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by pb273
May 11th, 2016, 10:23 am
Forum: Technical Forum
Topic: barrier option as a combo of vanilla and digital options
Replies: 2
Views: 845

barrier option as a combo of vanilla and digital options

<t>These days both vanilla and digital options are listed on the exchanges for many instruments. The listed digital options are weekly maturity (european style), while vanilla options are american style. I was wondering if it is possible to easily approximate (or even weekly approximate) a down-and-...
by pb273
September 17th, 2015, 8:45 pm
Forum: Technical Forum
Topic: maximizing for number of positive days
Replies: 1
Views: 2533

maximizing for number of positive days

<t>suppose I have [$]N[$] models, with returns [$]r_{n,t}[$] over [$]1,...,T[$] periods ([$]T>>N[$]). I want to find weights [$]w_n[$] for model [$]n \in 1,...,N[$] such the final model [$]p[$], whose returns will be [$]r_{p, t} = \sum_{n=1}^{N} w_n * r_{n, t}[$]has the maximum number of positive pe...
by pb273
July 28th, 2015, 4:39 am
Forum: Technical Forum
Topic: hard constraints vs soft constraints in portfolio optimization
Replies: 1
Views: 2553

hard constraints vs soft constraints in portfolio optimization

<t>Consider two sample portfolio optimizations:Optimization 1[$]\begin{matrix}\\ \min \frac{1}{2} w'\Sigma w \\ w'\mu = r\\ Aw = 0\\ w_l \le w \le w_u\end{matrix}[$]Optimization 2[$]\begin{matrix}\\ \min \frac{1}{2} w'\Sigma w - \lambda_1 (w'\mu - r)^2 - \lambda_2 w'(A'A)w\\ w_l \le w \le w_u\end{ma...
by pb273
February 27th, 2015, 5:10 pm
Forum: Technical Forum
Topic: best option model in the absence of existing options surface
Replies: 6
Views: 4050

best option model in the absence of existing options surface

<t>QuoteOriginally posted by: AlanI would be wary of any such study. The problem is: the historical time series of returns *alone* don't tell you the systematic risks in the instrument. For that, you need to do some regressions/correlations vs major asset categories. Those will be important in tryin...
by pb273
February 27th, 2015, 3:08 pm
Forum: Technical Forum
Topic: best option model in the absence of existing options surface
Replies: 6
Views: 4050

best option model in the absence of existing options surface

<t>Suppose I have to price options on an instrument for which there is no existing options markets or surface (on multiple strikes, multiple maturities). I have only a lengthly time-series of OHLC prices (along with additional volume information). For example, since there is no existing options mark...
by pb273
April 6th, 2012, 1:28 am
Forum: Careers Forum
Topic: Quant Buy Side firms in San Francisco
Replies: 2
Views: 14300

Quant Buy Side firms in San Francisco

menta, sensato, aci, mathematica - there's lots of other ex-bgi managers.
by pb273
December 31st, 2011, 1:55 pm
Forum: Book And Research Paper Forum
Topic: paper: General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns
Replies: 1
Views: 15560

paper: General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns

HiDoes anyone have access to the Naik and Lee 1990 paper: General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns. (The Review of Financial Studies). Thanks.
by pb273
December 30th, 2011, 3:45 am
Forum: Technical Forum
Topic: Levy models - vg vs others
Replies: 8
Views: 16062

Levy models - vg vs others

<t>Thanks for the insights. The VG option formula indeed looks quite intricate and the derivation even more cumbersome. I found it quite interesting that from the time Madan and Seneta published the first paper on Variance Gamma in 1990 (perhaps available as a working paper much before that), it too...
by pb273
December 29th, 2011, 3:04 am
Forum: Technical Forum
Topic: Levy models - vg vs others
Replies: 8
Views: 16062

Levy models - vg vs others

thanks. i had actually meant close form option formulas, but i guess close form pdf is almost as good. any other Levy models with close-form option formulas?
by pb273
December 28th, 2011, 8:51 pm
Forum: Technical Forum
Topic: Levy models - vg vs others
Replies: 8
Views: 16062

Levy models - vg vs others

<t>A very basic question: For the levy models (not jump diffusion ones) like variance gamma (VG), NIG, CGMY, meixmer etc., only the VG models have closed form option formulas. For all the remaining models are we basically expected to work with the characteristic functions and numerically integrate? ...
by pb273
December 27th, 2011, 6:58 pm
Forum: Technical Forum
Topic: Calibrating SABR/CEV "without" using option data?
Replies: 27
Views: 22653

Calibrating SABR/CEV "without" using option data?

Paul, thanks. very helpful. What model would you recommend (or your most preferred) for equities, particularly indices?
by pb273
December 27th, 2011, 2:58 am
Forum: Technical Forum
Topic: Calibrating SABR/CEV "without" using option data?
Replies: 27
Views: 22653

Calibrating SABR/CEV "without" using option data?

<t>Alan, you are right. i gave it a lot of thought, and i do need a "level-independent" process. actually, thinking hard about it, SABR/CEV models are kind of silly, e.g. for instance, potentially, one can argue that if SABR/CEV were a true representation of a real process, they would need to result...
by pb273
December 22nd, 2011, 4:06 pm
Forum: Technical Forum
Topic: Calibrating SABR/CEV "without" using option data?
Replies: 27
Views: 22653

Calibrating SABR/CEV "without" using option data?

QuoteOriginally posted by: AlanIf the underlying is an individual name equity, you first need to deal with firm-specific issues.No, actually it is on an Index (total return, i.e. no cash flow/dividend).
by pb273
December 22nd, 2011, 8:05 am
Forum: Technical Forum
Topic: Calibrating SABR/CEV "without" using option data?
Replies: 27
Views: 22653

Calibrating SABR/CEV "without" using option data?

<t>Here is a question that might sound a bit wierd. Suppose I have been asked to quote vanilla option prices (i.e. make market) on an underlying asset that does not have existing options or other derivatives. Based on observations on similar asset classes, I need to quote option prices such that (a)...
by pb273
October 31st, 2011, 11:47 pm
Forum: Careers Forum
Topic: second PhD?
Replies: 72
Views: 31292

second PhD?

<t>QuoteI strongly disagree with that: True, a lot of PhDs are of questionable merit, but writing an original thesis of 200-300 pages seems a whole magnitude harder than to memorize various of multiple choice answers. I can see how people would want a CFA, and I might do one myself one day, but anyt...
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