<t>Let us assume someone had received an offer from another institution. They were interested in the new job, however, they were also interested in a potential counter-offer from their current company (either in the form of a new job or in the form of a significant salary increase).In this situation...

If so, which brokers? How much capital does one need? What are restrictions (eg currencies, maturities)? How do the margins work for shorting vanillas? THanks

If so, which brokers? How much capital does one need? What are restrictions (eg currencies, maturities)? How do the margins work for shorting vanillas? THanks

Obvious topics to know for a quant are ....?Every quant should be able to derive the BS eqn for a quant interview. What should every quant moving into trading be expected to know?

<r>Hi, Thought I'd fire off some CV questions (I've numbered them below). I haven't written a CV since getting my model validation role 1 year ago. To get that job, I had a CV which was 2 pages long. On the first page it had my academic qualifications and work experience (most the work experience wa...

<t>Hi,I've got a few of questions. Can you tell me which currency pairs have the most pronounced FX smile? Do the major currency pairs have a less or more pronounced FX smile than the emerging currency pairs in general? Also am I right to assume that the implied correlation for FX options will be cl...

Thanks fairplay. You answered my question.

Fairplay, are you saying that there are no situations where v_av > v_ac + v_cb? Or are you saying that if such a situation arose it wouldn't be an aribtrage?

Thanks for the help. I'll def google those key words. I'm trying now to look at specific cases and playing with program. Thanks for the help on the minima aswell.

Okay are there situations in the market where v_{ab} > v_{ac} + v_{cb}where a,b,c form a currency triangle. I don't think it happens with the EUR/CHF/USD triangle, however, is it possible to occur with any of the emerging market currencies?

<t>Sorry, I'm not being clear enough and am not an expert in these matters either. I don't mean "actual correlation" which must be between 1 and -1, I mean "implied correlation", where "implied correlation" is given by the formula in my previous post and is not a real quantity. "Implied correlation"...

Oh yeah, the equation in the previous post means that implied correlation can become greater than 1 or less than -1 if the implied volatilies are arranged in a certain way. Maybe this never happens in real markets?

<t>Hi,Let us consider three currencies A,B,C. Let S_ab, S_{ac}, S_{cb} denote the three exchange rates. We are using the notation such that S_{ij} is the price of i in terms of j. That is to say that i=S_{ij} * j. As there are only two independent exchange rates due to the triangle constraint we hav...

<t>Hi,Given a currency triangle one can derive an implied correlation from knowing all three implied volatilities. My question does this correlation ever exceed 1 (or go less than -1). Can you give an example if it ever does. Also. assuming that it did, would there be a trade that one could carry ou...

<t>I'll check your differentiation. I too used maple but had forgotten that X and Y are dependent on a and b respectively. So when I set a=b=c and differentiated w.r.t to c I wasn't doing it properly (hence why I editted the last post).Anyway I thought I'd update and say that I wrote a simple C++ co...