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by mtsm
May 23rd, 2011, 11:56 am
Forum: Technical Forum
Topic: trader?s P&L on delta-hedged positions as vega times times the daily change in implied vol
Replies: 4
Views: 20702

trader?s P&L on delta-hedged positions as vega times times the daily change in implied vol

<t>I have read his paper in wilmott magazine. Thanks for pointing out that there is a chapter in his book though. Will read it.I am really mostly concerned with touring existing work on analysis similar to what Forde or Castagna in FX do, but not in terms of stochastic implied volatility, but model ...
by mtsm
May 23rd, 2011, 1:47 am
Forum: Technical Forum
Topic: trader?s P&L on delta-hedged positions as vega times times the daily change in implied vol
Replies: 4
Views: 20702

trader?s P&L on delta-hedged positions as vega times times the daily change in implied vol

<r>The P&L analysis of a delta hedged option portfolio hedged at the running implied volatility is often done along the lines described for example in <URL url="http://www.stats.bris.ac.uk/research/stats/reports/2003/0312.pdfor"><LINK_TEXT text="http://www.stats.bris.ac.uk/research/st ... 0312.p...
by mtsm
April 29th, 2011, 2:07 am
Forum: Technical Forum
Topic: FOMC conditioned front end
Replies: 4
Views: 19909

FOMC conditioned front end

<t>hi, thanks for your message. right, these curves are used quite actively by many players at this stage. i was hoping that therewould be some expert discussions on this somewhere. what do people normally assume? piecewise constant forwards meeting to meeting? i think that this can lead to weird sh...
by mtsm
April 28th, 2011, 12:05 pm
Forum: Technical Forum
Topic: gamma-vega relationship for stoch vol models
Replies: 2
Views: 22063

gamma-vega relationship for stoch vol models

<t>I am looking for published, discussed information on gamma-vega reltionships as spelt out for example in Taleb's old book and how it applies in particular to stochastic volatility option pricing models?Any help greatly appreciated. I find that this relationship is very important in practical term...
by mtsm
April 28th, 2011, 12:03 pm
Forum: Technical Forum
Topic: FOMC conditioned front end
Replies: 4
Views: 19909

FOMC conditioned front end

<t>Hi, I would be interested to have people's takes on FOMC, ECB or any other central bank conditioned curve front ends?At this stage, this must be fairly prominent for treasury quality curves.Do people have oppinions, seen papers or remember discussion threads on this topic that they would care to ...
by mtsm
April 9th, 2011, 11:09 am
Forum: Trading Forum
Topic: rate distributions and models (sabr)
Replies: 5
Views: 21645

rate distributions and models (sabr)

yes, all true. I see this too. Do you read dealer research?Ill send you a pm
by mtsm
March 29th, 2011, 1:05 am
Forum: Numerical Methods Forum
Topic: searching for the first Boyle MC paper
Replies: 11
Views: 105002

searching for the first Boyle MC paper

enjoy!
by mtsm
February 16th, 2011, 11:08 pm
Forum: Technical Forum
Topic: Stochast/Local Vol LMM
Replies: 61
Views: 54225

Stochast/Local Vol LMM

hi, I am quite interested in bringing this back here. lapsilago or whoever cares to comment, what did you conclude in the end? which stoch vol extension did you prefer and why?I am not interested in exotics, but more in using this kind of model for volatility surface dynamics per se.thanks
by mtsm
February 13th, 2011, 8:04 pm
Forum: Book And Research Paper Forum
Topic: Econimics books for a math phd Quant?
Replies: 13
Views: 25505

Econimics books for a math phd Quant?

<r>If you already working as a quant and presumably want a no-bullshit approach, the recommendations you have been made are completely insane in my opinion.Sure, I too would like to read the books by Romer, mas-colell, varian, etc... given another life and infinite amount of time, but for you this i...
by mtsm
February 3rd, 2011, 11:20 pm
Forum: Technical Forum
Topic: option with stochastic expiry date
Replies: 12
Views: 22569

option with stochastic expiry date

<t>QuoteUsually investors are not very fond of very exotic new contracts and since this is a very uncommon hybrid one I agree with you that it shouldn't be traded a lot.If you were right, there wouldn't be any market for exotics at all, yet in fact there are many investors who want to buy new bespok...
by mtsm
February 1st, 2011, 1:40 am
Forum: Technical Forum
Topic: option with stochastic expiry date
Replies: 12
Views: 22569

option with stochastic expiry date

<t>QuoteOriginally posted by: frenchXThere is a paper of Li with the variance budget option. That's a hybrid exotic called "timer option". There is a closed form solution for the heston model via Laplace transform for Bessel processes.Bessel process, stochastic volatility and timer optionThank you f...
by mtsm
January 31st, 2011, 3:17 pm
Forum: Technical Forum
Topic: option with stochastic expiry date
Replies: 12
Views: 22569

option with stochastic expiry date

Hi, do you happen to know where options with stochastic expiry dates are being discussed? I mean interested about both market practice as well as valuation. Imagine an option that expires on a date that is fixed by some predetermined realized variance budget. Is that a common structure?Thanks
by mtsm
January 12th, 2011, 2:17 am
Forum: Programming and Software Forum
Topic: numerix?
Replies: 2
Views: 25022

numerix?

<t>QuoteOriginally posted by: quantmehwhat do you think of numerix for term structure modeling code? what are their direct competitors?the papers I read by some of the numerix employees on MP, BGM, etc... seemed excellent to me. however, I have not heard a lot of good about it in general. the proble...
by mtsm
January 12th, 2011, 2:13 am
Forum: Programming and Software Forum
Topic: python in quantitative finance
Replies: 13
Views: 34075

python in quantitative finance

<t>QuoteOriginally posted by: edouardin general terms, can anyone explain the value-added of the python language in quantitative finance ? does it allow anything in particular ? is it a commonly used in banks ?That is because it is a much more modern language. It is fully object oriented. Some nice ...
by mtsm
January 6th, 2011, 2:05 am
Forum: Programming and Software Forum
Topic: pyxll, pyinex, and others?
Replies: 3
Views: 28489

pyxll, pyinex, and others?

hi, thank you for pointing this out. I am not getting a very good sense of what this can do. You seem to be saying that it is a technology demo project. I think that I need something operational fast.
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