<t>Now I have only traded options in Sweden, and a few times in the U.S. The fact is that the market, at least the exchange traded, isn't very liquid. There are a few indices or stocks that might have liquid options, but for the most part liquidity isn't that good. The option series' usually have on...

mghiggins provides an explanation of the skew and smile in this thread: Volatility smile. Some insights about the RR and BF, together with links are given in this thread: Butterfly and risk reversal.

<t>Basically: "When can you start?"They will probably ask if you know what value at risk (VAR) is, and maybe one other risk question depending on the area. A basic numerical trick-type question also probably, like "You have a big cube built up by a 10x10X10 of smaller cubes. If you remove a complete...

<t>Perhaps FX options display more of a sticky-delta behaviour, but I wouldn't say that this is the reason for FX option being quoted in implied vol and delta. A more relevant question could be why equity options aren't quotes like this... Quoting in implied volatility and delta makes it much more c...

I would also be interested in reviews/view on this book. Schonbucher's book seems too heavy for bedtime reading, and Tavakoli's too boring (with the documentation stuff), is Chaplin's the golden mean?

<t>Not sure that I understand the question. But the reason for the volatility of ATMF option not to be equal to the volatility of the 50-delta option is that the delta of the ATMF option isn't equal to 50 (or 0.5). We have d1 = sigma*sqrt(T)/2 for the ATMF option, hence N(d1) is not 0.5, and the dif...

<r>RMBS = Residential Mortgage-Backed Security, CMBS = Commercial Mortgage-Backed Security, ABS = Asset-Backed Security, and HEL = Home Equity Loan. We can for example have a HEL ABS, i.e. an asset-backed security where a pool of home equity loans is the underlying collateral. See some investor glos...

I'll let Malz explain, see page 11 in the paper on http://www.newyorkfed.org/research/staf ... /sr32.html

<t>You might have a better chance of finding information on this formula if you do a search on Garman-Kohlhagen, not Garmen-Kohlhagen. The formula is mathematically equivalent to Merton's formula from 1973 for stocks paying a continuous dividend. I guess Garman and Kohlhagen's contribution was the i...

Pier,If you're referring to QuantOption's attachment then you should be able to open it. Just unzip and open it with any text editor, e.g. emacs, wordpad, etc.

<t>I have seen both the terms used in the context of hedge fund index performance measures, usually there is a distinction between selection bias and survivorship bias.Survivorship bias arises when hedge funds are deleted from a hedge fund databases. The deletion can be due to either that poor perfo...

Thanks to everybody for your comments. I will start out with some beginners book in C++, and the move over to Joshi or Duffy. Too bad that "Introduction to C++ for Financial Engineers and Quantitative Analysts" isn't available yet, that one sounds perfect for me.

<t>Cuchulainn,Thank you very much for the feedback. I can't give on-the-spot answers to all of the questions you provided, so it seems like I should learn the basics of C++ from another source before I start looking at the more complicated concepts in your book.I guess I'll have to devote more time ...

<t>I'm planning to do some self-studies in C++, so right now I'm trying to choose between buying Duffy's "Financial Instrument Pricing using C++" or Joshi's "C++ Design Patterns and Derivatives Pricing" (I don't have time to wait on Justin London's book). Any thoughts on the best buy? I don't have a...

<t>The Garman-Kohlhagen forumla is identical to the Merton forumla for an underlying paying a continuous dividend. Different derivations of this formula is found in most derivatives textbooks, the original source is "Merton, Robert C. (1973). Theory of rational option pricing, Bell Journal of Econom...