<t>Hi guys,I try to decide whether a geometric / multiplicative or an arithmetic / additive model would be better to simulate a price process say of TTF natural gas.If you measure volatility as std of log returns, then a a geometric model would produce a flat line in a price vs volatility plane, whi...

<t>So gut feel is assumed to easily beat some quantitative strategy? But still I would like to prove that. Isn't there any standard algorithm I could let race against the gut?One other idea would be to just try some rule based strategies in a backtesting and identify some worthwhile schemes to look ...

<t>Hi mtsm,it is for prop trading on gas standard options, as well as swings and storages. For the two latter the problem becomes even more complex because these are path-dependent options, so I would like to understand the process first for standard options.I want to benchmark historical decisions ...

Hi guys,what do you guys use in practice to determine whether to hedge or not? Time? Price? Delta? Do you have a corridor? Do you look at some quantitative measure?I have read a bit in the literature but haven't found anything yet to put to practice. Any tips?CheersSteilermeier

<t>Hi neuroguy,thanks for your reply.My plan was to go for ETFs anyways after I read a couple of papers saying active management is on average worse than passive (especially after all costs).Is 1 / N the better allocation in comparion to Markowitz since for the latter we need a covariance matrix and...

<t>Hi guys,I would like start investing my own money. I am not aiming to be a day trader. I just want to optimally diversify, long only, leave things as they are for a year and then rebalance. What would be good reading material to start with? What do you do with your personal investments?CheersStei...

Hi guys,I also like to know more about gas swing options. Any new research or nice references?CheersSteilermeier

I guess the difference comes from the definition of k. Leland defines it as the round trip cost, while Paul defines it as half the round trip cost, right? And then the two formulas are consistent.But the issue of infeasibility remains, does it?

<t>Hi,for simplicity, I started with the model of Leland's transaction costs and used the formulas in Paul Wilmott on Quantitative Finance, page 785. For a quick numerical check I assumed the following values:sigma = 20%dt = 1 / 365k = 1%But then the formula for long positions is infeasible since th...

<t>Hi guys,I would like to read more practical papers / books about option trading. I have read a couple of often recommended standard pieces during my studies and also continue to do so while working but now I want to look into practical aspects that deal more with real life problems of traders. Wh...

<t>@Paul: Does this mean I should make the same mistakes as the rest? Or are you saying that since nobody cares I have to come up with my own solution and can pick up ideas from literature / papers because there are none?@Cuchulainn: This is exactly my practical application...I want to price in an i...

Anyone?

Thank you @almostcutmyhair.Is this THE standard paper? Is this also used in practice? Because eventually I would like to use this in a real environment...

Hi guys,are there standard papers to read through when entering an options market with illiquid underlying. I assume that due to increased hedge costs the theoretical fair value can't be realised by continously hedging. But how much would this discount be?Thank you for your help!Steilermeier

<t>Hi guys,ok, I found it. I was right the whole time, just the traders input was not giving consistent correlations (Cholesky not positive definite). I applied an algorithm to make them consistent and now it looks good. Thank you guys!@ outrun: Kirk shifts the average and adjusts the volatility of ...