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by Sprinter
April 27th, 2017, 7:45 am
Forum: Technical Forum
Topic: delta hedging day pnl
Replies: 2
Views: 1461

Re: delta hedging day pnl

reconciled formula
by Sprinter
April 26th, 2017, 1:44 pm
Forum: Technical Forum
Topic: delta hedging day pnl
Replies: 2
Views: 1461

delta hedging day pnl

Has anybody proved this delta hedging day pnl = 0.5(realized_volatity - implied_volatility)gamma x S^2 x dt in a spreadsheet.  I reconciled option price change = delta here  https://docs.google.com/spreadsheets/d/1hagufIYGsye8O82dxhlCn3Gh3dW8LkUO2D_uCcN9-Uc/edit?usp=sharing  I don't know how much co...
by Sprinter
April 15th, 2015, 3:34 pm
Forum: Student Forum
Topic: Valuation of illiquid bonds
Replies: 6
Views: 3895

Valuation of illiquid bonds

<t>QuoteOriginally posted by: cdery6Hi All !I am currently encountering a mathematical issue at work. It may sound very easy to some with quants background but here it is:I am trying to value 50 North-American private corporate bonds that are illiquid. I thought about using comparables or other mark...
by Sprinter
April 15th, 2015, 3:00 pm
Forum: Student Forum
Topic: waiver from actuarial exams for cqf?
Replies: 2
Views: 2786

waiver from actuarial exams for cqf?

QuoteOriginally posted by: TedypendahYou want from Act Sci to Quant?sigh act -> quact -> ____
by Sprinter
April 8th, 2015, 11:11 am
Forum: Student Forum
Topic: waiver from actuarial exams for cqf?
Replies: 2
Views: 2786

waiver from actuarial exams for cqf?

worth considering. serious thoughts. no welcoming back please.
by Sprinter
January 3rd, 2015, 2:29 pm
Forum: Economics Forum
Topic: Emerging Markets
Replies: 2
Views: 9323

Emerging Markets

<t>Demand for gold is driven by the value of dollar, inflation, and interest rate. gold is a hard asset and has to maintain real worth in US dollar terms. gold rises with decreasing dollar. borrowing money and returning with interest is equivalent to borrowing gold and returning other than the borro...
by Sprinter
December 20th, 2014, 11:31 am
Forum: Economics Forum
Topic: oil price - deflation
Replies: 2
Views: 7984

oil price - deflation

<t>QuoteOriginally posted by: APlusIn my opinion there is nothing to be worried about, as there is a settlement of spot crude oil price as a virtual exchange currency via the Thai bacht, from the American dollar to the Russian ruble. Nobody really has the actual paper/coin/string of bits but both Am...
by Sprinter
December 15th, 2014, 12:33 pm
Forum: Careers Forum
Topic: important advice sought
Replies: 58
Views: 11725

important advice sought

by Sprinter
December 15th, 2014, 9:29 am
Forum: Economics Forum
Topic: oil price - deflation
Replies: 2
Views: 7984

oil price - deflation

<t>With liquidity measures withdrawing interest rates at historic lows cannot be cut further no fall back to stimulus and liquidity pumping easing steady low inflation is required. deflation at this time can unsettle the business equilibrium of stable growth corporates making money. any slowing of s...
by Sprinter
October 17th, 2014, 7:01 pm
Forum: Careers Forum
Topic: important advice sought
Replies: 58
Views: 11725

important advice sought

by Sprinter
October 16th, 2014, 9:25 am
Forum: Careers Forum
Topic: important advice sought
Replies: 58
Views: 11725

important advice sought

by Sprinter
October 16th, 2014, 9:03 am
Forum: Careers Forum
Topic: important advice sought
Replies: 58
Views: 11725

important advice sought

by Sprinter
October 13th, 2014, 1:36 pm
Forum: Careers Forum
Topic: important advice sought
Replies: 58
Views: 11725

important advice sought

<t>QuoteOriginally posted by: billypilgrimQuoteOriginally posted by: SprinterQuoteOriginally posted by: ThinkDifferentthis thread seems on fire...can anyone give a summary of what it is about??you got the summary? fire extinguished? or should I quit and hand myself over to a mental facility. ps: com...
by Sprinter
October 9th, 2014, 8:16 pm
Forum: Careers Forum
Topic: important advice sought
Replies: 58
Views: 11725

important advice sought

<t>QuoteOriginally posted by: ThinkDifferentthis thread seems on fire...can anyone give a summary of what it is about??you got the summary? fire extinguished? or should I quit and hand myself over to a mental facility. ps: computer still hacked I prepared a resume and kept on applying with it checke...
by Sprinter
September 26th, 2014, 5:18 pm
Forum: Careers Forum
Topic: important advice sought
Replies: 58
Views: 11725

important advice sought

<t>QuoteOriginally posted by: billypilgrimQuoteOriginally posted by: ThinkDifferentthis thread seems on fire...can anyone give a summary of what it is about??I was done here, but you lured me back. Summary - Sprinter stored some celebrity porn on his laptop and Obama asked NSA to hack into his syste...
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