SERVING THE QUANTITATIVE FINANCE COMMUNITY

## Search found 97 matches

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December 22nd, 2015, 7:42 am
Forum: Student Forum
Topic: Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio
Replies: 10
Views: 2540

### Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio

<r>Thank you daveangel. I agree with you. But the John Hull's book uses asset size amount.<URL url="http://financetrain.com/minimum-variance-hedge-ratio/In">http://financetrain.com/minimum-variance-hedge-ratio/In</URL> your example, I think F and S should be future and spot price. But these two pric...
December 22nd, 2015, 12:13 am
Forum: Student Forum
Topic: Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio
Replies: 10
Views: 2540

### Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio

Thank you. But h is a weighting of what? money amount or asset unit?
December 21st, 2015, 5:14 am
Forum: Student Forum
Topic: Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio
Replies: 10
Views: 2540

### Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio

I think there is some doubt here. Does hedge ratio here means money amount ratio or unit amount ratio?
December 21st, 2015, 4:58 am
Forum: Student Forum
Topic: Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio
Replies: 10
Views: 2540

### Some confusion on John Hull?s method to calculate Minimum Variance Hedge Ratio

<r>Suppose the spot price is S, forward price is F. S and F are the prices of two correlated asset. John Hull?s book directly gives a method to calculate Minimum Variance Hedge Ratio <URL url="http://financetrain.com/minimum-variance-hedge-ratio/as">http://financetrain.com/minimum-variance-hedge-rat...
December 17th, 2015, 8:55 am
Topic: How to pick up Vector Autoregression Factor? Return or Price?
Replies: 2
Views: 2740

### How to pick up Vector Autoregression Factor? Return or Price?

OK. Thank you. I think I have to try to make it.
December 17th, 2015, 8:54 am
Forum: Technical Forum
Topic: Does mixed-frequency Vector Autoregression help to improve forecasting performance?
Replies: 0
Views: 1701

### Does mixed-frequency Vector Autoregression help to improve forecasting performance?

<t>I am now using VAR to forecast asset return. I am trying to combine daily asset data with monthly or weekly macroeconomic data in order to improve the forecasting performance of my model. I indeed find some literature on mixed-frequency VAR. Typically the research work by Eric Ghysels. However, I...
December 11th, 2015, 8:17 am
Topic: How to pick up Vector Autoregression Factor? Return or Price?
Replies: 2
Views: 2740

### How to pick up Vector Autoregression Factor? Return or Price?

<t>I am making a VAR model to forcast future price. The factors include other commodity price, interest rate, FX rate, commodity storage and so on.I find most literature uses asset return as VAR input factors, but my back test result shows that if I directly use prices as input, the result looks muc...
September 21st, 2015, 10:47 am
Forum: Careers Forum
Topic: Does any professor in financial engineering with background in fluid dynamics?
Replies: 16
Views: 4744

### Does any professor in financial engineering with background in fluid dynamics?

<t>Great to see you here, Daniel. And thank you all for your replies.I have a background in PDE/FDM, fluid dynamics and found financial job positions related to these areas are so few nowadays. Though I am now in a financial engineer position in a developing country, related exotic products, barrier...
September 18th, 2015, 12:08 pm
Forum: Careers Forum
Topic: Does any professor in financial engineering with background in fluid dynamics?
Replies: 16
Views: 4744

### Does any professor in financial engineering with background in fluid dynamics?

<t>I knew some quants like Dr. Wilmott have a background in fluid dynamics. Does any professor in financial engineering have a background in fluid dynamics?Especially does anyone know what?s the occupation of Daniel J. Duffy now, the author of the book ?Finite Difference Methods in Financial Enginee...
September 11th, 2015, 11:32 am
Forum: Student Forum
Topic: How to hedge exotic interest rate derivative under BGM model?
Replies: 3
Views: 2333

### How to hedge exotic interest rate derivative under BGM model?

<t>Thank you so much for your replies.I refer to Sami ATTAOUI?s paper ?Hedging Performance of the Libor Market Model: The Cap Market case?. The author indeed did as what bearish said. He constructed the hedging portfolio for a cap as below:?Given this 3-factor model, a delta-based hedge portfolio is...
September 8th, 2015, 12:00 pm
Forum: Student Forum
Topic: How to hedge exotic interest rate derivative under BGM model?
Replies: 3
Views: 2333

### How to hedge exotic interest rate derivative under BGM model?

<t>In M.S. Joshi ?s book ?The concepts of mathematical finance?, it talks a lot on pricing exotic interest rate derivative under BGM model. I think it is mainly based on the Monte Carlo method by simulating the forward rate. However, I am not clear on how to hedge the exotic interest rate derivative...
June 29th, 2015, 12:57 am
Forum: General Forum
Topic: Is there any practical method to replicate stock index option by index future?
Replies: 1
Views: 2803

### Is there any practical method to replicate stock index option by index future?

<t>Suppose the option is on stock index. Since it is difficult to buy or sell stock index, index future is preferred for hedging the option. However, there are some different factors between index future an stock index. For example:1. Volatility. Future?s volatility is usually larger than stock inde...
June 18th, 2015, 3:18 pm
Forum: Student Forum
Topic: How to price this option?
Replies: 7
Views: 2892

### How to price this option?

<t>I mean you can exercise as soon as it hits the barrier 100.If I receive option fee 0.7, and buy 0.01 shares of the underlying at 70, when it researches 100, I can make a profit of 0.3. This profit plus the option fee is equal to the option payoff 1. The payoff of this option is 1 once it hits 100...
June 18th, 2015, 12:58 pm
Forum: Student Forum
Topic: How to price this option?
Replies: 7
Views: 2892

### How to price this option?

<t>Suppose the underlying now is 70, once itreaches 100, the option?s pay off is 1. This option never expires and assumesinterest rate is 0.I think one can hedge this option byholding 0.01 share of this underlying, once it reaches 100, then earn (100-70)*0.01=0.3.So the price of this option should b...
March 25th, 2015, 1:08 am
Forum: General Forum
Topic: How to interpret the correlation from Heston model calibration?
Replies: 9
Views: 3806

### How to interpret the correlation from Heston model calibration?

<t>Thank you Alan. The method in white paper "The CBOE Volatility Index - VIX"generate a better result on BS implied vol. It's not a very smooth curve, but I can see some oscillations of volatility between 25% and 27% for options with long expiration days.1.However, I can not understand well the log...
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