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by mrblue
May 19th, 2015, 1:17 pm
Forum: Trading Forum
Topic: Implied Vol vs Historical Vol, a methodologically correct approach?
Replies: 1
Views: 3141

Implied Vol vs Historical Vol, a methodologically correct approach?

<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...
by mrblue
May 11th, 2015, 11:17 am
Forum: Student Forum
Topic: fx swap fx risk
Replies: 2
Views: 12927

fx swap fx risk

<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...
by mrblue
September 23rd, 2009, 6:22 am
Forum: Trading Forum
Topic: Courses for options tarder (market making)
Replies: 3
Views: 35642

Courses for options tarder (market making)

<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...
by mrblue
September 16th, 2009, 11:09 am
Forum: Trading Forum
Topic: Courses for options tarder (market making)
Replies: 3
Views: 35642

Courses for options tarder (market making)

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
by mrblue
September 8th, 2009, 12:59 pm
Forum: General Forum
Topic: Volatility trading courses, suggestions?
Replies: 0
Views: 34559

Volatility trading courses, suggestions?

<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...
by mrblue
May 7th, 2009, 3:01 pm
Forum: Student Forum
Topic: Local volatility
Replies: 8
Views: 52356

Local volatility

<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...
by mrblue
April 1st, 2009, 9:22 am
Forum: Student Forum
Topic: Marginal and Conditional density in options pricing
Replies: 3
Views: 41243

Marginal and Conditional density in options pricing

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
by mrblue
March 4th, 2009, 10:56 am
Forum: Book And Research Paper Forum
Topic: commodities modelling book
Replies: 7
Views: 104286

commodities modelling book

<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...
by mrblue
September 10th, 2007, 11:54 am
Forum: Book And Research Paper Forum
Topic: book to program and trading options
Replies: 1
Views: 66148

book to program and trading options

<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...
by mrblue
August 9th, 2007, 7:42 am
Forum: Student Forum
Topic: ONE TOUCH VEGA
Replies: 3
Views: 67341

ONE TOUCH VEGA

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.
by mrblue
August 9th, 2007, 5:27 am
Forum: Student Forum
Topic: ONE TOUCH VEGA
Replies: 3
Views: 67341

ONE TOUCH VEGA

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
by mrblue
April 7th, 2005, 4:07 pm
Forum: Student Forum
Topic: VOLGAMMA
Replies: 8
Views: 158607

VOLGAMMA

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
by mrblue
April 6th, 2005, 4:20 pm
Forum: Student Forum
Topic: VOLGAMMA
Replies: 8
Views: 158607

VOLGAMMA

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
by mrblue
November 29th, 2004, 2:16 pm
Forum: Brainteaser Forum
Topic: conditional probability
Replies: 14
Views: 170064

conditional probability

ok very sorry sir, could you please provide the link for me? thank you very much
by mrblue
November 29th, 2004, 11:59 am
Forum: Brainteaser Forum
Topic: conditional probability
Replies: 14
Views: 170064

conditional probability

<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...
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