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by BetaExoticBets
August 19th, 2008, 8:09 pm
Forum: General Forum
Topic: A large bank is about to go bust...we're not going to tell you which one
Replies: 86
Views: 67243

A large bank is about to go bust...we're not going to tell you which one

I can tell you which one it is based on the flow of bets on my book ;-)
by BetaExoticBets
August 19th, 2008, 8:07 pm
Forum: General Forum
Topic: How would you price this exotic option? Forget theory!?
Replies: 22
Views: 54782

How would you price this exotic option? Forget theory!?

<t>Thanks guys.Outrun, I called a few Lloyds insurance brokers today about this. It was funny trying to explain it to them but I got one interested so hopefully he will get back to me tomorrow. I am sure that Lloyds would underwrite the risk if I can demonstrate loss (a legal requirement of insuranc...
by BetaExoticBets
August 18th, 2008, 2:04 pm
Forum: General Forum
Topic: How would you price this exotic option? Forget theory!?
Replies: 22
Views: 54782

How would you price this exotic option? Forget theory!?

<t>Thank you for your thoughts Paul, much appreciated and all valid I think. Point 1 is how I did it but problem with this is of course the quantification of probability.As you say, the delta would probably just move too fast with all that gamma and I don't think we will find anyone who hasn't read ...
by BetaExoticBets
August 18th, 2008, 1:41 pm
Forum: General Forum
Topic: How would you price this exotic option? Forget theory!?
Replies: 22
Views: 54782

How would you price this exotic option? Forget theory!?

<r>The index is calculated as per the documentation here <URL url="http://www2.standardandpoors.com/portal/site/sp/en/us/page.family/indices_ei_us/2,3,2,2,0,0,0,0,0,0,0,0,0,0,0,0.html?lid=us_fo_indices_usThere"><LINK_TEXT text="http://www2.standardandpoors.com/portal ... es_usThere">http://www2.stan...
by BetaExoticBets
August 18th, 2008, 12:06 pm
Forum: General Forum
Topic: How would you price this exotic option? Forget theory!?
Replies: 22
Views: 54782

How would you price this exotic option? Forget theory!?

<t>Hi, I'm not concerned about a circuit breaker as the NYSE / NASDAQ (where the S&P 500 constituents trade) doesn't have one. Besides, it is obvious that if the market is closed, the touch can't trigger. The reference would be off Bloomberg or the official S&P index price.In any event, does...
by BetaExoticBets
August 17th, 2008, 5:22 pm
Forum: General Forum
Topic: How would you price this exotic option? Forget theory!?
Replies: 22
Views: 54782

How would you price this exotic option? Forget theory!?

<t>Hello,I am looking for an exotics desk who will sell me a somewhat unusual one touch ratchet option which I have designed to hedge some liquidity / gap risk on one of our trading books. The problem I have is that "Fair Value" is a rather abstract concept for this option as there is no liquidity t...
by BetaExoticBets
May 2nd, 2007, 12:32 pm
Forum: Student Forum
Topic: Quant Project
Replies: 13
Views: 74417

Quant Project

It is a good idea though. We have a consultant who teaches several courses so I am going to speak to him.
by BetaExoticBets
May 2nd, 2007, 8:28 am
Forum: General Forum
Topic: How do hedge Theta?
Replies: 6
Views: 74804

How do hedge Theta?

I will take your (long) theta if you want. You can keep the (short) gamma. Just send me the ticket! ;-)
by BetaExoticBets
May 2nd, 2007, 8:07 am
Forum: Student Forum
Topic: Quant Project
Replies: 13
Views: 74417

Quant Project

Having got it wrong hiring quants before I think that this is a good way to test people out first. When I did my masters I did a project like this for a HF in London and ended up taking a job with them. They didn't pay me for it but I feel I ended up doing nicely out of the transaction.
by BetaExoticBets
May 1st, 2007, 1:58 pm
Forum: Student Forum
Topic: Quant Project
Replies: 13
Views: 74417

Quant Project

<t>Good tip, thanks.I think that using students is a good way to get a fresh perspective on some problems as, IMHO having been a consultant, consultant's tend to take a 'safe' path through a problem. Coming up with a new or slightly left-field approach is a risky proposition for a consultant - not s...
by BetaExoticBets
May 1st, 2007, 12:21 pm
Forum: Student Forum
Topic: Quant Project
Replies: 13
Views: 74417

Quant Project

Isle of Man
by BetaExoticBets
May 1st, 2007, 10:12 am
Forum: Student Forum
Topic: Quant Project
Replies: 13
Views: 74417

Quant Project

<t>Hello,My firm are looking for a few Masters / Phd students with strong quant backgrounds and some programming skills (either very strong VBA or C++ / Java with database skills preferred) to each work on one of three theoretical projects with highly practical applications over the next few months....
by BetaExoticBets
April 27th, 2007, 6:42 pm
Forum: General Forum
Topic: how long do you guys take for lunch?
Replies: 24
Views: 75754

how long do you guys take for lunch?

Up to 5 minutes!
by BetaExoticBets
April 27th, 2007, 1:57 pm
Forum: General Forum
Topic: Investopedia cheaters?..
Replies: 12
Views: 74398

Investopedia cheaters?..

Of course it may just be luck. Like running 1000s of random price paths in a Monte Carlo - some will have higher Sharpe's than others.