shame on you, let people do the interpolation and start trading. They should soon find out the error of their ways.

<t>mhgiggins:Were it a good model, the local vols for different underlying asset prices and times would stay constant as price and time move.EXACTLYBS vols appear to be stochastic because they are implied vols for a wrong model. The apparent "skew" in bs implied vols is mostly the same problem of ba...

Eurodollars can have expiries up to 2 yrs so the hedging of the discount factor (the dependence on time to expiry) can make a difference. Buying options you are longer than the analytical delta because as rates drop the value is naturally less discounted.Same for buying any asset.

<t>As someone who was a quant and now hires them, a PhD is good but I don't care what about as long as it is mathematical and the candidate was obviously nerdy enough to do it but sound enough to go and get me coffee when I want.I agree with robertwaugh - if you want to do a PhD - do it but don't ex...

<t>Note that a lognormal distribution will not give 50 delta for an atm call, because the lognormal distribution is not symmetrical..If you are using a model that needs different implied vols for different strikes theneithera) Find a model that uses the same underlying distribution for all strikes (...

<t>HowardCohen.Your comment about ED options on CME-You are right to notice that the market has more intuitive deltas, rather than those on BBG.This is not because people don't use models to trade options, just that the market does not use the model in bloomberg. I guess a bbg terminal uses straight...