<t>The point on the gamma hedging is an interesting one and has caused enormous volatility in the EUR long end. As an example 50 year EUR swaps did almost a 90bp move intraday earlier this month (somehwere around 5th Dec)The exotic desks have written all of these non-inversion notes (CMS spread). Th...

<t>I have recently acquired FINCAD, its going to be used for some of our pricing tools. In particular curve building/swap pricing etc.Whilst I think it does produce good results I have had a few problems with the calculation status (in the bottom left of the excel s/s). It seems to stop working when...

<t>My understanding is that return will be based on the total exposure to the market, so including cash:If I invest $100 in a managed futures fund today then in 1 year I will will want to know what has happened to that $100. I dont really care that 80% has been sitting in cash and 20% is being poste...

<t>Haha! I know its a bit of a nightmare. The GBP curve is very unique. I also read a paper from RBS quant group (2006) which says that they had some success implementing this model. Of course this was back in 2006. I had a look at some data from back then and it seems to fit in quite well with LPI ...

<t>Also if you are going for a quant job be prepared to talk, in detail about your dissertation. Talking about how well you did in your dissertation highlights a lot of the areas that are important for a quant role, self study, tenacity, advanced comlex topics etc. Obviously knowing the markets is a...

<t>Hi,I am doing some work on the Hull-White model. My aim is to come up with a way of modeling inflation by using a correlated Hull-White, i.e. simulate nominal and real rates and then modelling the Inflation as the "Exchnge Rate" between the two as described by Mercurio (Pricing Inflation-Indexed ...

<t>Try searching for products called VPPI. Variable Proportion Portfolio Insurance. I think it is basically where you (the trader) do some kind of VaR analysis on the underlying and then adjust the "multplier" according to your risk appetite. Not sure how popular these products have been in comparis...

<t>Hello,I am doing some reseach on zero cost collar strategies on equity indices, i.e. buy a put for say 95% protection in the downside and then finance this by selling a call which caps the upside. Initially this work is going to be on single indices but may well extend it to a basket in the futur...

<t>Hi there I am trying to figure out how to calculate implied volatility skewness for ATM options on the FTSE. I would also like to see how this changes over time.I am looking at a report from Deutsche and they have a graph of evolution of Implied Vol Skew Steepness for 3M 90%-100% (on FTSE) over t...

If the vol of the underlying index is high then there is is a higher probability that the reference curve/bond floor will be hit. So in other words if the vol is high then there is a greater chance that the payoff from the cppi will only be 100. Unless I am missing something?

I guess you could just call it revision

<t>Hi there,Does anyone have any experience of the special investments group at Goldmans? Its basically a subgroup of the Private Wealth Management. I have an interview with them this week for a structuring role. I am going in for the morning and have 3 interviews, one with an Analyst, one Associate...

What exactly is extreme value theory and how relevent is it to finance?