SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by fomisha
February 21st, 2020, 12:14 am
Forum: General Forum
Topic: Creating volatility term structure
Replies: 2
Views: 1286

Re: Creating volatility term structure

What's the definition of "equivalent volatility"?
What are you trying to achieve?
by fomisha
February 11th, 2020, 3:34 pm
Forum: Technical Forum
Topic: option delta
Replies: 5
Views: 1539

Re: option delta

It can be below 0 or above 1.

On the subject of delta calculation take a look at this article:
https://www.linkedin.com/pulse/spot-vol ... y-klassen/
by fomisha
February 11th, 2020, 3:20 pm
Forum: Technical Forum
Topic: Var swap and Vol swap
Replies: 2
Views: 1429

Re: Var swap and Vol swap

Do a simple exercise. Calculate how much you will lose on 100K short vega sold at 10 which realizes 100.

Var swaps are easy to price and replicate. Vol swaps don't have extreme payoffs in the tails but are model dependent and do not have static hedges.
by fomisha
April 23rd, 2019, 2:43 pm
Forum: Technical Forum
Topic: Recovery of density functions from call/put prices
Replies: 18
Views: 7229

Re: Recovery of density functions from call/put prices

EAZL, conceptually the problem does not sound hard. However, the devil is in the details. Production quality implementation involves many steps. The set of issues is somewhat different for liquid and illiquid names. Vola Dynamics offers a very comprehensive and robust solution to the problem of cali...
by fomisha
March 2nd, 2019, 12:38 am
Forum: Trading Forum
Topic: VIX to Option Pricing Heuristics?
Replies: 5
Views: 3841

Re: VIX to Option Pricing Heuristics?

A good starting point would be VIX white paper and a primer on var swaps.
by fomisha
March 2nd, 2019, 12:27 am
Forum: Trading Forum
Topic: Sticky Strike or Sticky Delta
Replies: 2
Views: 3658

Re: Sticky Strike or Sticky Delta

Both sticky strike and sticky delta assumptions lead to arbitrage (see this https://math.unice.fr/~diener/nicemathfi03/Bruno_Dupire_vol_presentation_1302c.ppt ). Both sticky strike and sticky delta are not consistent with how implied volatilities move in liquid competitive markets (btw, which underl...
by fomisha
May 23rd, 2018, 6:22 pm
Forum: Trading Forum
Topic: Volatility Swap Hedging
Replies: 18
Views: 2253

Re: Volatility Swap Hedging

We don't have any paper in the public domain at the moment. There are several components which are important: 1) Robust fitting of parametric bias-free and arbitrage volatility surfaces. With a vol surface one can price a log contract. 2) Estimation of the distribution for the variance.  3) Volatili...
by fomisha
May 22nd, 2018, 8:03 pm
Forum: Trading Forum
Topic: Volatility Swap Hedging
Replies: 18
Views: 2253

Re: Volatility Swap Hedging

What are the hedging methods for volatility swap (rather than variance swap)? What are the possibilities of setting up a static, semi-static or dynamic hedging?  Check out this post on consistent valuation and risk management of vol derivatives and vanilla options: https://www.linkedin.com/pulse/vo...
by fomisha
October 24th, 2017, 9:36 pm
Forum: General Forum
Topic: Splitting data according to distribution moments
Replies: 11
Views: 1376

Re: Splitting data according to distribution moments

I am interested to take price (or rather, returns) data and divide it to n periods, according to distribution moments, in a way that will create the best separation. How do you approach that?
what is the metric by which different classifications will be compared? what are you trying to accomplish?
by fomisha
October 24th, 2017, 4:54 pm
Forum: General Forum
Topic: Equity Forward with cash dividends and stock lending
Replies: 2
Views: 821

Re: Equity Forward with cash dividends and stock lending

take a look at the paper on dividend modeling from here
https://www.voladynamics.com/research.html
by fomisha
July 14th, 2017, 4:53 pm
Forum: Technical Forum
Topic: On fitting SSVI model and calculating local vols
Replies: 3
Views: 1159

Re: On fitting SSVI model and calculating local vols

Check out the paper on non-arbitrage conditions for SSVI aka S3 and the presentation on implied vol fitting here:
https://www.volar.io/research.html
by fomisha
June 23rd, 2017, 2:31 pm
Forum: Trading Forum
Topic: What to make of the assumption of frictionless trading
Replies: 6
Views: 1471

Re: What to make of the assumption of frictionless trading

Most of the literature in quant finance assumes that trading is frictionless and taking place in continuous time. Going from continuous to discrete trading is intuitive and does not really disqualify any quantitative model. However, one would think that including transaction costs in real-life trad...
by fomisha
June 12th, 2017, 6:25 pm
Forum: Numerical Methods Forum
Topic: iv for all and all for iv
Replies: 102
Views: 15626

Re: iv for all and all for iv

If you need reliable ultra-fast implied vols on all OPRA universe with proper modeling of early exercise, borrow and cash dividends, send me a message. 
by fomisha
June 12th, 2017, 5:54 pm
Forum: Numerical Methods Forum
Topic: Listed option IV curve
Replies: 36
Views: 4611

Re: Listed option IV curve

Hello, Has anyone here worked in fitting a cubic psline to listed option/ exchange traded options of an underlying? I have a few doubts and was wondering if someone can help me figure out a few details please. Best. There are a number of issues with both splines and SVI. Check out Volar vol fitter ...
by fomisha
June 1st, 2017, 8:43 pm
Forum: Trading Forum
Topic: Tools for becoming a great trader
Replies: 13
Views: 9744

Re: Tools for becoming a great trader

to make money: buy low, sell high. there is no substitute for business intuition and common sense. 
if you need top tier tools for option pricing and volatility fitting/analysis - talk to me.
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