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<t>Hi Bram,Thanks for the response. Im working as a market risk manager at a physical commods trading house, but did a few internships within sales and trading - so in some ways my exposure to metals trading is the most limited. I have no trading experience of both options and future, however, the j...

<t>Hi all,I'm about to move into the front-office as an LME futures and options trader and looking for advice. I've got a fair amount of exposure to FX/commods/equity markets but have never traded vol before. Can someone please talk a bit about the practical aspects of this new task of mine? Are the...

<t>Hi Alan,Thanks for the advice - and thanks for the feed back regarding Students being more appropriate and the positive response despite this.Regarding the two questions (1. what is the p.d.f. of R.V. X=f(S)? 2. what is the pdf of Y=X^2?)... the best I can seem to do is literally substitute the n...

Thanks guys. I'll stay tuned. Happy to share any other information

<t>Can any assumptions be made about the pay-off of an exotic option? For example, might we say the distribution of the pay-off a vanilla option would be Normal?I have built a valuation tool that estimates the price of a replicating delta-hedging strategy through Monte Carlo methods by trading the s...

Hi All, would really appreciate a copy of this paper at n.cutler@live.comThanks a bunch

Thanks guys

<t>Hi there,I need to structure this pay off with derivatives: I need to get a cash flow equal to the value of the greatest month Futures contract price over the next 2 years, and need to know the up front costs of this optionality.What I mean by that is from now till this time two years from now, w...

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How quantitative are you? Its an optimal control problem, at the heart of it is a Hamilton-Jacobi-Bellman equations

In my experience, yes

<t>Why do you guys dislike models that build on Spot processes? Im just finishing up a 2 factor model (Schwartz and Smith 2000) to forecast the FW curves one year out and simply define my optimal trading strategy (and respective pay off) as a simple optimization given my MC simulations - can you guy...

<t>We're looking at about USc 5-8/Mt of Oil. Cant use CSOs, not sure why but old trader said model just doesnt work. The Lookbacks are good as they incorporate value of going fully hedged and locking in the spread at inception, selling on spot today, or waiting and selling tomorrow. HOWEVER, it does...