SERVING THE QUANTITATIVE FINANCE COMMUNITY

## Search found 63 matches

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?
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:
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.
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...
March 2nd, 2019, 12:38 am
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.
March 2nd, 2019, 12:27 am
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...
May 23rd, 2018, 6:22 pm
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...
May 22nd, 2018, 8:03 pm
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...
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?
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
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
June 23rd, 2017, 2:31 pm
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...
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.
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 ...
June 1st, 2017, 8:43 pm