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by gomer767
January 30th, 2012, 7:46 pm
Forum: Student Forum
Topic: Comparison of monte carlo pricing results for exotic options
Replies: 6
Views: 14953

Comparison of monte carlo pricing results for exotic options

<t>QuoteOriginally posted by: AlanVarious cliquet-type structures (heavily marketed for a while by life insurance companies) are notoriously sensitive tostochastic vol., so maybe those are an example in the other direction -- where it is not the jumps driving the discrepancies.They still are.....A 2...
by gomer767
January 27th, 2012, 4:45 pm
Forum: Student Forum
Topic: CFA L1 results?? 3 quick questions!!
Replies: 17
Views: 41235

CFA L1 results?? 3 quick questions!!

QuoteOriginally posted by: ppauperIt is worth it if you are looking to progress up the career ladder as you will learn more about non-quantitative financeIf you want to do that wouldnt an MBA with a Finance specialization be more advantageous?
by gomer767
January 27th, 2012, 4:40 pm
Forum: Student Forum
Topic: impact of delta neutral strategies
Replies: 2
Views: 14541

impact of delta neutral strategies

<t>Well.....delta neutral strategies usually require people to buy high and sell low.....so as the market goes up it should help the continuation of a rally while it should push the market further down on increased selling...I am assuming you are holding an option on the Liffe and hedging with a fut...
by gomer767
January 27th, 2012, 4:33 pm
Forum: Student Forum
Topic: Convention in Bloomberg's Zero Rate and Discount Factor?
Replies: 4
Views: 17765

Convention in Bloomberg's Zero Rate and Discount Factor?

If you want to know how Bloomberg does it just hit Help Help and they will tell you or point you to an article on how they do it Also, I havent looked at your excel but be sure you are using the right day count convention as several are built in....
by gomer767
January 26th, 2012, 3:52 pm
Forum: Student Forum
Topic: CFA L1 results?? 3 quick questions!!
Replies: 17
Views: 41235

CFA L1 results?? 3 quick questions!!

QuoteOriginally posted by: DevonFangsIs it worth it?Some people think it is....personally....if you work in derivatives/risk management and not with external clients it is not....but others have differing opinions on the matter
by gomer767
January 25th, 2012, 3:14 pm
Forum: Careers Forum
Topic: Advice for Physics PhD
Replies: 40
Views: 20260

Advice for Physics PhD

<t>QuoteOriginally posted by: capafan2QuoteOriginally posted by: bearishQuoteOriginally posted by: quantmehQuoteOriginally posted by: DevonFangsThe soft skills yadayada sometimes DCFC talks about is actually useful.they dont hurt. but reading FT/WSJ is not soft skills. soft skills is golfSays the no...
by gomer767
December 29th, 2011, 7:53 pm
Forum: General Forum
Topic: Reuter's options data
Replies: 9
Views: 16372

Reuter's options data

Prices that havent changed in days I assume he means.....either that or end of day prices which would be a snapshot in time as well.....QuoteOriginally posted by: wpjwpjggThanks so much, what do you mean by static prices?
by gomer767
December 16th, 2011, 6:23 pm
Forum: Student Forum
Topic: Finding the maximum of a basket of options, not using monte carlo
Replies: 9
Views: 15902

Finding the maximum of a basket of options, not using monte carlo

Search Ouwehand and West in Wilmott magazine circa 2005It involves the tri-variate normal distribution of the max(max(S1, S2, S3)-K,0)
by gomer767
December 15th, 2011, 3:19 pm
Forum: Student Forum
Topic: Style of DAX options
Replies: 5
Views: 16392

Style of DAX options

The S&P 500 options traded on the floor of the CBOE are Euro options
by gomer767
December 12th, 2011, 8:33 pm
Forum: Student Forum
Topic: American Straddle Option
Replies: 10
Views: 18094

American Straddle Option

Straddles are just combinations of vanilla american options
by gomer767
December 6th, 2011, 5:23 pm
Forum: Student Forum
Topic: Real Option/ Dynamic programming
Replies: 2
Views: 16021

Real Option/ Dynamic programming

Assume the rent income is like a Dividend payment(r-d+.5*sig^2)(T-t) I would just use basic black-scholes options pricing formula
by gomer767
December 5th, 2011, 5:28 pm
Forum: Student Forum
Topic: Option "insider" price
Replies: 5
Views: 16126

Option "insider" price

Well the "cute" answer would be she would lose money do to lawyer/court fees for trading on inside information and ten would wind up in jail......tell him that......see what he saysUnless of course she serves in the US Congress
by gomer767
December 5th, 2011, 3:38 pm
Forum: Student Forum
Topic: Option "insider" price
Replies: 5
Views: 16126

Option "insider" price

Well if she has inside information and buys a put.....what do you think?Where does she "know" the underlying is going?
by gomer767
November 29th, 2011, 9:16 pm
Forum: Student Forum
Topic: wealth hiding
Replies: 3
Views: 15997

wealth hiding

<t>HAHAHA.....watch out for Peter PencilPusher at the IRS....hahaQuoteOriginally posted by: AlanQuoteI don't know who you are. I don't know what you want. But what I do have are a very particular set of skills; skills I have acquired over a very long career. Skills that make me a nightmare for peopl...
by gomer767
November 29th, 2011, 9:14 pm
Forum: Student Forum
Topic: Simple VIX Question
Replies: 7
Views: 16347

Simple VIX Question

<t>Thanks for the answers guys......I am starting to do some research on strikes and volume in the VIX options market and can it be a good indicator of future moves of the S&P?For instance, there has been a significant amount of volume in Dec 37.50 Calls on the VIX....would that imply a market s...