SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 1578 matches

by frolloos
December 2nd, 2019, 4:57 pm
Forum: Technical Forum
Topic: volatility
Replies: 3
Views: 181

Re: volatility

The attachment, which is a very rough draft, hopefully clarifies what I am trying to do. I can incorporate total volatility, but using a strip of options which is not delta-hedgeable as it involves an untradable "auxiliary" process. Hence, my search for something simpler, if it exists.[attachment=0]...
by frolloos
December 2nd, 2019, 4:39 pm
Forum: Technical Forum
Topic: volatility
Replies: 3
Views: 181

Re: volatility

Thanks - yes maybe that could work. Preferably I could somehow relate the instrument, whatever it is, to a single vanilla option (by eg choosing an appropriate strike), but I am starting to believe that may be impossible.
by frolloos
December 2nd, 2019, 4:29 pm
Forum: Technical Forum
Topic: volatility
Replies: 3
Views: 181

volatility

Setting: Black-Scholes with deterministic volatility. Vanilla options are priced with volatility equal to remaining variance/volatility [$] \int_t^T \sigma^2(u) du [$].  What kind of option, that is delta-hedgeable, has as input at current time [$] t [$] not the remaining variance, but the total var...
by frolloos
October 28th, 2019, 4:33 pm
Forum: Trading Forum
Topic: Negative equity repo rates
Replies: 7
Views: 2207

Re: Negative equity repo rates

@Kirill another thing that could explain spikes is perhaps balance sheet "window dressing": maybe around end of quarters you see spikes because banks want to clean up their balance sheet for reporting purposes. I am not sure, but something to look at as well. Vote trading and (possible) balance she...
by frolloos
October 27th, 2019, 1:38 pm
Forum: Trading Forum
Topic: Negative equity repo rates
Replies: 7
Views: 2207

Re: Negative equity repo rates

Good question. This is a good place to start your analysis: https://www.globalvolatilitysummit.com/wp-content/uploads/2015/10/A-New-Normal-in-Equity-Repo-BNP-Paribas.pdf Frido, That was very interesting!  I got a vague sense from the link that these so-called negative equity repo rates are always "...
by frolloos
October 24th, 2019, 6:55 pm
Forum: Trading Forum
Topic: Negative equity repo rates
Replies: 7
Views: 2207

Re: Negative equity repo rates

Good question.

This is a good place to start your analysis:

https://www.globalvolatilitysummit.com/ ... aribas.pdf
by frolloos
July 16th, 2019, 5:17 pm
Forum: Off Topic
Topic: Stuff that Physics_(+ &)_mathematicS can explain
Replies: 26
Views: 5367

Re: Stuff that Physics_(+ &)_mathematicS can explain

Stagnation in physics Looks like she has an interesting book -- just ordered a copy. Wilczek's take on her book: https://physicstoday.scitation.org/doi/pdf/10.1063/PT.3.4022 Not that I understand all this stuff, but some of her papers on ArXiv cite and make use of Maldacena's work on AdS / CFT dual...
by frolloos
July 13th, 2019, 3:00 pm
Forum: Student Forum
Topic: Arbitrage when risk-free portfolio earns less than riskless portfolio
Replies: 43
Views: 5997

Re: Arbitrage when risk-free portfolio earns less than riskless portfolio

Welcome back - however fleetingly! The biggest change is probably the sudden death of ppauper. Some people (trackstar -- I'm looking at you!) would argue that he was the irritant that stimulated the production of pearls around here. As far as I'm concerned, he was just an irritant. But, for whateve...
by frolloos
July 12th, 2019, 1:45 pm
Forum: Technical Forum
Topic: Zassenhaus formula
Replies: 12
Views: 3224

Re: Zassenhaus formula

I'm looking to compute the expression [$] (\prod_2^\infty e^{\tau^n C_n} ) e^{\tau A} C^{BS}(\tau) [$]. Not an exact computation to all orders, but let's say a first order perturbation. I can't make it less fuzzy at the moment as am still groping my way around. But fair enough, let's close the topic...
by frolloos
July 12th, 2019, 5:04 am
Forum: Technical Forum
Topic: Zassenhaus formula
Replies: 12
Views: 3224

Re: Zassenhaus formula

Thanks for all the inputs. First of al, I don't have a clear idea at all about this and what I am really looking for, so might be wasting your time. It's not the BCH but its dual (Zassenhaus), and more specifically the left dual (the right dual is more commonly written down) that I've been looking a...
by frolloos
July 11th, 2019, 3:20 pm
Forum: Technical Forum
Topic: Zassenhaus formula
Replies: 12
Views: 3224

Zassenhaus formula

Ah, what the heck. So I've been mulling this over for quite some time now: let [$]B[$] be the Black-Scholes generator, and [$]A[$] be SV generator terms, such as the vega, volga, vanna differential operators. From semi-group theory it is justified to write the formal solution of an SV PDE as [$]C(\t...
by frolloos
July 11th, 2019, 11:09 am
Forum: Student Forum
Topic: Arbitrage when risk-free portfolio earns less than riskless portfolio
Replies: 43
Views: 5997

Re: Arbitrage when risk-free portfolio earns less than riskless portfolio

* edited because I misspelled frolloos. Apologies  to him, it’s been awhile since I saw that name in print. : ) Thank you trackstar - which is why I signed in today to remind you not to misspell, you know how much I dislike spelling mistakes : ) Have a great day in your vegetable garden with the gr...
by frolloos
July 11th, 2019, 9:43 am
Forum: Student Forum
Topic: Arbitrage when risk-free portfolio earns less than riskless portfolio
Replies: 43
Views: 5997

Re: Arbitrage when risk-free portfolio earns less than riskless portfolio

1) Indeed ppauper is AWOL and has been for a few months. Will he return? Unknown.  Also absent: outrun, CrashedMint, froolos, numbersix, and many others. Greener pastures? Time-consuming pursuit of hotties? Marriage and family?! Intergalactic travel? Unclear... Observing Blue Tits in the garden act...
by frolloos
July 6th, 2018, 12:30 pm
Forum: Off Topic
Topic: Spewers of bullshit
Replies: 60
Views: 1690

Spewers of bullshit

T4A, you are a great example that some animals are very bad at learning anything, including proper manners. I was going through this thread as I know nothing about deep networks (only superficial ones) and you appear to be quite/very knowledgeable on this. I agree on both counts. Friendly advice; w...
by frolloos
July 6th, 2018, 12:30 pm
Forum: Off Topic
Topic: Spewers of bullshit
Replies: 31
Views: 1052

Spewers of bullshit

T4A, you are a great example that some animals are very bad at learning anything, including proper manners. I was going through this thread as I know nothing about deep networks (only superficial ones) and you appear to be quite/very knowledgeable on this. I agree on both counts. Friendly advice; w...
GZIP: On