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by zrj
January 16th, 2011, 5:02 pm
Forum: General Forum
Topic: Short vega risk
Replies: 3
Views: 22802

Short vega risk

How about checking your risk limits, stop loss or similar?
by zrj
June 22nd, 2009, 7:56 pm
Forum: Technical Forum
Topic: ASCOT (Asset Swapped Convertible Option Transaction)
Replies: 3
Views: 44364

ASCOT (Asset Swapped Convertible Option Transaction)

<t>Well... in theory u can, but 1.- u'd need a strong pricing model (at least 3-factor) to accurately compute your deltas, gammas, and cross-gamma2.- u'd need a liquid cds market to hedge (generally cb issuers are entitled to such honors)3.- u'd find out the equity delta dominates the other 2 by far...
by zrj
September 29th, 2008, 8:11 pm
Forum: Off Topic
Topic: I guess this -7.8% on the s&p speaks for itself...
Replies: 13
Views: 49868

I guess this -7.8% on the s&p speaks for itself...

it's actually -8.8%... going lower on globex
by zrj
September 29th, 2008, 8:10 pm
Forum: Off Topic
Topic: I guess this -7.8% on the s&p speaks for itself...
Replies: 13
Views: 49868

I guess this -7.8% on the s&p speaks for itself...

I thought everyone would be commenting this... or are we just staring in at the numbers and their potential meaning?
by zrj
March 16th, 2008, 11:21 pm
Forum: General Forum
Topic: Bear Stearns
Replies: 134
Views: 76868

Bear Stearns

that is ugly...
by zrj
March 3rd, 2008, 10:45 pm
Forum: Trading Forum
Topic: Top HF Players in convertible arbitrage
Replies: 8
Views: 61720

Top HF Players in convertible arbitrage

funny enough, in european CBs , I wonder how those guys make money, considering this market is quite expensive...either they don't trade CBs anymore, or some serious markdowns are in the happening, especially in this credit scarcity environment
by zrj
November 2nd, 2007, 7:17 pm
Forum: Technical Forum
Topic: Greeks are very close for an American and European option?
Replies: 3
Views: 63623

Greeks are very close for an American and European option?

for vanilla options, since a american option is essentially a european one + the right to exercize early, greeks should be roughly identical except when close to early exercize conditions...
by zrj
October 25th, 2007, 5:50 pm
Forum: Technical Forum
Topic: barrier shifting/bending
Replies: 12
Views: 81137

barrier shifting/bending

<t>since you can only trigger your option once, comparing to an european digital which can be trigger only at expiry, it's not rigorously true, but you can view it as if all the odds of hitting the barrier where concentrated on only side. So roughly speaking, it's like you having twice the opportuni...
by zrj
October 25th, 2007, 5:38 pm
Forum: Trading Forum
Topic: Which markets amazed you the most ?
Replies: 12
Views: 67728

Which markets amazed you the most ?

the emerging markets...
by zrj
October 19th, 2007, 3:00 pm
Forum: Technical Forum
Topic: Reverse Convertible Notes
Replies: 7
Views: 66874

Reverse Convertible Notes

ur cpn is then a simple bet triggered at the barrier lvl...hope this helps.
by zrj
July 15th, 2007, 6:07 pm
Forum: Technical Forum
Topic: Implied vol in EM
Replies: 2
Views: 69121

Implied vol in EM

<t>QuoteOriginally posted by: marcodtAny one has some idea abt how to come up with implied vol in Emerging mkt, given delivered vol there as well as delivered and implied vol in core mkts. I was thinking abt fitting a model to the difference between the delivered and implied vol in core mkts, and th...
by zrj
April 10th, 2007, 9:08 pm
Forum: Technical Forum
Topic: Convertible bonds and discrete dividends
Replies: 4
Views: 76049

Convertible bonds and discrete dividends

in any case, i don't think there is a market convention on quoting CBs according to dividend yield. I'm even curious as to know if there is any such convention for vanilla otc options...
by zrj
March 22nd, 2007, 10:08 pm
Forum: Technical Forum
Topic: A question on Skew - exotic equity derivatives
Replies: 7
Views: 95614

A question on Skew - exotic equity derivatives

cos' of the reset feature maybe?
by zrj
March 7th, 2007, 9:04 pm
Forum: Technical Forum
Topic: Digital Option question
Replies: 23
Views: 181054

Digital Option question

if u are short an american digital, u really do not need that kind of gamma smoothing... for the record, in case u were long, the shifting goes same way as your stop/loss, not opposite
by zrj
February 27th, 2007, 9:42 pm
Forum: Off Topic
Topic: Want legit reasons: When everything goes down, the only thing that goes up is correlation
Replies: 6
Views: 78130

Want legit reasons: When everything goes down, the only thing that goes up is correlation

makes one wonder why even shorting it...even if it seemed so sweet to earn carry in the first place