Has anyone had this problem with using the SABR model?? Problem persists even when I set Beta=1 (flat backbone)Beta=1 implies the ATM vol remains constant as the forward moves. I am calculating the delta by finite difference. So what is the problem?thank you

I have been asked to find a model for traders to use for pricing and hedging exchange traded options on the KOSPI. So far I have tried the SABR and Variance Gamma models but to no avail. The fit is very poor. Does anyone know of a model that fits the market well?regards

I have been asked to find a model for traders to use for pricing and hedging exchange traded options on the KOSPI. So far I have tried the SABR and Variance Gamma models but to no avail. The fit is very poor. Does anyone know of a model that fits the market well?regards

Has anyone attempted LiquidCapital's tests? I'm interested in the content of the arithmetic or logic tests and any other things to look out for in the interview.thanks in advance

They've just opened up in Sydney. They trade futures (proprietary). Does anyone know what they're about and if its a desirable place to work? (graduate trader role)

<t>I've worked as an actuary for a year now, an oportunity has opened up for me to join the trading team (asset liability matching)dealing with fixed income, as a trainee. The location is in missouri. I was wondering how this experience would be viewed by the New York I-Banks down the road.How are c...