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by OPTION88
August 2nd, 2010, 8:12 am
Forum: Technical Forum
Topic: How could I calculate implied vol ASAP??
Replies: 2
Views: 26188

How could I calculate implied vol ASAP??

Hi bros,Is there any good methodnology or tips to calculate IV ASAP??
by OPTION88
July 30th, 2010, 2:13 am
Forum: Technical Forum
Topic: Levenberg-Marquardt for Heston Calibration
Replies: 22
Views: 187301

Levenberg-Marquardt for Heston Calibration

weight vega??Does it mean that the vega*(actual price - model price)???
by OPTION88
July 30th, 2010, 2:13 am
Forum: Technical Forum
Topic: Levenberg-Marquardt for Heston Calibration
Replies: 22
Views: 187301

Levenberg-Marquardt for Heston Calibration

weight vega??Does it mean that the vega*(actual price - model price)???
by OPTION88
July 26th, 2010, 12:13 am
Forum: Trading Forum
Topic: market making and risk management
Replies: 4
Views: 28515

market making and risk management

<t>hi bro,As a maket maker, you will keep quoting bid and ask price in the market.But if your bid or you ask price was hitten by the market, what and how would you do to keep the spread or profit that you made?maybe we can squre the position with certain spread immediately....and???because the impli...
by OPTION88
July 21st, 2010, 8:43 am
Forum: Technical Forum
Topic: what is the difference between sticky by delta and sticky by strike??
Replies: 4
Views: 26733

what is the difference between sticky by delta and sticky by strike??

because I can not figure out what will be the difference if i use sticky by strike in equity market..
by OPTION88
July 20th, 2010, 11:05 pm
Forum: Technical Forum
Topic: what is the difference between sticky by delta and sticky by strike??
Replies: 4
Views: 26733

what is the difference between sticky by delta and sticky by strike??

<t>hi bro,what is the difference between these two??In FX maket ,we always use sticky by delta to deal with the options.But in equity market,we just use sticky by strick.If in equity market, we just use sticky by strike....and will there any problem with that ??no matter for greek calculation or hed...
by OPTION88
July 13th, 2010, 7:50 am
Forum: Numerical Methods Forum
Topic: Is there any good way to calibration SVI or SABR models?
Replies: 4
Views: 31578

Is there any good way to calibration SVI or SABR models?

Thanks...Do you have reference for L-BFGS
by OPTION88
July 12th, 2010, 8:50 am
Forum: Numerical Methods Forum
Topic: Is there any good numerical methods to find Min value of function??
Replies: 1
Views: 27048

Is there any good numerical methods to find Min value of function??

Hi bro,I have tried Nelder-Mead and LM method.Is there any other fast and good way ??
by OPTION88
July 12th, 2010, 8:26 am
Forum: Numerical Methods Forum
Topic: Is there any good way to calibration SVI or SABR models?
Replies: 4
Views: 31578

Is there any good way to calibration SVI or SABR models?

Hi bro,I have tried Levenberg-Marquardt algo to calibration these models.I want to find other numerical metods to fit the market data and let the squre-error of the fitting result less than LM algo result.
by OPTION88
June 11th, 2010, 8:15 am
Forum: Technical Forum
Topic: How do I measure the skew sensitivity of my option pool??
Replies: 11
Views: 31836

How do I measure the skew sensitivity of my option pool??

If I have a huge index option position including long and short calls and puts ,how do I know my skew risk ?25DRR increase 1% or decrease 1%, what is the effect to my P&L??
by OPTION88
November 4th, 2009, 2:02 am
Forum: Trading Forum
Topic: high frequency trading for options
Replies: 2
Views: 34778

high frequency trading for options

HiCould anyone explain how to make money by quoting bid ask price ???Is there any concept to do this??Or any other reference for high frequency trading concept in options or futures market.Many thanks@@@
by OPTION88
November 3rd, 2009, 8:50 am
Forum: Numerical Methods Forum
Topic: Ways to solve Heston model quickly???
Replies: 4
Views: 35045

Ways to solve Heston model quickly???

hiDoes anyone know how to solve Heston model quickly??It is a good model but I can not calculate it AFAP.Does anyone try Fast Fourier or numerical method??
by OPTION88
November 3rd, 2009, 8:19 am
Forum: Numerical Methods Forum
Topic: spline smoothing?
Replies: 19
Views: 62725

spline smoothing?

ha thanks a lotmaybe it is what I want
by OPTION88
November 3rd, 2009, 8:10 am
Forum: Technical Forum
Topic: problems with calibration of SABR model
Replies: 8
Views: 146953

problems with calibration of SABR model

hiI have tried some models of course included the SABR model.But these models still not fullfilled my need.Are there any other models or ways that could do better than this??Plz give me a direction.....thinks.
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