<t>Does anybody have the package name for FIX in R?Also, would anybody have any opinion on what would be the best solution to: (by best I mean easiest to implement without any major performance issues)1) read position files from excel2) calculate deltas using a package from live market spot prices3)...

which strike is usually traded with cap structure arb? what i really want to know is what the highest strike that ppl will use to trade this.

<t>Hi,I've been offered a position on a new desk prop desk at my bank covering equity derivatives. It sounds like an interesting position however I feel it may be too early to move into prop. I know this question has been asked many times before but i think the circumstances are slightly different. ...

Is it possible to pass a non-defined size range of cells to a automation add-in? e.g. sumMyRange("A1:A10") or sumMyRange("A11") and have the C# recognise this. I can't seem to get it to work and haven't been able to find any examples. Any help here? Thanks

<t>I was looking at some close-open deviations and it seems that on the SPX that there are virtually none or ocassionally very small deviations between the last price (px last) and the opening price (px open). However this seems to change around 10 May 06 where there start to be more frequent deviat...

<t>In Taleb, Dynamic Hedging, he talks about hedging more frequently if your parkinson number > 1.67*sigma. He also says that comparing the Parkinson number P with the definition of periodically sampled historical vol gives P = 1.67*sigma. I don't understand how this value of 1.67 is derived and how...

<t>also, if you were doing an option on realized variance what series would you look at to see where historical vol (for this option) has traded relative to the price the dealer if offering you. Say you were doing an option on 3m realized variance you would want to look at how the 3m vol of realized...

does anybody have a copy of this paper? the link doesn't seem to be working anymore.thanks

<t>I know this is an old thread but I have some questions regarding calculating vol of vol. I think I understand the non-interlapping calculation as if you are calculating 3month historical 1month volatility then you will get 4 data points from 1 yearof data (although I guess you will need 13 months...

<t>Can anybody think of any good ideas to try to accurately track the flows into commodities. This would include the indices, hedge funds, ETFs, etc. I guess ETFs would be the easiest place to start but any clues on the others would be appreciated.People seems to claim that about $80bn track the com...

equity derivs

Does anybody collect the data from the IDB market?

<r>Hi,Does anybody have any of the BNP Equity Derivatives Papers. There is one which I think is called "Index Variance Arbitrage" which I am looking for but if anybody has any of the others could they either post them here or email them to <EMAIL email="najleonard@gmail.comThanks">najleonard@gmail.c...

<t>I wasn't inferring that there is a static hedge (i.e. adjusting the underlying is adjusting the delta) but part the of hedge is static. Obviously the hedge of a var swap isn't completely static but what is referred to as static is the strip of options. What I'm trying to determine is that if the ...

<t>Hi,Can somebody tell me if it is common to delta hedge the strip of options used in hedging a var swap. I had always thought that it was a static strip and that the underlying was adjusted according to the formula in the derman paper. Unless this happens to be equal to the aggregate delta of the ...