<t>Most of time i speak to vol traders ( i myself am an fx option trader) one of the capital criteria to detect and assess reach/cheap spots in the vol surface is to compare the two vols, implied and historical. Many data provider offer this easy approach (see VOLC in bloomb for example) and sales s...

<t>I don't agree with Adnan.1) You will definitely have a fx spot risk at inception of the deal if the two sizes of the fx swap are same, just because the delta spot of a fwd is not equal to the delta spot of a spot. 2) Of course you should do it, but after two days that leg will be bacome just cash...

<r> thank you very muchthis seems to be good as wellhttp://<URL url="http://www.emagister.co.uk/steven_shreve_on_stochastic_calculus_london_courses-cinst-204860.htm#programa"><LINK_TEXT text="www.emagister.co.uk/steven_shreve_on_st ... m#programa">www.emagister.co.uk/steven_shreve_on_stochastic_calc...

Which are the most interesting courses it's possible to attend in London for a fx/commodity options market maker? (2 / 3 Days)Thank you very much

<t>Hi,I am an fx and commodity options trader. I have to choose a 2/3 days course to attend in London. Subject could be quantitative or trading related. I am hesitant between something like: "Advanced quantitative modelling, trading and risk management strategies" or "MATLAB Fundamentals and Program...

<t>I too am a little bit confused about the difference between the implied and the local vol. For example: every day i build my vol surface based on main pillars available on the market, RR Fly and ATM delta neutral. Eventually i get a surface with all delta and pillars filled with a corresponding v...

HiReading and studying derivatives textbooks i often find, not well explained, the concepts of marginal and conditional density for pricing options. Besides formulas, which is the real meaning and importance of that in the general pricing framework in a smile environment?Thank you

<t>HiI need an overview on metals, soft commodities, oil, and for this purpose probably the best book seems to be the Helyette Geman "Commodities and Commodity Derivatives : Modelling and Pricing for Agriculturals, Metals and Energy"I need a suggestion for a little bit more advanced modeling book fo...

<r>Does anybody know anything about this 2 books? I would need a couple of good books to program and trading fx optionsThe first: "Option pricing models and volatility using excel vba"<AMAZON id="0471794643T" tld="uk" url="http://www.amazon.co.uk/Option-Pricing-Models-Volatility-Finance/dp/047179464...

No, i'm just talking about a one touch at hit. So for example if eurusd reach 1.4000 you get spot 1,000,000 euro.

Why a 1 yr one touch has much less vega than a 1 month (other details remaining the same)? I find it a little counterintuitive. If vol increases i would expect that a long dated one touch get more value than a short one beacause it became more probable to be hit...Thank you

no mate i just needed an intuitive explaination of how gamma changes when implied volatility moves depending on the option is out/at/in the money. Thank you

Could anyone indicate me a paper explaining the relationship between the implied volatility and gamma of options? I think this greek is usually called volga. I need even only an intuitive explaination. Thank you very much

ok very sorry sir, could you please provide the link for me? thank you very much

<t>In front of you there are 3 boxes, A, B, C. In only one of the 3 there is 1 million dollar, the others are empty. You are asked to choose one among them. Step 1) You choose one at random, for example the A box. Step 2) You are shown the empty box, between the 2 boxes you didn't choose, for exampl...