Approximately what are the going rates for percentages of salary/bonus paid to a head hunter when placing someone in a front office quant role ?

<t>I find this very hard to believe, the 4bn loss would have needed Jerome to have been long 30Billion notional of futures atleast and given that the last future roll was in december, he would have had to have built this position over the past few weeks. And it seems very far fetched that margin cal...

Because of the implied vol skew.

<t>On the topic of stochvol vs local vol. If you have a reasonably good stoch vol model that allows you to fit a lot of the europeans from your vol surface then there is no reason why you would ever want to use LV. The reality (I think) is that most desks dont have a great stoch vol model and end up...

Why dont you just solve the 2D PDE numerically using an ADI Scheme or even standard Crank Nicolson?

<t>QuoteOriginally posted by: jomniYup the market's the judge.If you have model that always shows that you're in the money, no matter how theoretically correct it may be, if it is unrealizable (you won't be able to unwinde in the desired price), your model is useless even if the market pricing is no...

<t>If you are talking about a cliquet with global + local caps and floors the way you hedge would depend on the way you price these cliquets in the first place If you use a stochastic vol model such as Heston you could always try to parameter hedge i.e. buy and sell Europeans or variance swaps to fl...

Have heard of a new instrument called the Gamma swap (or a variance swap weighted by spot price), does anybody have more details on how to price these?

With the huge amount of trading in the var swap market for equities, has there any work been done on variance swaps/vol swaps for non equity underlyings i.e. interest rates, CMS rates etc. Any links to relevent papers will be much appreciated.

<t>QuoteOriginally posted by: eiriamjhnot sure if I m following all the technicalities here, but can any one comment on the 'necessity' that a model for options on variance be 'consistent' with vanilla options? [where 'necessity' refer to arbitrage-freeness and 'consistent' needs to be defined]e.thi...

yep 2.5 times vol seems typical from what I see too.

since variance swaps have become so liquid, why doesnt one just treat the variance swap is the underlying and then go about pricing via BS? will have to look at quotes of variance to get implied vols of the variance swap...

I think that for single stocks there is usually a cap on the variance to ensure that the payout doesnt blow up in event of default, (could be a large cap)

send me a pm with your email address and I will drop you an email with a scanned version of the article.

count me in too (assuming the low post counters are eligible to attend too)