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Search found 21 matches

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by keribou
April 15th, 2007, 4:06 pm
Forum: General Forum
Topic: Is Volatility Skew fair ?
Replies: 3
Views: 75773

Is Volatility Skew fair ?

Indeed, i also thinh that volatility skew is fair. My need is to get more information about the statistical estimation of volatility skew presented in these articles.I reformulate my question. Anyone could give me these articles ?Best regards
by keribou
April 14th, 2007, 9:43 pm
Forum: General Forum
Topic: Is Volatility Skew fair ?
Replies: 3
Views: 75773

Is Volatility Skew fair ?

Hi,I should infinitely "reconnaissant" to the quant community if you could give me a copy of If volatility skew fair (Derman and Al) A simple non parametric estimation of derivatives securities (Stutzer 1996).Best Regards
by keribou
January 22nd, 2007, 9:01 am
Forum: Technical Forum
Topic: Heston Calibration
Replies: 10
Views: 85962

Heston Calibration

<t>HiI try to calibrate heston model to implied volatility surfaces. To do that, i use genetic algorithm with SSE weighted by vega BS.I solve the fourier transform with numerical integration (gauss legendre) and the characteristic function is the gatheral formula.The absolute error is over 1.5 volat...
by keribou
January 12th, 2007, 10:25 am
Forum: General Forum
Topic: Heston Calibration
Replies: 4
Views: 83435

Heston Calibration

<t>Hi,I try to calibrate the heston model to equity implied volatility surface. I face to issues as: (1) selecting a good objective function, (2) Optimization method (GA, SA or others).Can you help me on above topics and others if you think that i must focus on others crucial points.Thanks a lot </t>
by keribou
July 10th, 2006, 3:36 pm
Forum: General Forum
Topic: measure of delta for an option on cppi structures
Replies: 3
Views: 99562

measure of delta for an option on cppi structures

<t>It seems indeed that the delta can be explain by the Leverage called the Maximum borrowing Amount Feature and the Target Allocation Function TA = m * Distance.In fact, i want to be sure that the above components influence the delta.Do you have a financial interpretation or mathematical interpreta...
by keribou
July 10th, 2006, 2:52 pm
Forum: General Forum
Topic: measure of delta for an option on cppi structures
Replies: 3
Views: 99562

measure of delta for an option on cppi structures

<t>Hi,Concerning the cppi subject, i post the valuation of delta for an option on cppi. More precisely, we need to valuate the option sensitivity to the FoF changes.However, when we compute the delta by finite difference we obtain a delta > 100% when we set leverage and a certain allocation function...
by keribou
May 25th, 2006, 6:17 pm
Forum: General Forum
Topic: Avellaneda PDE pricing
Replies: 1
Views: 104019

Avellaneda PDE pricing

<t>hiSomebody knows how to proceed to price a call spread with Avellaneda PDE uncertain volatility model with finite difference and fully implicit scheme. Precisely, i don't know how one choose the vol related to sign of gamma to solve the system of equations because the gamma is computed with the v...
by keribou
March 24th, 2006, 12:34 pm
Forum: General Forum
Topic: CPPI and CPPI Options
Replies: 5
Views: 113703

CPPI and CPPI Options

HiI would like to engage a talk about CPPI and CPPI Option: Features, Risk, Evolution, CPPI vs OBPI and Exotics features based on CPPI mechanism.Post your comments in this forum.Thanks
by keribou
November 24th, 2005, 9:19 am
Forum: General Forum
Topic: PRICING GAP OPTIONS
Replies: 6
Views: 132832

PRICING GAP OPTIONS

HiI'm looking for articles on pricing of gap options. Gap means the gap risk inherent in the CPPI technique or in the hedge funds derivatives.Could you help me ?Thanks
by keribou
November 17th, 2005, 7:40 am
Forum: General Forum
Topic: Fund derivatives
Replies: 4
Views: 130634

Fund derivatives

Hi derfund,Your sentences are interesting and i would like to known if you can tell me if it exist some mathematical articles or books on these subjects (Pricing & hedging options on CPPI and CPPI structure) ?Thanks you derfund.
by keribou
November 16th, 2005, 12:00 pm
Forum: General Forum
Topic: Derivatives CPPI and technical articles on CPPI
Replies: 0
Views: 129824

Derivatives CPPI and technical articles on CPPI

HiI'm a quant on CPPI method and i would like to known if someone can send me technical articles on CPPI and Derivatives on CPPI.Thanks everybody.
by keribou
June 21st, 2005, 2:56 pm
Forum: Numerical Methods Forum
Topic: Greeks By Finite Difference on structured products
Replies: 1
Views: 147809

Greeks By Finite Difference on structured products

<t>Hi,I work on structured products and the agreek's estimations re performed by finite difference and QMC.However, we are faced to evaluate the efficient shift to achieve convergence and financial meaning of greeks.Indeed, a shift too low can be explain by the imprecision of the price and if it is ...
by keribou
March 22nd, 2005, 12:52 pm
Forum: General Forum
Topic: extrapolation methods for implied volatility surface
Replies: 19
Views: 170513

extrapolation methods for implied volatility surface

Thans a lot.Well, for the interior points i interpolate with cubic spline and for unknown points i extrapolate by using the log (Ct - (S-K)) and deduce IVs.How you define these unknown points exactly ?Thanks
by keribou
March 19th, 2005, 5:01 pm
Forum: General Forum
Topic: extrapolation methods for implied volatility surface
Replies: 19
Views: 170513

extrapolation methods for implied volatility surface

Hi,When you try to recover implied volatility surface from options prices we need to interpolate between market prices and extrapolate when no prices are availables for both strike and expiration.Could you tell me what are the methods to do this ?Thanks.
by keribou
March 19th, 2005, 4:51 pm
Forum: General Forum
Topic: Estimation of implied volatility on japanese derivatives markets when no options prices are availables.
Replies: 1
Views: 155922

Estimation of implied volatility on japanese derivatives markets when no options prices are availables.

Hi,I'm looking for a method for estimating implied volatility when no options prices are availables as that is the case on japanese derivatives markets. Can anyone help me ?Thanks.
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