SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 46 matches

by LesleYLyu
February 13th, 2015, 7:50 am
Forum: General Forum
Topic: fast calculation of BS implied volatility
Replies: 8
Views: 4429

fast calculation of BS implied volatility

<r>Hi, Im wondering if anyone could share the following paper:A new formula for computing implied volatilityhttp://<URL url="http://www.sciencedirect.com/science/article/pii/S0096300305000032by"><LINK_TEXT text="www.sciencedirect.com/science/article/p ... 05000032by">www.sciencedirect.com/science/ar...
by LesleYLyu
February 10th, 2015, 1:16 am
Forum: General Forum
Topic: Brigo&Mercurio`s lognormal model
Replies: 3
Views: 3612

Brigo&Mercurio`s lognormal model

<t>Thanks Orbit, I got it, so basically the shifted model has only one additional parameter, alpha. A0 could be derived from S0 and alphaanother question, have you tried to implement their model. I did, and found 2 problems bother me:1. I tried to product figures in their paper, but my results are a...
by LesleYLyu
February 5th, 2015, 2:17 am
Forum: General Forum
Topic: Brigo&Mercurio`s lognormal model
Replies: 3
Views: 3612

Brigo&Mercurio`s lognormal model

<t>Hello,please help. I am working on Brigo&Mercurio 2002 lognormal mixture model. And I am a little confused about their "shifted model"--see section 4, shifting the distributionIn figure 5, they provide an example, the calibration to a caplet data. And finally they obtain the parameters for la...
by LesleYLyu
February 2nd, 2015, 2:05 am
Forum: General Forum
Topic: log normal mixture implied vol
Replies: 0
Views: 3184

log normal mixture implied vol

<t>Hello, I am trying to implement the implied vol model given in " lognormal-mixture dynamics and calibration to volatility smiles and skews", Damiano Brigo, Gianvittorio Mauri & Fabio MercurioAnyone could share his/her experience on this issue? It would be great if someone would shed the light...
by LesleYLyu
January 15th, 2015, 1:48 am
Forum: General Forum
Topic: SVI term structure
Replies: 5
Views: 4080

SVI term structure

<t>brilliant! Thanks VivienB, I ll give a try.Personally I am implementing the model in "a class of term structures for SVI implied volatility" by Sebastien Gurrieri. I ll compare the results with the method you mentioned and keep updating this thread.Btw, you mentioned the SVI interpolated volatili...
by LesleYLyu
January 14th, 2015, 1:20 am
Forum: General Forum
Topic: SVI term structure
Replies: 5
Views: 4080

SVI term structure

<t>Thanks VivienB. I went through this article several years ago when I was at school, but haven`t got time to implement. I ll give a try.But I was thinking this may be an approach totally different with SVI. We can either use a nonparametric way like this "volatility interpolation" article use, or ...
by LesleYLyu
January 13th, 2015, 2:49 am
Forum: General Forum
Topic: SVI term structure
Replies: 5
Views: 4080

SVI term structure

the raw SVI is only for one time slice, how to interpolate between different expiry? (free of calender arbitrage or not?)cheers
by LesleYLyu
January 8th, 2015, 2:08 am
Forum: General Forum
Topic: axel vogt initial guess for SVI?
Replies: 2
Views: 3703

axel vogt initial guess for SVI?

Thanks BramJ!Nice forum, really appreciate. I've found a interesting thread and will dig into itCheers
by LesleYLyu
January 7th, 2015, 4:50 am
Forum: Numerical Methods Forum
Topic: Help with SVI
Replies: 10
Views: 37102

Help with SVI

directly use finminsearch function in matlab (Nelder-Mead), givesa = -0.3985 b = 1.1201rho = -0.1141m = 0.0779sigma = 0.3846which are different from what you guys get. I am wondering if there is any smart optimization tricks involved?
by LesleYLyu
January 7th, 2015, 1:42 am
Forum: General Forum
Topic: axel vogt initial guess for SVI?
Replies: 2
Views: 3703

axel vogt initial guess for SVI?

<t>Hello, sorry for this simple question.I went through all threads related SVI parameter fitting, some people suggest using a smart initial guess from axel vogt`s paper, but unfortunately I can`t find more information. It would be great if you could point out where I can find this paper(name,link, ...
by LesleYLyu
January 7th, 2015, 12:29 am
Forum: Technical Forum
Topic: SVI fitting problem
Replies: 21
Views: 12928

SVI fitting problem

thanks BramJ, just to confirm: so time to maturity is not used in this example?I tried, using Underlying: 84.16652402 as F_T, but the result is a little bit different
by LesleYLyu
January 6th, 2015, 5:07 am
Forum: Technical Forum
Topic: SVI fitting problem
Replies: 21
Views: 12928

SVI fitting problem

<t>Sorry still feel confused....In the information provided, which price should I use as F_T? (define x as log moneyness i.e, x = log(strike/F_T))Thanks for any suggestionscheersQuoteOriginally posted by: almostcutmyhairHi there,I'm having problems fitting SVI to the following data:Strikes: 112.7347...
by LesleYLyu
January 5th, 2015, 6:54 am
Forum: Technical Forum
Topic: SVI fitting problem
Replies: 21
Views: 12928

SVI fitting problem

<t>sorry for this simple question. If I understand correctly, SVI use log moneyness x = log(strike/F_T), where F_T is forward price i.e F_T = S_0*exp((r-d)*T)I am wondering why in this example there`s no information for me to calculate F_T. I have time to maturity but there`s no r and d(risk free ra...
by LesleYLyu
November 12th, 2014, 3:44 am
Forum: Student Forum
Topic: option on futures with margin and transaction costs
Replies: 3
Views: 3246

option on futures with margin and transaction costs

<t>QuoteOriginally posted by: bearishBlack did not assume no margins, but rather that interest rates were deterministic. That, along with no arbitrage and no transaction costs is sufficient for the conclusion that the futures price equals the forward price.Maybe I am incorrect, but I think in Black7...
by LesleYLyu
November 12th, 2014, 1:03 am
Forum: General Forum
Topic: why cost of carry for a future = 0?
Replies: 2
Views: 3737

why cost of carry for a future = 0?

<t>In Black 76 formula, b = r-q = 0, how to understand this in an intuitive way? Is this try if there`s margin cost and transaction cost?From formula it looks like Black76 formula is just Black Scholes if you think future is a stock with q=r, but I really can not understand the mechnisiam behind it....
GZIP: On