sega could be d(smile)/dS...

OK I found it too. Thanks.I saw that Volga is called too vega variance. More practical.For the others maybe they are intern to company ie propre names.

Hi!I have discovered lots of Greeks when I used pricers. But several are "strange"...Do you know what does it mean?Vanna, volga (or wizoo), voma, sega, delga, curve ?thanks

what do you mean by "multiplier"? ...#shares by contract (eg. 100)?

<t>Totally OK with you. I get the same pbm.In fact that depends on the value of vega notional. If you have Nvol=50,000 €/vol pt and Kvol=18% (ie Kvar=324), you compute that the var notional is Nvar=1,388 €/var pt.Therefore weights should be still below 1 after have been multiplied by Nvar...But if y...

OK. and for variance strike:Do you know if Kvar is quoted in %: Kvar = Kvol² = a) 0.0324=18%² b) 324=18%² x 10,000 c) 3.24% ?With your definition, good answer is b) ie 18²=18% * 10,000=324. right?

<t>thanks for your answer.Just still some questions... 1/ You write that Strike = Kvol x 100 = sqrt(Kvar) x 100 in my notations. But if Kvol is quoted in %, the variance notional becomes:variance notional = vega notional x 10,000 / (2 x Kvol)Example: Nvol = vega notional = 50,000 EUR/vol point and K...

<t>HelloI have a question about the relation between the var fair strike Kvar, the replication portofolio (OTM calls/puts) and the vega notional fixed on the termsheet.Exemple: you are short a VS (on a stock) with a vega notional Nvol of 50,000€ and a vol fair strike of 18% (Kvar=3.24%=324).1/ First...

<t>HiI'm searching 2 papers about Var Swaps and options on variance. These articles are written by Hans Buehler (GME Quantitative Products Analytics) from Deutsche Bank.Papers are published in Equity Hybrid Derivatives, Wiley (2005).Maybe someone working at DB could send to me these papers (in PDF e...

I read these articles but nothing for my pbm...

sorry. my topic is complete now. thanks.

<r>Hi.I do an internship about pricing var swaps and I need to find a lower bound for the fair value (fair strike so-called Kvar) of var swap.Article Ref: <URL url="http://www.ederman.com/new/docs/gs-volatility_swaps.pdfOn"><LINK_TEXT text="http://www.ederman.com/new/docs/gs-vola ... waps.pdfOn">htt...

<r>QuoteOriginally posted by: amkeyHi there,Can anyone tell me what are the closed form solutions for Parisian and ParAsian option with dividen?Thanks a lotSee this article from CERMICS lab.<URL url="http://cermics.enpc.fr/reports/CERMICS-2005/CERMICS-2005-294.pdfThey"><LINK_TEXT text="http://cermic...

<t>QuoteOriginally posted by: amkeyHi there,Can anyone tell me what are the closed form solutions for Parisian and ParAsian option with dividen?Thanks a lotI do a French master of science in quant finance and I did a small research project about pricing and hedging Parisian options.By Parisian optio...