<t>A good way is to try to meet people from the Industry and talk to them. I am still involved in Academic conferences and last September somebody asked me for an Internship at our desk.I made it happen for that person.The personal contact is vital. I wouldn't start taking in Interns on a regular ba...

<t>I just came across a report quoting volatilities for Brent Futures. However, I don't fully understand the conventions. Let me post some numbers: Skew value atmvol 0.975 0.95 0.9 0.8 0.75 0.7 0.65 0.5 0.35 0.3 0.25sep/08 121.45 0.443 0.048 0.044 0.036 0.022 0.015 0.010 0.006 -0.000 0.004 0.007 0.0...

<t>yes that's what I thought... problem lies in the estimation of these correlations because you only have limited time series and because of the forward nature, the contract keeps getting closer and closer to delivery and this changes the features of the contract (vol is usually higher if you are c...

<t>Somebody was asking me how I would price Options on Brent603. As long as it has not gone into delivery Brent603 stands for the average of 6 monthly forwards on Brent (eg July08, Aug08,...Dec08) and this price will be valid for 3 months, as of Jan09.Apparently, each of those Monthly forwards has i...

this function is not known in my excel. What are you trying to do in Matlab?

To me the vega of a stock is zero since it is a linear instrument, it does not share the richness of the derivatives and the greeks

Isn't everybody avoiding models (or at least parameter sets) that produce negative rates?

I thought I came across a post once that mentioned a free source.I have acces to a belgian platform but apparently there are no quotes for the dax, and all the other indices have dividends I guess

<t>I am trying to help a student. She needs a dataset of option prices (several strikes/maturities) at dates in the past (together with the interest rates and spot levels), preferrably non-dividend paying.I was thinking of DAX index.I once read here on the forum that there was a website where you co...

<t>Suppose you are interested in the value of an American option (in the case where the value is strictly larger than the european one, hence with dividends or so)Suppose I run a Monte Carlo simulation naively and generate a path of the asset and then pick the best day to exercise my American option...

Would it be possible to explain what you mean a little bit more?

<t>Suppose you consider a Forward on Power/Gas that is the price for the commodity to be delivered continuously between T1 and T2. Then consider an option on this quantity with a maturity-date T < T1 < T2.Suppose you can use Black76 formula (which is the Black-Scholes equivalent for forwards):premiu...

besides the bid/offer spreads, the vol for puts and calls with identical strike and maturity should be identical. Otherwise, set up the arbitrageanyway, I would say that if you do a synthetic forward, the total vega is zero anyway

I would consider tutoring somebody, but I am no expert yet in all the different fields. But since I am not in the City, it would be no use. Good luck finding somebody

<t>I agree, you have to start doing it for real until you get the hang of it...An ex-collegue called himself a C-- programmer... I think that's valid for many pure quants... You can program in C, put it into C++ framework, but creating an efficient, elegant design in C++ is quite hard. To master thi...