<t>Hi,Could someone explain as to why do we calculate volatility of an asset as stdev of logn of the returns.As in, why do we take log of the returns to calculate vols. Basically I wanted to know the intuition behind the same.Suppose we calculated vols by simply taking the stdev of a series, would i...

<t>Dear all,Could you let me know what adjustments traders make while pricing digital caps and floorsLets assume I am buying a digital collar on US LIBOR for 5 yrs, with strikes 5% and 4% and payoff =1% respectively.Am, I right to assume that traders will make 1 vol adjustment, i.e. sell the cap 1 V...

There is no direct method for this:The above structure can be priced as followsAssume swap pays EUR(CMS10-CMS2) in USD and recieves LIBOR + x bps.To find x,Find the PV of EUR (CMS10-CMS2) by discounting using USD Yield CurveThen find 'x' so that NPV of swap is zero

<t>Hi,I've joined the structured products desk at Citigroup. Could anyone guide me, as to what should I be doing in terms of reading to essentially obtain a good view of the markets, and develop strong concepts to suit this job. Structuring involves Typically FX and Interest Rate Derivatives.Also I ...

<t>Hi,I'm from India.I've recently begun trading in Futures and Options. Recently I sold 100 shares of a company at 2038.(I had inventory)I also bought its futures which traded at a discount at 1998.I can understand the arbitrage gain, theoretically. At the expiry, the future will allow me to buybac...

Thanks,STJ

Hi, wanted to know what exactly is asset reflation, and which sectors benefit most from it.Thanks,STJ

Can I have an Idea about good Fixed Income/Structuring groups in India i.e names of firms,Thanks,STJ

Hi Guys,I would like to know which are the good fixed income groups, treasuries in India.Thanks,

<t>This is the context.Why is firstly correlation a short run measure of relationship and secondly, why is their a stress on the word linear.Are there any non-linear relationships b/w variables worth knowing about or helpful in analysis.About stationarity- why do basic econometric time series analys...

<t>Hi,I was recently reading an article on covariance and cointegration, when I came across the fact that correlation measures only the short run linear relationship between two variables. Can one explain what is meant by linear relationshipSecondly, in non-quant terms what is stationarity of a time...

Hi,I wanted to have an idea of what exactly are technical derivatives indicators, and how do they exactly help in option based trading.Are they put/call ratio, gamma,rho etc.Thanking YouSTJ