They do not tend to leave their business cards in specific literature in the financial book shop in London.

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<t>QuoteOriginally posted by: JamesH83Thanks baghead, i thought it was more complicated than that.So gamma scalping is just a standard delta neutral long vol play for which you pay your theta decay?at 16 vol you want the underlying to move on average 16/(252)^0.5 each day, correct?correctamente...I ...

Suppose impl vol of 20 and 60 days till maturity.for at-the-money options vega is almost constant, regardless of changes in vol.for OTM option it`s a strictly increasing function. convex on the downside (approx. 5-15% vol in our example) and concave beyond.check natenberg p.117

<t>suppose you are long 1000 calls (contract size 100) with a delta of 0.6 priced with a vol of 16.to be delta neutral you sell 60000 shares.since you are long an option you are gamma long meaning if the underlying price increases your delta increases and vice versa.If the stock moves up 1% your del...

<t>MattF is absolutely right.Soldman Gachs invited recently a couple of juniors for a 5 hours - 9 interviews marathon.Among them were people with 2-3 years convert arb or EQ derv prop experience.After 5 hours it turned out that the position they had to fill was an assistent position for the cash sal...

dresdner has not closed down their EQ /EQ derivs business (at least not yet) and they are still working with imagine software....If you consider DrKW as a tier 1 IB the statement below is true....

hfb & hsh?

<t>QuoteOriginally posted by: secondManQuoteOriginally posted by: bagheadlooks to me that vol will pick up as soon as the rally starts..... ;-)rising vola in a bullish market would be quite suprising to me.6m ATM vol in the DAX is currently what? 14,5?if the rally to 4800 starts we will see daily mo...

hedge funds! sorry for that

US corporates out with bad news, market drops, vol down third of a point...rumours hfs sold 1,5 bln vega vol swaps dec 05.any insights?

For grads, I regard the embedded real option of an rotational programme as very valuable....low margin business, like FX spot, rarely offers upside with a view on a 20 years career. FX options is certainly a great opportunity.

<t>Hi,I am currently looking for a phd programme. this one is band new, so, there are no alumni for questions/recommendations. all I have is the curriculum and the lecturers as an indication..Schmidt is former head of research & analytics at Deutsche and published in risk magazine, tompkins is/w...