this stuff
by Forde
December 18th, 2006, 12:47 pm
Forum: Technical Forum
Topic: pointwise =>uniform convergence
Replies: 1
Views: 84366

pointwise =>uniform convergence

Hi, any help on why the dissection argument helps here appreciated.How do we know N(epsilon) doesn't depend on t?
by Forde
November 17th, 2006, 2:58 am
Forum: Technical Forum
Topic: approximate price of variance swap from implied vols
Replies: 13
Views: 95342

approximate price of variance swap from implied vols

this is interesting as well - model indept. upper and lower bounds for variance callshttp://www.math.uchicago.edu/~rl/vocs4.pdf
by Forde
November 17th, 2006, 2:56 am
Forum: Technical Forum
Topic: approximate price of variance swap from implied vols
Replies: 13
Views: 95342

approximate price of variance swap from implied vols

it's all in herehttp://finance.eller.arizona.edu/documents/seminars/2004-5/PCarr.Bifrost03-05.pdf
by Forde
November 13th, 2006, 6:52 pm
Forum: Technical Forum
Topic: Tensor products
Replies: 5
Views: 89091

Tensor products

<t>Hi, sorry a dry theoretical question for anyone who's good with tensor products + differential geometry:let V be a vector space, and let V_k denote the k-fold tensor product of V.Let C(V) be the subalgebra of tensors given by sum_{k=0^infty} V_kand I(V) be the subset of C(V) generated by elements...
by Forde
October 12th, 2006, 8:35 pm
Forum: Technical Forum
Topic: replicate american options with european ones
Replies: 17
Views: 92534

replicate american options with european ones

try "Alternative Characterizations of American Put Options" by Peter Carr, Robert Jarrow, and Ravi MyneniMathematical Finance, April 1992, Volume 2, Issue 4
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