<t>empirically, div swaps tend to trade at a higher dividend than that implied by the forward for the corresponding maturity, which i have tended to assume is predominantly a taxation issue since the forward will (presumably) reflect the average tax position of the market whereas the div swap ignore...

At Watchman Towers we don't really apply a tolerance threshold, we reserve pretty much everything.I'm interested in what sort of stuff different houses regard as observable, and how they set about demonstrating observability - over here, its a painful process.

<t>There is no index for implied correlation that I know of - if there is I'd be very interested to learn of it.If you're looking at equities you can get some idea of implied correlations from options prices on the index and the index components, or from broker quotes for dispersion trades (index st...

<t>I expect you'll find it difficult to get decent prices for individual stock options beyond 3 years, so backing out the longer term divs from market data will be next to impossible.You'll have to fall back on estimating the divs beyond the point for which you get quotes, using some guesstimate of ...

isn't gambling legal anyway?

<t>It seems to me that SOX 404 is not a bad thing, and should be able to guard against many potential corporate problems; A SOX assessment would for example have identified that the controls in Barings were rubbish and prevented that sort of loss, or that there were problems with the Adecco accounti...

<t>I hesitate to respond to this, since I can only imagine the purpose of the post is to wind people up - why else join a quant finance forum and claim the quant skills are pointless? Nevertheless I might as well stick in my 2p worth:There are a number of posts in the other thread where the contribu...

<t>Does anyone know the convention (assuming there is one) for quoting on a var swap dispersion trade - i.e. buying/selling the index var swap vs the opposite on te the component var swaps. For example, would the quote be the difference between the index var swap strike and the vega weighted average...

<t>Taking, for example, a cliquet call spread we all know that deriving a skew from the vanilla vol surface will give too low a forward skew, in which case we need to apply some kind of correction. Is there a convention in how this correction is regarded, for example:- applying X% of the spot skew a...

if you've got enough prices, back out the divs from the calls and puts. If not, I don't think there is a definitive solution. You'll have to make some assumptions, potentially trying a few different scenarios with respect to how the dividends might grow (or not) over the next few years.

<t>Illiquidity is a big problem if you are a forced seller (or buyer for that matter) - if you are in for the long haul then it is less of a concern.LTCM's problems were largely blamed on a lack of liquidity, although it seems to me that lack of liquidity is something people often blame when the pri...

I'd say the structurer is the architect to the quants' structural engineer and marketer/salesman's interior designer.

<t>depends on your institution I expect.At Watchman Towers, the structurers are somewhere between quants and marketers - whilst they don't interact directly with clients, they need to understand client requirements and how to meet them in addition to a detailed understading of the products. Somethin...

quants don't die..they just decline in numbers.

<t>How do practitioners generally mark their single stock quanto levels? Index quantos, at least on the main index/fx pairings, are relatively liquid and have broker quotes aplenty, but so far as I am aware the same is not true for individual names.I could look at historic equity/fx correlations, or...