SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 624 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 42
by Antonio
January 7th, 2017, 12:37 am
Forum: Technical Forum
Topic: Monotonicity of Implied Volatility with Volatility of Volatility
Replies: 6
Views: 2814

Re: Monotonicity of Implied Volatility with Volatility of Volatility

Dear lovenatalya, I would look at the following paper:  http://www.sciencedirect.com/science/article/pii/0304414987902018. This is not Hajek's original article ( B. Hajek,  Mean stochastic comparison of diffusions) but should provide some useful elements.  I would be more than happy to discuss about...
by Antonio
October 6th, 2016, 7:20 am
Forum: Technical Forum
Topic: Looking for a simpler proof -- Moment explosions
Replies: 7
Views: 1416

Re: Looking for a simpler proof -- Moment explosions

Hello Alan,
If you just write out the integrals, you have something of the form
$$
\int_{\mathbb{R}}\exp\left\{\alpha\int_{0}^{T}e^{z\sqrt{t}}dt\right\}\exp\left\{-\frac{z^2}{2}\right\}dz.
$$
As z tends to infinity, the integrand is positive and does not tend zero, for any $\alpha>0$.
by Antonio
March 4th, 2016, 9:38 am
Forum: Student Forum
Topic: Master in Quant Finance
Replies: 3
Views: 2115

Master in Quant Finance

Dear Fadai88,You could try related MSc in Business School, but in a Maths department, this sounds very unlikely. Typically, when we say "mathematical background", we mean some combination (at undergrad level) of analysis, functional analysis, ideally proba/stats, algebra.
by Antonio
December 21st, 2015, 9:08 am
Forum: Technical Forum
Topic: Monotonicity of Implied Volatility with Volatility of Volatility
Replies: 6
Views: 2814

Monotonicity of Implied Volatility with Volatility of Volatility

<t>Hello lovenatalya, For fixed maturity, one way to potentially prove some results along these lines would be to use some (Hajek's) comparison theorem. The first step would be to see if the total variance increases/decreases (almost surely) with the vol of vol, and then transfer that to the stock p...
by Antonio
September 4th, 2015, 9:22 pm
Forum: Student Forum
Topic: Implied volatility expansion at 0 for BNS model
Replies: 12
Views: 5271

Implied volatility expansion at 0 for BNS model

<r>In the case of models with jumps, the at-the-money smile depends on whether you have a Brownian component or not. This is treated precisely in the following paper: <URL url="http://arxiv.org/abs/1006.2294In">http://arxiv.org/abs/1006.2294In</URL> light of recent results, you may want, for precisi...
by Antonio
July 2nd, 2015, 3:01 pm
Forum: General Forum
Topic: SSVI calibration
Replies: 38
Views: 6424

SSVI calibration

Quantuplet, thank you for your comment.Indeed, the power law seems to have nicer properties.As far as I have seen, though, if you take the SPX, for maturities not too small, the Heston function phi is also pretty good.PS: I know the remark on Page 14, as I am the other author.....
by Antonio
July 2nd, 2015, 10:48 am
Forum: General Forum
Topic: SSVI calibration
Replies: 38
Views: 6424

SSVI calibration

And I agree with Quantuplet's fit for the SSVI slice.Will check the other Python optimisers and let you know.One question though, why did you take this function phi and not the other function phi proposed in the paper?Best,
by Antonio
July 2nd, 2015, 10:47 am
Forum: General Forum
Topic: SSVI calibration
Replies: 38
Views: 6424

SSVI calibration

Just did the standard SVI fit (with a, b, rho, m, sigma) and I agree with Cuch that the parallel shift up, then down gives a perfect fit, with optimal parameters:a, b, rho, m, sigma = 0.4806313 0.08346917 -0.41060706 -0.13041738 0.25963651
by Antonio
July 1st, 2015, 3:59 pm
Forum: General Forum
Topic: SSVI calibration
Replies: 38
Views: 6424

SSVI calibration

At first sight, the L-BFGS-B does not seem to be able to catch the left wing. The rest of the fit seems ok, though.I will try more carefully tomorrow.Best,
by Antonio
July 1st, 2015, 1:47 pm
Forum: General Forum
Topic: SSVI calibration
Replies: 38
Views: 6424

SSVI calibration

I agree. I just check it afterwards.
by Antonio
July 1st, 2015, 9:50 am
Forum: General Forum
Topic: SSVI calibration
Replies: 38
Views: 6424

SSVI calibration

<r>Dear Cuchulainn, Quantuplet,Jim G. does indeed use R.I personally use Python/IPython, with the L-BFGS-B constrained optimisation algorithm (<URL url="http://docs.scipy.org/doc/scipy-0.15.1/reference/generated/scipy.optimize.fmin_l_bfgs_b.html"><LINK_TEXT text="http://docs.scipy.org/doc/scipy-0.15...
by Antonio
April 20th, 2015, 9:38 pm
Forum: Book And Research Paper Forum
Topic: Publishing an article in Applied Mathematics Letters
Replies: 44
Views: 7975

Publishing an article in Applied Mathematics Letters

Dear mbunea,Just out of curiosity, why this journal, and not a mathematical finance journal, which will be read by people working in the area?Best wishes,
by Antonio
March 29th, 2015, 3:31 pm
Forum: Careers Forum
Topic: Which of these PhD is better for quant industry?
Replies: 40
Views: 8694

Which of these PhD is better for quant industry?

<t>Dear JacobYW,I would say being in a top university is probably the most important factor. Then, the topic, your supervisor (his industry contacts) and your motivation are (not necessarily in that order) very important factors. Regards your list, it looks odd to put Imperial College Business Schoo...
by Antonio
March 10th, 2015, 10:18 am
Forum: Student Forum
Topic: Implied volatility expansion at 0 for BNS model
Replies: 12
Views: 5271

Implied volatility expansion at 0 for BNS model

Dear zukimaten,As Alan mentioned, models with jumps do not have a small-maturity smile, except at the money. This exact meaning is that, as the maturity tends to zero, the smile blows up to infinity. Or you need some rescaling in order to observe some genuine limit.Best,
by Antonio
November 28th, 2013, 8:36 am
Forum: Technical Forum
Topic: Smile extrapolation - Benaim et al
Replies: 18
Views: 8589

Smile extrapolation - Benaim et al

<t>Hello,It may depend on what you are trying to achieve: are you calibrating a given model, for which you need to extrapolate or are you trying to calibrate some parametric function to the observed smile, and then extrapolate this function outside the observed range?Another possibility is to consid...
  • 1
  • 2
  • 3
  • 4
  • 5
  • 42
GZIP: On