<t>Yes. I think it depends also on what you define "1-Year" to be. If you join sometime during the year, by "1-Year" bonus I mean the next bonus date and , since you have not really participated to the entire year's results, you cannot expect a "full" bonus. By "2-Year" bonus I mean the bonus follow...

That accuracy is good enough and is in line with what I had in mind [30% to 50%]; any idea how that range changes in the 2nd-Year ? Is it true that the range becomes [100% to 150%] or am I completely off ?

Can someone please shed some light on what is the expected 1-Year bonus for a derivatives trader in the US ? Say you have a base salary of 100k. Any feeback would be appreciated.

When is Mark Joshi's new book coming out ? I feel I am running low on reading material ...Anyone have any 'inside information' when his second book will be published ?

<t>ppauper & mam3xs : Mark Davis, C. Albanese are all in the department of mathematics. However, the Center for Quantitative Finance is in the Tanaka Business School at Imperial and does not have any affiliation with the math department. That's why I was asking if anyone knows anything about thi...

<t>Does anyone have any feedback, positive or negative, on the Phd in Quantitative Finance at the Centre for Quantitative Finance at Imperial College ? Is this really a serious place to do quantitative finance or not ? What troubles me is that I have not seen any relevant quantitative finance resear...

MJ: have you left RBS? Are you now in UofM in Australia?Just curious why you made the switch.QG

<t>Hi, Could anyone share some thoughts on skew trading: trading theoretical skew versus implied skew?. I have just heard about this and was wondering if there are any useful references on this topic : presentations/articles... Or, at least, could anyone confirm whether skew trading is really used i...

zhongx: check out Paul's lecture above. It has many examples on this issue.

<t>The paper I mentioned was Carr,Madan(2002) Towards a Theory of Volatility Trading.For those still interested , let me clear any confusion and start from a CLEAN slate :1. Assume a stochastic volatility process : any non-ridiculous dynamics2. Say, at time t=0 you sell a European Option for a certa...

I did make one error : instead of ImpliedVol(t) I should have put HedgeVol.Dogon Matrix : It turns out that this is in fact a precise formula , even in the case of stochastic volatility! The KEY is exactly the previous correction I mentioned.

Thanks for the replies guys. Actually I was able to find an answer to what was bothering me in a paper of Carr and Madan.

<t>The following theoretical approximation to the daily P&L of a delta-hedged-option-position is well known. Could any of the experienced traders around here confirm whether it is really accurate in practice as well:P&L for [t,t+1] = 1/2 * Gamma * S(t)^2 * { [(S(t+1)-S(t))/S(t)]^2 - [Implied...

I agree .... Avellaneda's paper/presentation on dispersion trades is crap. Full of errors !!!!!!!!!!!

Has anyone of you found Avellaneda's papers ( such as the ones on weighted monte carlo, steepest descent approximation, intrinsic value hedging etc. ) useful for analyzing dispersion trades ? Anyone tried to implement these methods ? Thx.