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by sladner
August 9th, 2016, 4:05 pm
Forum: Student Forum
Topic: American call on a dividend paying stock
Replies: 11
Views: 1895

Re: American call on a dividend paying stock

early exercise decisions always get back to "what do i give up" versus "what do i get" - in the case of a put, ask yourself in the current interest rate environment what you get
by sladner
May 23rd, 2016, 4:28 pm
Forum: Student Forum
Topic: Are all SPX options AM-settled ?
Replies: 1
Views: 987

Are all SPX options AM-settled ?

all non-traditional (3rd friday of the month) SPX options expire on the close, including weeklies and wednesdays (i.e., CBOE is correct)
by sladner
April 14th, 2016, 12:57 pm
Forum: General Forum
Topic: Fixed Income ETF NAV
Replies: 5
Views: 2350

Fixed Income ETF NAV

<r>the formula for a FI ETF is the same - at the end of the day, all an ETF is is a basket of securities that you can trade as a block (the ETF). the NAV formula you cited will hold for any basket of securities, including an ETF, irrespective of the components of that basket. the more-tricky thing f...
by sladner
April 7th, 2016, 3:43 pm
Forum: General Forum
Topic: Fixed Income ETF NAV
Replies: 5
Views: 2350

Fixed Income ETF NAV

it's not different, but the calculation can be much more imprecise. a very small % of the bonds underlying a FI ETF actually trade on a given day, most are priced via matrix/assumptions, so there is a lot of room for, well, fudging
by sladner
May 8th, 2015, 2:52 pm
Forum: Trading Forum
Topic: Moving average crossover with vol
Replies: 1
Views: 3941

Moving average crossover with vol

<r>there's a firm currently under SEC investigation from wellesley, MA which purportedly used such a model (but it turns out the returns (=backtests) were massively fraudulent)...the guy who developed the original algo was a early-20s guy, firm called newfound research now. nothing particularly clev...
by sladner
April 14th, 2015, 11:58 am
Forum: Student Forum
Topic: Equity Risk Premium - How to Measure?
Replies: 9
Views: 3701

Equity Risk Premium - How to Measure?

if you find either a simple or sophisticated model which is good at forecasting equity returns relative to a rf rate on an out-of-sample basis, please let me know.
by sladner
March 3rd, 2015, 4:06 pm
Forum: Trading Forum
Topic: vol curves from Call and Put
Replies: 5
Views: 5133

vol curves from Call and Put

the "risk-free" rate associated with pricing a call option vs a put option or the funding rate
by sladner
March 2nd, 2015, 4:17 pm
Forum: Trading Forum
Topic: vol curves from Call and Put
Replies: 5
Views: 5133

vol curves from Call and Put

rfrate(put) does not have to equal rfrate(call)...
by sladner
January 2nd, 2015, 4:38 pm
Forum: Trading Forum
Topic: VIX vs VXX
Replies: 4
Views: 5099

VIX vs VXX

how would you propose to trade the gamma on the VIX options? that answer will answer your question
by sladner
November 3rd, 2014, 5:44 pm
Forum: Technical Forum
Topic: Delta-term surfaces question
Replies: 1
Views: 3921

Delta-term surfaces question

<t>briefly, you really can't; or even if you think you could, you shouldn't. at the end of the day, what you are agreeing to in any options transaction depends on the strike, term, and price. so it's always going to get back to an actual strike. that is, it doesn't end up mattering if you and i agre...
by sladner
September 10th, 2014, 3:02 pm
Forum: Trading Forum
Topic: Stupid Data Miner Tricks in Quantitative Finance
Replies: 9
Views: 5368

Stupid Data Miner Tricks in Quantitative Finance

this would be a good idea to become familiar with http://papers.ssrn.com/sol3/papers.cfm? ... id=2460551
by sladner
August 8th, 2014, 5:56 pm
Forum: Technical Forum
Topic: Any other method to reduce option price for investor?
Replies: 1
Views: 4100

Any other method to reduce option price for investor?

asian'ing them is typically palatable
by sladner
July 23rd, 2014, 2:38 pm
Forum: General Forum
Topic: How to value an equity Swap with prepayment option and accrued interest
Replies: 2
Views: 4664

How to value an equity Swap with prepayment option and accrued interest

<t>Typically, equity swaps are cash-settled and can be terminated at any time and the interest payer simply owes the accrued and unpaid interest + (spot - strike). I suppose if you're talking about a physically-settled swap and you struck it at the forward price (with your edge factored into the rat...
by sladner
May 21st, 2014, 5:27 pm
Forum: Student Forum
Topic: Implied Correlation
Replies: 7
Views: 5410

Implied Correlation

realistically, no.