<t>I just spotted on the CBOE website that they use the VIX methodology to calculate the VXEEM (VIX equivalent for Emerging Market ETF). I know that the options on those ETFs are American style instead of European style. Does the Var replication formula still hold in this case? confused by the metho...

<t>Suppose is a Ito process and a stochastic process. And suppose , question:Does the following hold?the convergence is in the sense of "converge in probability", where n is send to infinity.If it holds, how do we demonstrate that, I probably need this proof, any indication or reference to any books...

<t>QuoteOriginally posted by: EBalAm I missing something because it sounds too easy? You have to find the number of sequences consisting of n-1 zeroes and n-1 ones. The answer is obviouslyI never said it's difficult. Yesterday someone asked me and I came up with outrun's first method, then he asked ...

<t>Here is a classic teaser, I just want to know how many different ways we have to solve it:Given a n*n chess board, you are in the square of the lower-left corner. For each step, you can either move to the square above or move to the square in the right. Question: how many different routes will le...

<t>QuoteOriginally posted by: DevonFangsWhat was the Nicholas and Yates way?According to this document, it uses the method of hollow cylinders.According to wikipedia, a proof in Cartesian coordinates is also available and simple. Yet I have found no proof which do not use the squaring method, but se...

<t>F_s traditional filtration is sufficient, i.e. the smallest one for that the joint process is adapted. But usually a Brownian motion is defined with its filtration as a couple, so I do not need to define the filtration actually. And why F_s can be replaced by W_s and Y_s is explained, you just sk...

<t>QuoteOriginally posted by: AlanIt seems obvious to me from the definition, which is perhaps not a proof. Also, it seems an example of a much more general idea that comes up all the time. Namely, suppose X(t) is any Markov process and Y(t) is any functional of the history of X: Y(t) = f{X(s): 0 <=...

<t>To show this process is markov, we need to show that, can be expressed as a function of (i.e. only depend on) W_s and Y_s, this can be achieved by remarking that is a brownian motion independant of F_s, then and by taking expectation conditional on F_s, the only dependent terms are W_s and Y_s, h...

<t>QuoteOriginally posted by: edouardsome hints on where to find data on options for personal work? ideally grains option data :$Well I do not have the database...I asked someone else a favor...so everytime I write the excel sheet, send to him for him to run and he send me back.Historical daily opti...

<t>QuoteOriginally posted by: PottsyYou're saying i would have to have the historical options prices since 2006 of 90% and 110%, then use those prices and the Black-Scholes to calculate the implied vol?Any ideas on a site that would have all that data in a convenient excel file or something?I did th...

Ah ok, u mean the old VIX, sorry. Well in that case...for 90% and 110% you really have to access option prices I think

Me or OP?For VIX, I read the VIX white paper and GS's quant research paper: more than you ever wanted know about volatility swaps.VIX whiteGS-Volatility

What do you mean by VIX will simply be the ATM options? I believe VIX stands for the square root of 30-day variance swap strike, calculated using a basket of OTM vanilla options and using linear interpolation.

<t>Sorry for relauching this thread again. But I want to know whether it is possible to do this optimization in Excel VBA (not in matlab...). More precisely, according to this paper the problem is equivalent to minimizing variance under a non-linear constraint (equation 7 in the paper). Can any of y...

QuoteOriginally posted by: AlanWell, good. As this is a FAQ, maybe you can latex the joinf pdf of (B_T, m_T) for future readers of this thread.Latex the mirror principal one, mine is too twisted...