Serving the Quantitative Finance Community

Search found 9 matches

by dodobaby
October 2nd, 2006, 3:40 am
Forum: General Forum
Topic: OTC (exotic) option
Replies: 2
Views: 92327

OTC (exotic) option

First of all, u should sell products through sales.(u need to give sales commission)Then how could u earn money if issue vol spread is lower and lower?isn't it a tough business???
by dodobaby
September 25th, 2006, 6:05 am
Forum: General Forum
Topic: OTC (exotic) option
Replies: 2
Views: 92327

OTC (exotic) option

Does anyone know how investment bank run exotic option business?I mean the issue vol is lower and lower(near actual vol level)How does they hedge and earn money?
by dodobaby
July 27th, 2005, 9:09 am
Forum: General Forum
Topic: hedge CBs by futures or index option?
Replies: 0
Views: 140546

hedge CBs by futures or index option?

How to hedge CBs by futures or index option?Does everyone know any strategy?
by dodobaby
July 22nd, 2005, 4:05 am
Forum: General Forum
Topic: CB portfolio implied vol
Replies: 2
Views: 141639

CB portfolio implied vol

I mean how to calculate if we got "a CB portfolio"--got many CB issues.
by dodobaby
July 19th, 2005, 9:16 am
Forum: General Forum
Topic: CB portfolio implied vol
Replies: 2
Views: 141639

CB portfolio implied vol

How do we calculate the implied vol of CB portfolio?
by dodobaby
June 28th, 2004, 8:36 am
Forum: Technical Forum
Topic: About borrowing cost of convertible bond
Replies: 3
Views: 185804

About borrowing cost of convertible bond

Yes,I mean the borrowing cost of stock. And when I do delta hedge, how does the borroing cost influence greeks? And how to hedge practically is reasonable?
by dodobaby
June 24th, 2004, 9:23 am
Forum: Technical Forum
Topic: About borrowing cost of convertible bond
Replies: 3
Views: 185804

About borrowing cost of convertible bond

Hi! I have questions about the borrowing coast of CBs. Cause everyone's borrowing cost is somewhat different, how do I decide the delta and gamma of CBs when my borrowing cost is bigger than others? Would have any questions when trading vol? Thx a lot!
by dodobaby
March 22nd, 2004, 3:52 am
Forum: General Forum
Topic: About Bloomberg and Monis system
Replies: 19
Views: 198996

About Bloomberg and Monis system

Now I'm responsible trading Asian ECBs.And I found the result strange or couldn't calculate when using Bloomberg. So I wonder if had any questions when using Monis.
by dodobaby
March 19th, 2004, 4:44 am
Forum: General Forum
Topic: About Bloomberg and Monis system
Replies: 19
Views: 198996

About Bloomberg and Monis system

Dear all:Did anyone use both these two systems to do valuations on convertible bonds?I have no idea which one is better.Pls let me know if anyone used it!