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by namanh
November 24th, 2008, 4:15 am
Forum: Technical Forum
Topic: swap: both parties have rights to cancel
Replies: 1
Views: 45886

swap: both parties have rights to cancel

Hi,I have a swap where both parties have the rights to cancel.Am I correct in saying that:1/ the faire value of the deal (swap+swaption) is zero if the swaption is European ?2/if it's Bermudan, then the FV is not zero ?Thanks
by namanh
July 23rd, 2008, 2:29 pm
Forum: Book And Research Paper Forum
Topic: Volatility Trading by Euan Sinclair
Replies: 31
Views: 72960

Volatility Trading by Euan Sinclair

<t>QuoteOriginally posted by: filthynamanh,you are a very tough customer if you insist on ideas that have never been published ANYWHERE before. can hull or wilmott meet this criterion? and one of the most essential books (haug) consists ONLY of stuff that is widely available. it is the collecting of...
by namanh
July 22nd, 2008, 11:58 pm
Forum: Book And Research Paper Forum
Topic: Volatility Trading by Euan Sinclair
Replies: 31
Views: 72960

Volatility Trading by Euan Sinclair

<t>QuoteOriginally posted by: gcQuoteOriginally posted by: QuietStormThe reason why the book should be a buy for many traders and analysts is that it is quite unique in its kind: most books are either about description of financial instruments (e.g. the Fabozzi series, Hull, etc), or quant Modelling...
by namanh
July 19th, 2008, 6:19 pm
Forum: Book And Research Paper Forum
Topic: spread option with stochastic volatility
Replies: 1
Views: 51009

spread option with stochastic volatility

Hi,I have a portfolio of 2 underlyings, each of which has stochastic volatility. So overall there are 4 correlated state variables. I want to price the spread option on these two assets using MonteCarlo. I'm looking for some papers or book chapters.Thanks for your pointersN.A.
by namanh
July 18th, 2008, 10:48 pm
Forum: Trading Forum
Topic: Data for building the volatility surface
Replies: 3
Views: 53875

Data for building the volatility surface

<t>CBOE gave you raw data in tabulated format. What I mean by 'convert' is you need a program to read in the raw data, then do fitting, interpolation, extrapolation etc in order to produce a nice smooth IV surface. From there you can calculate Derman's local vol or other stuff. You can find some C++...
by namanh
July 18th, 2008, 3:05 pm
Forum: Trading Forum
Topic: Data for building the volatility surface
Replies: 3
Views: 53875

Data for building the volatility surface

<r>2 solutions:1/ download free data from cboe.comConvert the data into a surface. You can use C++ code given in J. London's 'modeling derivatives in C++' book2/ Usehttp://<URL url="http://www.hoadley.net/options/develtoolsimpliedvolcalc.htmto">www.hoadley.net/options/develtoolsimpliedvolcalc.htmto<...
by namanh
July 7th, 2008, 3:43 pm
Forum: Careers Forum
Topic: Quantitative Trading
Replies: 6
Views: 54866

Quantitative Trading

<t>QuoteOriginally posted by: barnyI'm very interesting in Quantitative trading because I don't just want to price finanicial instruments, I predominantly want to make money. I've been looking around and it seems that all Quant trading falls under the high frequency trading umbrella, are there any o...
by namanh
April 13th, 2008, 11:36 am
Forum: Trading Forum
Topic: Options Trading & Hedging - Reading Suggestions
Replies: 16
Views: 63381

Options Trading & Hedging - Reading Suggestions

Quotewhich books by Rebonato?Volatility and Correlation (2004)BTW, can anyone post the article of Kang ?
by namanh
April 13th, 2008, 3:07 am
Forum: Trading Forum
Topic: Options Trading & Hedging - Reading Suggestions
Replies: 16
Views: 63381

Options Trading & Hedging - Reading Suggestions

Rebonato is a good read. I consider it better than Taleb
by namanh
April 2nd, 2008, 12:46 pm
Forum: General Forum
Topic: Why nobody predicts impiled volatility ?
Replies: 9
Views: 57833

Why nobody predicts impiled volatility ?

<r>Paul, I wans't clear enough. If a strategy is delta, gamma neutral, but vega positive, e.g. a simple straddle, then IV matters a lot. Granted, there's a correlation between the asset price and IV, and because of DDelta, DGamma one has to model the actual vol as well. I was just wondering why ther...
by namanh
April 2nd, 2008, 2:20 am
Forum: General Forum
Topic: Why nobody predicts impiled volatility ?
Replies: 9
Views: 57833

Why nobody predicts impiled volatility ?

<t>If one is to trade options exclusively, i.e.no delta or gamma hedging using the underlying, and exits the position before expiration, then implied is far more important than historical. He'll be fine even if he bought an expensive IV as long as there's a 'greater fool' who would buy the option fr...
by namanh
March 31st, 2008, 9:48 am
Forum: General Forum
Topic: Why nobody predicts impiled volatility ?
Replies: 9
Views: 57833

Why nobody predicts impiled volatility ?

<t>Hi all,I've been going through academic litterature looking for articles that deal with predicting implied volatility and found none. Most of the articles answer questions of the type:-is implied a good predictor of future vol-relationship btw implied and realized.why is nobody interested in pred...
by namanh
March 26th, 2008, 11:42 am
Forum: Careers Forum
Topic: Internships Wanted
Replies: 109
Views: 205217

Internships Wanted

<t>Dates Available: May-September 2008Locations : US, Canada, Europe, AustraliaCurrent Status : finishing MFEPhysics PhD, finishing up my MFE, working on an academic finance paper on dynamic hedging strategiesComputer experience: C++, parallel high-performance supercomputers, Matlab and other langua...
by namanh
March 21st, 2008, 3:36 pm
Forum: Careers Forum
Topic: How to make money out of current events in the market
Replies: 67
Views: 65351

How to make money out of current events in the market

Look at volatility surface. It's been heavily distorted due to high volatility of the front month. I managed to find a free lunch; 40 % RoMargin in 2 weeks with no risk. Unfortunately opportunities like this don't show up too often.
by namanh
May 12th, 2007, 3:59 pm
Forum: Careers Forum
Topic: projections of supply-demand of quants
Replies: 83
Views: 78744

projections of supply-demand of quants

QuoteOriginally posted by: DCFC... and see some interesting parallels between detailed chemistry kinetics and the way prices are formed in markets..Can you give me some references ? I have a background in chemical physics and would be very interested in this topic
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