<t>I think I could put a value on most of the options mentioned. For example, I would quote the odd/even digit one at -a/+a with a between $0.01 and $.50 and depending on the expected flow and my utility fucntion. I would not hedge but I might do something in the market if the position is big enough...

What is the standard hourly fee that decent consultants charge for derivatives valuation and risk management advice? Any experience? Project of about 60 hours for a second-tier european bank? Thanks

<t>Few tips1) If you fit to prices, do not use ITM option prices. Fit to OTM options replacing your 110%puts with calls. Better, fit to BS implied or vega-weighted prices (it is the same up to vega convexity)2) Do not fit to point vols. Fit to ATM vol, 90-110 skew and 90-100-110 curvature with some ...

<t>Man, ManuLondon:OK, let's do it slowly1) ManuLondon: "actually the straddle is a very rough way of playing a long volatility position, because you find yourself long theta,"wrong. An OTM strangle is short theta.2) ManuLondon: "Sell Long dated ATM calls, Buy Short dated ATM callsSell Long dated AT...

ManuLondon, I am not sure you know what you are talking about You are lucky that some partcipants have recently been banned Best regards

...straddle is long theta...selling calendar spreads in anticipation of implied rise...sounds great!!! Are you doing it in big size?

Ok, so we are talking about redelivery between different futures maturities. I think I get it now, thanks

<t>What is a REdelivery? If I was e.g long on a June Brent futures contract, and physical delivery was chosen I will have to take delivery of the physical oil. When do I have to REdeliver it? Same maturity futures positions are netted out, so I can't be both long and short June Brent futures, can't ...

OilTrdr, I do not quite understand what do you mean by "can not be redelivered"? I thought that Brent futures can be settled physically by delivering the oil, can't they?Thanks

It is the interest rate such that after Pi years you deposit turns to a debt of the same notional. ((c) not me)Reminds me of some retail structured proucts

<t>The answers to your question are very simple:1)>"With the implied surface, what is the value of the Heston or VG parameters?" There are no Heston or VG parameters that would match your surface exactly in any 'global' metric. Depending on the metric chosen, the problem of fitting approximate Hesto...

<t>je ne suis pas sur qui est une blonde ici mais...There is no such thing as "vol of vol determined by an implied vol model". The problem is that vol of vol describes dynamics of the underlying movements and the shape of the smile can be determined by many different factors. For example, for a fixe...

<t>Frankly, I do not understand why one would fit a Heston model to a smile generated by another model. What is the purpose of this exercise? Where does your surface come from? With all respect, 'naive' least-squares fit of smiles produced by two different models can give rather unstable and counter...

<t>Aaron, monotonicity of the cake (projection on table area) on the left is trivial. However, it is easy to imagine a cake with non-continous left projection area for many cut directions (like a cake with lots of small squares cut off from it at different orientations). There is one more complicati...

<t>The probelm lies not in the optimization method used but in metric used. Why would you want to minimize squared deviation form 'market price'? Is there really a way to observe a 'market price' reliably? I think not. What you observe directly are simultaneous bid and offer quotes and some isolated...