<t>I have the portfolio of options of a stocks expiring in different calendar months. I want to calculate the vega of the portfolio.The way I do it now is just add the vega for all the option. However, I believe its not the right way to do it to see the vega of the portfolio as sum of all the vega's...

@Avt .. Yes thats what I meant. I guess Nelson-Siegel could be a solution for my problem. Could you direct me to the place where i can learn about its implementation and an example how it works.

<t>One of the parameter for constructing the Theoretical vol curve for my pricing model is to supply ATm vol for every month which is trading. Once i have these ATM vol i use to run Solver which gives me the indication like for if I have ATM vol for some month lower or higher as predicted by Solver....

<t>The problem is not computing the implied vols. Its like 1 have set of ATM vols and i use Solver that fits the curve on these ATM vols. I do that so i get to know if I am running ATM vols for some month higher/Lower than it should be . What solver does it is it tries to optimize the given set of v...

<t>Hi,I have ATM vols for different calendar months and I have been using excel solver to fit curve for ATM term structure. Recently, It became little noisy and I started exploring some other way to do so but not able to find anything concrete . I would appreciate if you can provide any info on it. ...

<t>Hi,I am trying to figure out is there any kind of closed form solution which can quantify the relationship between skews of different months or vol curve for different calendar months of Options. I change my Vol surface/Skews through out the Day based on market prices. Though I believe there coul...

Hi,I have this super day on 20th. Could you please tell me wat all kind of questions they have asked you??wat abt the maths questions.. from wat all topics??

HI Guys!I am suppose to have a super day fro IT quant associate position. I am pursuing ms in FE and my background and work ex is in IT. What Kind of questions can i expect. I would really appreciate if somebody can help me regarding the preparation.