Anyone who helps this issue? Plz..

<t>Hi all,When I price the range accrual(w/o call), I refer to the mathod of Hagan's. He uses in there the date mismatch correction, very clever way calculating w/o a measure change, and caplet/floorlet replication.I had been used the method of the timing adjustment(in Hull's book) directly with a r...

Gianni,Is it a common rule of thumb for a gamma limit that the gamma should double the delta??

<t>Hi, all. Our desk, managing hedge portfolios, has risk policies that have limit amounts for each greek exposures and quarterly & annual loss cut as well as VAR. I heard that some IBs use only loss cut and VAR. and others do case by case.There are questions that arise from these limits:(1) Wha...

<t>Such a calendar spread trading in commodities, having a seasonal forwards shape, is profitable, but needs a more strict risk control.The roll is a critical part in that you can ride and make bucks on the forward curve. However, it depends on many factors. After credit crisis, the curves of most c...

<t>Assume a normal upward curve and rate curve does not change several days. The MTM PL will be positive, stemming from carry and rolling, as you know.Next..Your risk manager measure a market risk with forward bpvs.The forward curve would tilt and makes a delta PL, even though the spot rate curve un...

<t>Hi, Samsaveel.I intend to separate the time value of exotic book into carry/roll and theta. The former is what you mentioned in the earlier discussion, earned by holding the position 1 day, and the latter stems from option-features, proportional to gamma PL. Bond managers, in general, do not use ...

<t>I mean the accrued interests after 1 day, and the internal capital charge is the rate paid for financing. I divide these carrying PL from the theta. Anyway, back to the theta, Samsaveel, do you think just rolling down the curve is the proper way to calculate the theta? or today's implied forward ...

<t>Related one:I have a question about the real theta of the exotic interest rate book. Previously, I broke down the time value into carry, financing, and theta. As you guess, the carry is accruals and financing is the internal capital charge. When I derive the theta, I use the same curve with 1 day...

Hi,I see in the article:"Things like risk reversals and vol convexity are almost model-independent and thus quite robust risk measures"The risk reversals mean the skew risk and the vol convexity does the volga? If then, why model-independent??

<t>Thanks for your reply, spv205.It sounds a good way to use stochastic vol. model in practice. Concensus is that the properly-calibrated stoch. vol. model is better, however, the local vol. is used on a daily basis in investment banks. Right?I've used the local vol model and managed a vega risk by ...

<t>Hello, This is an old-topic, but never-ends. Many members in the forums, I think, do fully understand the pitfalls of local vol. and explain in various ways. However, I have some arising questions while reviewing the ideas of the renowned.Seminar works like Dumas&Whaley(1998) conclude that th...

Hi, AllDo you know any references that give the insights to manage IR options books, especially exotic ones, such as the "dynamic hedging by Taleb" in equities?Thanks.

Hi all,Traders hedge vega with the VIX futures and options rather than the variance swaps in practice??If possible, I hope you could compare the effectiveness with that of var. swap or straddles.Thank you.

Hi,Could you tell me what the number,"E28" means in the index?I cannot find any information on Google.S&P GSCI Agri ER E14 Strategy IndexS&P GSCI Agri ER E28 Strategy IndexS&P GSCI Agri ER E43 Strategy Index...Thx.