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by BLOBY
October 30th, 2012, 5:37 pm
Forum: Numerical Methods Forum
Topic: Correlation linearization
Replies: 5
Views: 10932

Correlation linearization

<t>1. What exactly are the capabilities of your optimizer?=> I don't know, it's just the optimization toolbox of Matlab (fmincon function)2. What exactly is the (ideal) correlation constraint you want to approximate? => I just wanna constraint the correlation between my output portfolio return (Nav)...
by BLOBY
October 29th, 2012, 2:02 pm
Forum: Numerical Methods Forum
Topic: Mean reversion playing
Replies: 0
Views: 10454

Mean reversion playing

<t>Hey fellas, I heard that it's possible to trade equity index mean reversion with PLAIN VANILLA OPTIONS ? Any thoughts about it ?I just knew that a long/short weekly varswap against daily varswap is the traditionnal way to trade mean reversion, but any alternative way is about weekly options tradi...
by BLOBY
October 29th, 2012, 1:59 pm
Forum: Numerical Methods Forum
Topic: Correlation linearization
Replies: 5
Views: 10932

Correlation linearization

Alan, my optimizer is Matlab, and I just try to minimize my equity portfolio's variance under a few sectors, liquidity constraints ... and particularly a correlation (between my output portolio and an equity benchmark) constraint...Thanks again.
by BLOBY
October 23rd, 2012, 8:11 am
Forum: Numerical Methods Forum
Topic: Correlation linearization
Replies: 5
Views: 10932

Correlation linearization

Hi, I got to set a correlation constraint in my optimizer for an equity portfolio generating, but correlation is not linear and even not convex. How would you linearize correlation in order to be able to set it as a constraint ? Thx a lot.
by BLOBY
June 26th, 2012, 3:37 pm
Forum: Technical Forum
Topic: Weekly variance swaps replication
Replies: 0
Views: 11905

Weekly variance swaps replication

<t>I heard that the most efficient way to arb mean reversion on equity is to replicate it via vanilla options, instead of the well know long/short daily varswap versus weekly varswap, due to liquidity issues.How would your do so ? In other words, how would you replicate weekly variance swaps payoff ...
by BLOBY
May 6th, 2009, 1:54 pm
Forum: Technical Forum
Topic: How can you replicate a put on index variance with vanilla equity stock options ?
Replies: 6
Views: 40280

How can you replicate a put on index variance with vanilla equity stock options ?

Hello, I'm wondering if it's possible to replicate a put on index variance with vanilla equity stock options ?Any ideas ?
by BLOBY
April 17th, 2009, 6:13 am
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97082

Covered Calls for asset management

Furthermore, does anybody try to sell calls on a daily basis, in order to reduce more volatility et restrike more frequently ?
by BLOBY
March 31st, 2009, 6:12 am
Forum: Technical Forum
Topic: Currency futures
Replies: 8
Views: 41857

Currency futures

Moreover, do you know if it's possible to trade less than 1 contract ?
by BLOBY
March 30th, 2009, 7:43 am
Forum: Technical Forum
Topic: Currency futures
Replies: 8
Views: 41857

Currency futures

daveangel, how would you hedge duration mismatch between currency swaps and currency futures ?
by BLOBY
March 30th, 2009, 6:10 am
Forum: Technical Forum
Topic: Currency futures
Replies: 8
Views: 41857

Currency futures

<t>I saw indeed that currency futures (CME) have quarterly cycle, so the next available maturity is june, albeit I currently use 2 weeks maturity currency swaps... so I don't know how to solve this problem if I take the decision to trade now currency futures.Contract Size is 125,000 euro for EURUSD ...
by BLOBY
March 27th, 2009, 4:28 pm
Forum: Technical Forum
Topic: Currency futures
Replies: 8
Views: 41857

Currency futures

Could you explain more ?
by BLOBY
March 27th, 2009, 4:06 pm
Forum: Technical Forum
Topic: Currency futures
Replies: 8
Views: 41857

Currency futures

Does anybody know if currency futures are become liquid products ?Because I currently hedge my portfolio's currency risk with OTC currency swaps, but the problem is that I can not realize my P&L (I can not make an early termination of these swaps).Any suggestions ?
by BLOBY
March 27th, 2009, 1:26 pm
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51642

Timer options

EndOfTheWorld, regarding cond varswaps, why do you trade digital options and not vanilla options strike at the barrier ?
by BLOBY
March 27th, 2009, 9:35 am
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51642

Timer options

Thanks for the explanations. EndOfTheWorld, Do you have an idea about how conditional varswaps can be hedged / replicated ?
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