Thanks for the reply. What I am calcuating is the intraday vol with tick spots.

Sorry, what do you mean?

<t>Hi all,I have tried to use BBG and Reuters FX spot tick data to calculate the realised Vol. For the time period, the Reuters' data do present the negative autocorrelation problem which mentioned in many papers about high frequent data. While BBG's data is quite clean, my current explanation is th...

<r>Hi,Has anyone read this paper by Hull&White. Want to share their thought, especially about needing taking CVA, DVA functions in the bank to decide how to choose the discounting curve. Thankshttp://<URL url="http://www.rotman.utoronto.ca/~hull/DownloadablePublications/LIBORvsOIS.pdf"><LINK_TEX...

All,Has anyone came across any automatic hedge system which hedges your options books based on the greeks numbers. Or if there is any paper describing the ideas.Thanks

All,Has anyone came across any automatic hedge system which hedges your options books based on the greeks numbers. Or if there is any paper describing the ideas.Thanks

<t>Hi all,Could you suggest a good book to describe the following strategies in details?----------------------------Trend Following Momentum models, velocity models, crossing moving averages, breakout models Mean Reversion Overbought / oversold indicating models Carry Structures designed to capture ...

Robert Kissell Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk

About those long dated exotics(5-10Y), who is the customer, how to manage the risk. Bonus is still based on the P&L?

I think trader uses this concept to try to cover the cost of Vega Hedge of exotic trades

<t>Hi, has anyone heard about the concept of Vega Spread in options world or just for FX options? Basicly, this spread will be added on top of the fair value to create the client price. Does anyone know where this concept is coming from and how to calculate it for different trade types, i.e. Vanilla...

Want to know too.

Hi all,I get a budget to subscribe some online portals to be able to search and view the majar financial maganizes and papers. I am wondering if anyone has any good website to suggest.Cheers!

Hi all,I get a budget to subscribe some online portals to be able to search and view the majar financial maganizes and papers. I am wondering if anyone has any good website to suggest.Cheers!

Hi, is it possible send me a copy of this article? david.zxem at gmail dot com