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by frolloos
June 11th, 2009, 8:58 am
Forum: Student Forum
Topic: fees as negative dividend yields?
Replies: 9
Views: 38934

fees as negative dividend yields?

so if the f = TER / fund management fee, then the total gain/wealth satisfies E(G(T)) = G(0)exp(rT), and the price process satisfies E(S(T)) = S(0)exp((r + f)T), where dG = dS - fSdt, is this correct?cheers, FR
by frolloos
June 10th, 2009, 6:10 pm
Forum: Student Forum
Topic: fees as negative dividend yields?
Replies: 9
Views: 38934

fees as negative dividend yields?

ah yes, of coursethanks!
by frolloos
June 10th, 2009, 6:07 pm
Forum: Student Forum
Topic: fees as negative dividend yields?
Replies: 9
Views: 38934

fees as negative dividend yields?

<t>sorry, this is maybe a really really silly question, but to price an option on a fund on which fees are charged (let's say on a continuous basis), does it make sense to model the fees as a negative dividend yield? afterall, the 'reinvestment' of fees results in an effective decrease of the number...
by frolloos
April 23rd, 2009, 7:05 am
Forum: Technical Forum
Topic: geodesic on stochastic manifold
Replies: 6
Views: 42475

geodesic on stochastic manifold

thank you for the replies and references, will look into the articles & book you mentioned.
by frolloos
April 14th, 2009, 7:52 am
Forum: Technical Forum
Topic: geodesic on stochastic manifold
Replies: 6
Views: 42475

geodesic on stochastic manifold

given n correlated assets, S_1 to S_n, is it somehow possible to relate the transition density S_1(t),...,S_n(t) --> S_1(T),...,S_n(T) to a geodesic on the manifold, with metric related to the correlation matrix?cheers, Frido
by frolloos
February 6th, 2009, 9:32 am
Forum: Trading Forum
Topic: Trading Position Interview question
Replies: 3
Views: 47191

Trading Position Interview question

<t>don't sweat dude, if you don't want to be a coffee & pizza boy you could always work for the buy-side, call a few brokers/traders and tell them you want to trade 1-2 billion notional on the Eurostoxx or S&P (usually enough to make the street nervous), and when they call you back with thei...
by frolloos
February 5th, 2009, 5:38 am
Forum: Trading Forum
Topic: Trading forward implied skew?
Replies: 3
Views: 46214

Trading forward implied skew?

<t>yes such a contract would allow you to make money purely off changes in the implied skew, and defining the contracts wrt 25d calls and puts would indeed be more natural. btw, i don't quite see how you would make money of realised skew? isn't there only one realized vol for both 25d call and put o...
by frolloos
February 4th, 2009, 5:49 pm
Forum: Trading Forum
Topic: Trading forward implied skew?
Replies: 3
Views: 46214

Trading forward implied skew?

<t>I was wondering whether it would be possible to trade forward implied skew if the following instruments would be created by, for example, an exchange:A 90% vol future --> the price of this future could be determined from 90% options with 2 different tenors,e.g. 1month and 2 monthsA 110% vol futur...
by frolloos
December 21st, 2008, 11:58 am
Forum: Student Forum
Topic: Carr's expression for P&L from delta hedging
Replies: 0
Views: 44709

Carr's expression for P&L from delta hedging

<t>Hello,In Carr's FAQs in Option Pricing theory he derived an expression for the p&l arising from delta hedging at some constant initial implied vol or constant hedging vol but where the actual vol of the underlying is allowed to be stochastic. Initially I was under the impression that this p&a...
by frolloos
November 17th, 2008, 2:25 pm
Forum: Trading Forum
Topic: Trading covariance/correlation swaps
Replies: 1
Views: 49328

Trading covariance/correlation swaps

Hello,Can anyone please point me to some papers on pricing and trading correlation / covariance swaps? Many thanks!
by frolloos
March 17th, 2008, 5:46 am
Forum: Trading Forum
Topic: variance swap trading
Replies: 4
Views: 62722

variance swap trading

thanks mathematalef0. yes as a standalone strategy and not as a hedge. you're absolutely right it depends on the liquidity of the market when it comes to bid/ask spread. i was thinking of the usual most liquid markets such as eurostoxx50 and s&p500
by frolloos
March 16th, 2008, 4:48 pm
Forum: Trading Forum
Topic: variance swap trading
Replies: 4
Views: 62722

variance swap trading

<t>hi, does anyone have experience with variance swap trading, in particular going short variance swaps (receive implied pay realized)? what would be a good rolling window, 1 month - 3 months? what would be a market typical variance notional, and what would the bid/ask spread of the variance strike ...
by frolloos
February 22nd, 2008, 8:03 am
Forum: Student Forum
Topic: hedging with listed options
Replies: 0
Views: 58302

hedging with listed options

hi, maybe this is a stupid question, but would the p&l distribution of dynamically hedging an OTC option position with listed options be different than the p&l of hedging it with stocks/futures?thanks
by frolloos
January 22nd, 2008, 8:23 pm
Forum: Student Forum
Topic: what is the stock's implied vol?
Replies: 0
Views: 59501

what is the stock's implied vol?

<t>given implied vol skew and term structure, what is the best measure for the stock's implied vol for a given maturity? for example, for the 1 month implied vol of a stock, should i take the 1 month at the money implied vol, the at the money forward implied vol, the fair variance strike, or the vol...
by frolloos
January 15th, 2008, 6:33 pm
Forum: Trading Forum
Topic: volatility around expiry
Replies: 4
Views: 61996

volatility around expiry

yes agree that open interest could influence volatility around expiry causing volatility to decrease in general (although intraday volatility may rise?), however open interest in listed market does not necessarily reflect OTC positions, or does it?