thx ... seems thats what other ppl say too ... thx vm ...

sounds like what warren buffet was doing ...

hi guys, any of you know if there is any 3rd-party risk management system that provide risk/greeks for variance swaps or in general equity derivatives? ideally a light, low-maintenance system is better ... thx in advance ...

ok this clue with your picture makes me think about victoria secret ... any more details ...?

Thx

go to Marco Avellaneda's website at Courant

<t>QuoteOriginally posted by: movielovePF or Kalman filtering is not used to implement MLE directly but can be useful to evaluate the likelihood.To be specific, the likelihood could be decomposed into the product of a series of conditional densities and each component can be written as an integral i...

<t>QuoteOriginally posted by: mjpick a value of spot, price an at the money option in your model, compute the implied volchange the value of spot, keep the other parameters constant, price an at the money option in your model, compute the implied volthe two implied vols will be the sameMJ, isnt this...

you know your pay-off function so you can taylor expand it and take expectation and get today's value. go to Peter Carr's web where he is talking about static hedging using options.

The two Danes are really nice guys and worth working with.

<r>If you watched the video posted on the homepage of <URL url="http://www.wilmott.com">www.wilmott.com</URL> you should remember there are two types of hedging strategies using implied vol and forecast vol. And there are math formulas for the P&L for both strategies. Dr Wilmott's explanation is...

Dear paul,can you point to a formal writing of yours or anyone else's on this subject? thanks.

any spreadsheet application to get black implied vol inverted from the prices? anyone has posted somewhere on this board? many thanks

<t>US bank-wise, MS and GS are indeed the early goers. Eruopean bank-wise CS has some presence there. But I think right now the biz is only concentrated on investment banking like IPO or M&A but not trading, i.e. there is little to trade in China right now. people believe eventually derivatives ...

<t>i havnt seen any paper that exclusively focuses on taylor-expanding (your quadratic formula) the smile curve under those known Levy models, but some of these models, like VG, do have close form formula for option prices, given the parameters known. you probably can just numerically interpolate. <...