SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by billyx524
January 22nd, 2020, 3:01 am
Forum: Technical Forum
Topic: dumb question
Replies: 2
Views: 2679

Re: dumb question

So is put call parity really obeyed in real financial markets?  I mean in C+ PV(X) = P + S, we need a risk free rate.  But the lending rate would be different for different market particpants.
by billyx524
January 22nd, 2020, 2:13 am
Forum: Technical Forum
Topic: dumb question
Replies: 2
Views: 2679

dumb question

Hi, This might be a dumb question but I find myself questioning a lot of things I either took for granted or overlooked in the past in recent days. We know put call parity is obeyed in Black Scholes pricing model, but what is the condition/reason in the black scholes model that gurantees put call pa...
by billyx524
January 21st, 2020, 6:44 am
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 3688

Re: how exactly do traders determine prices

let's say for a bermudan swaption priced under hull-white model.  what would be the difference between the quote price given to the client and the model's theoretical price?
by billyx524
January 21st, 2020, 2:11 am
Forum: Technical Forum
Topic: option delta
Replies: 13
Views: 4205

Re: option delta

Thanks a lot.  The deeper I go into models, the more I ask myself, "how do we know our models derivations/results" are correct.  Sometimes getting confused between real financial markets and mathematical models
by billyx524
January 21st, 2020, 12:10 am
Forum: Technical Forum
Topic: option delta
Replies: 13
Views: 4205

option delta

Hi,

Does anyone know a no-arbitrage proof that call option delta has to be between 0 and 1?  We know that Black Scholes model N(d1) tells us that it is between 0 and 1, but is there a no-arbitrage argument?

Thanks
by billyx524
January 20th, 2020, 11:45 pm
Forum: Technical Forum
Topic: how exactly do traders determine prices
Replies: 8
Views: 3688

how exactly do traders determine prices

Hi, I have a question on how exactly do traders determine their price quotes.  let's say a clients comes to the trader, and asks for a price on an exotic instrument.  the trader goes to his quant, and asks for a theoretical/model price.  but then how does the trader determine what final price to giv...
by billyx524
January 19th, 2020, 2:23 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 3495

Re: All Power to PRDC Notes

Yes. I'm not claiming that we were particularly efficient, but we had a big stack of machines working on pricing and (arguably more importantly) risk numbers for them.  Was this for front office pricing or risk management (i.e. PFE purposes).  If it is for FO valuation, how many did you have on you...
by billyx524
January 19th, 2020, 1:17 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 3495

Re: All Power to PRDC Notes

Hmm, I don't, but I worked with Jason at the time. Our rule of thumb was that we needed to buy one more computer for every other PRDC he sold.
What do you mean?  Because of the computation resources required to price them?
by billyx524
January 19th, 2020, 1:17 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 3495

Re: All Power to PRDC Notes

Hmm, I don't, but I worked with Jason at the time. Our rule of thumb was that we needed to buy one more computer for every other PRDC he sold.
I reached out to him at JP Morgan, but unfortunately he does not have a copy anymore either.
by billyx524
January 19th, 2020, 1:16 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 3495

Re: All Power to PRDC Notes

Register for a free trial of Risk.net and you can read that paper.
https://www.risk.net/derivatives/1526705/all-power-prdc-notes
Unfortunately I already used my free trial :(
by billyx524
January 18th, 2020, 5:50 am
Forum: Technical Forum
Topic: All Power to PRDC Notes
Replies: 8
Views: 3495

All Power to PRDC Notes

Hi,

Does anyone have a copy of "All Power to PRDC Notes" published in 2002 by Jason Sippel and Shoichi Ohkoshi?

Thanks
by billyx524
January 18th, 2020, 5:20 am
Forum: Technical Forum
Topic: SABR backbone
Replies: 1
Views: 2780

SABR backbone

Hi,

I understand the SABR backbone is the ATM volatility as a function of the forward rate, but can someone explain to me what is the significance of this backbone term?
by billyx524
January 15th, 2020, 5:41 am
Forum: Careers Forum
Topic: Risk Quant trying to switch into front office / trading
Replies: 1
Views: 3535

Risk Quant trying to switch into front office / trading

Hi Everyone, I have worked in market risk and counterparty risk for more than 7 years now, most of which is in interest rate modeling.  I have been trying to switch into the rates front office side for a number of years now, but have had so much bad luck in the process.  It is been very frustrating....
by billyx524
September 4th, 2019, 1:40 am
Forum: Student Forum
Topic: Interview Question
Replies: 2
Views: 8749

Interview Question

Hello,

Can someone please help me with the following question.

Suppose we hold some stocks, and we want to add some treasuries in our portfolio.  Would it be better to add very long duration treasuries or a levered position in short duration treasuries?

Thanks
by billyx524
August 2nd, 2019, 10:13 pm
Forum: Student Forum
Topic: CMS Spread
Replies: 3
Views: 5720

Re: CMS Spread

Is there a reason why it is called a CMS spread, instead of something like just swap rate spread?
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