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by Engy
May 21st, 2016, 4:03 am
Forum: Book And Research Paper Forum
Topic: Volatility books 2016
Replies: 62
Views: 9285

Volatility books 2016

Hi Alan,congratulations on finishing it!I just ordered it through amazon.co.uk
by Engy
April 15th, 2016, 4:30 am
Forum: Numerical Methods Forum
Topic: How to calibrate a linear regression model to forecast asset return?
Replies: 5
Views: 1509

How to calibrate a linear regression model to forecast asset return?

<t>QuoteOriginally posted by: AlanThere are approximately 30,000 RIA firms in the US alone, all supposedlytrying to do something similar. So, your first thought should be: what unique predictivefactors do I know about, or can at least test, that nobody else has tried? If the answer is 'none', why sh...
by Engy
March 26th, 2016, 5:42 am
Forum: Trading Forum
Topic: Does mean-variance allocation make sense in practice?
Replies: 6
Views: 1997

Does mean-variance allocation make sense in practice?

<t>>> I think the equal weighting strategy is practically more satisfactory.It is indeed very difficult to beat the equal weight strategy in this type of applications (I always recommend to use the equal weight as a benchmark). I would avoid using forecasted returns, unless you have a very good stat...
by Engy
March 8th, 2016, 6:48 pm
Forum: Technical Forum
Topic: SABR with mean reversion speed - approximations ?
Replies: 2
Views: 1767

SABR with mean reversion speed - approximations ?

<t>For the log-normal stochastic volatility model with the mean-reversion:d_sigma(t)=kappa*(theta-sigma(t))*dt+volvol*sigma(t)*dW(t)there exists a very accurate approximation for the moment generating function / characteristic function which can be then applied to value options. This method can be e...
by Engy
February 15th, 2016, 2:40 pm
Forum: Technical Forum
Topic: 3/2 stochastic vol model and linear growth condition
Replies: 15
Views: 2755

3/2 stochastic vol model and linear growth condition

For 3/2 stochastic vol, the volatility of the variance is V^(3/2) so it does not stisfy the linear growth condition. What are the implications? Any references?Thanks for any tips
by Engy
November 13th, 2015, 10:00 am
Forum: Book And Research Paper Forum
Topic: Volatility books 2016
Replies: 62
Views: 9285

Volatility books 2016

Hi AlanThe table of content for your second volume looks great. I can?t wait to read your book!It?s also nice that you included some of your previous papers ? it is handy to have them in one place
by Engy
October 11th, 2015, 11:23 am
Forum: Trading Forum
Topic: Optimal Hedging with Transaction Costs
Replies: 13
Views: 3960

Optimal Hedging with Transaction Costs

<t>Thank you for your feedback, crmorcom There are two main sources of risk-taking in the volatility:1) The flow in structured products. Profit margins in these products must include some premium to hedge first-order risks, including delta and vega risks. The risk limits may be tight here and the he...
by Engy
October 10th, 2015, 6:50 am
Forum: Trading Forum
Topic: Optimal Hedging with Transaction Costs
Replies: 13
Views: 3960

Optimal Hedging with Transaction Costs

<t>QuoteOriginally posted by: crmorcomThis is a fairly useful exercise, but is still simulated. Worth also looking at actual backtests - particularly because it looks like this paper has fixed vols and no vega effects, which are rather important.The paper provides analytical (approximate) formulas f...
by Engy
October 9th, 2015, 9:20 am
Forum: Trading Forum
Topic: Optimal Hedging with Transaction Costs
Replies: 13
Views: 3960

Optimal Hedging with Transaction Costs

<t>QuoteOriginally posted by: SteilermeierSo gut feel is assumed to easily beat some quantitative strategy? But still I would like to prove that. Isn't there any standard algorithm I could let race against the gut?One other idea would be to just try some rule based strategies in a backtesting and id...
by Engy
April 9th, 2015, 5:56 pm
Forum: Technical Forum
Topic: Common ways to price VIX Options
Replies: 31
Views: 12542

Common ways to price VIX Options

<r>QuoteOriginally posted by: GabrielePompaAhh, Ok then this a much harder question, but I'll tell you what I do. Now what I do is the following: I shift the volatility process [$] V_t [$] with a deterministic process [$] \phi_t [$] (so that [$] V_t + \phi_t [$] is the instantaneous volatility), in ...
by Engy
December 16th, 2014, 12:16 pm
Forum: Numerical Methods Forum
Topic: Hull & White [$]\vartheta[$] and numerical differentiation
Replies: 10
Views: 4993

Hull & White [$]\vartheta[$] and numerical differentiation

<t>QuoteOriginally posted by: CuchulainnArtur Sepp has written something on this (a topic that I think bearish is referring to)Numerical Implementation ofHull-White Interest Rate Model:Hull-White Tree vs Finite DifferencesArtur SeppThere are anyways two nasty issues that cannot be swept under the ca...
by Engy
December 3rd, 2014, 10:38 pm
Forum: Student Forum
Topic: PIMCO Total Return Fund question
Replies: 8
Views: 3636

PIMCO Total Return Fund question

<t>FYI, there is a very interesting article in Bloomberg on Gross' departure - Fall of the Bond King: How Gross Lost Empire as Pimco Cracked A quote from there: "His departure was followed by record withdrawals from the mutual fund he once ran, and which he built into the world?s biggest. Competitor...
by Engy
November 19th, 2014, 6:35 pm
Forum: Student Forum
Topic: barrier options vs turbo warrants
Replies: 1
Views: 3067

barrier options vs turbo warrants

<t>Turbo warrant is a call with low a strike below the knock-out barrier. So, at initiation, the call vega is small, as this is an ITM call, and it is reduced by negative vega from the knock-out feature.Typically, a turbo includes a call option on intra-day minimum of price over the time the barrier...
by Engy
November 15th, 2014, 8:01 pm
Forum: Student Forum
Topic: monte carlo greeks & sticky delta.
Replies: 21
Views: 5909

monte carlo greeks & sticky delta.

<t>QuoteOriginally posted by: AlanNow that I understand your sticky-delta definition, I believe any price-level independent model will be sticky-delta:Heston, SABR (with beta=1), exponential Levy; indeed any model where the vanilla option prices C satisfy C(S0,K, T, other state variables, parameters...
by Engy
November 15th, 2014, 4:52 am
Forum: Student Forum
Topic: monte carlo greeks & sticky delta.
Replies: 21
Views: 5909

monte carlo greeks & sticky delta.

<r>QuoteOriginally posted by: AlanThe problem for me, but apparently not Engy, is that even if the assumed correlation is zero, the ATM implied vol willmove around randomly in all stochastic volatility models. So, start with some (spot, spot vol.) pair value, let the model run and thenlook again at ...
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