SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 58 matches

by cchoong
March 12th, 2015, 2:36 pm
Forum: Book And Research Paper Forum
Topic: Single Tranche Synthetic CDO
Replies: 0
Views: 3543

Single Tranche Synthetic CDO

Hi,I am looking for the paper 'Single Tranche synthetic CDO's, published by Martin/Batchvarov/Kakodkar (Merrill Lynch) in 2003If possible - could someone pls post it or email to mike.hamacher@gmail.com?Cheers
by cchoong
November 12th, 2014, 5:08 am
Forum: Numerical Methods Forum
Topic: VBA code to determine eigenvalues & eigenvectors...
Replies: 9
Views: 57741

VBA code to determine eigenvalues & eigenvectors...

<t>Hiapologies for warming up this thread, but I was trying the apply the function introduced in the initial thread - Public Function EIGEN_JK(ByRef M() As Variant) As Variant - once more.In order to address the issue that the function fails to return negative eigenvalues in case of non psd matrices...
by cchoong
November 1st, 2014, 2:17 pm
Forum: Student Forum
Topic: Calculating normal vol
Replies: 3
Views: 3235

Calculating normal vol

Well noted. Thanks vm for replying.
by cchoong
November 1st, 2014, 4:30 am
Forum: Student Forum
Topic: Calculating normal vol
Replies: 3
Views: 3235

Calculating normal vol

<t>HiI know its a very basic question for most members. I am trying to calculate the normal vol of a historical time series of data, but am not entirely sure whether my calculations are correct..I was wondering someone could kindly confirm whether the below calculations look correctThanks!Date Close...
by cchoong
November 1st, 2014, 4:25 am
Forum: Numerical Methods Forum
Topic: Normal vol
Replies: 4
Views: 3867

Normal vol

Noted with apologies...just to clarify as I mislabeled it; the calculations do use the stdev of the changes, not abs changes in the price (I used 'absolute' to distinguish it from %age changes)will repost under student forum
by cchoong
October 31st, 2014, 4:35 pm
Forum: Numerical Methods Forum
Topic: Normal vol
Replies: 4
Views: 3867

Normal vol

Umm really no one? thought that would be a fairly straightforward question...
by cchoong
October 31st, 2014, 5:35 am
Forum: Technical Forum
Topic: FX option volatility
Replies: 4
Views: 4493

FX option volatility

You may want to make sure to distinguish between mkt and smile strangles - broker will quote mkt strangles yet the strikes associated with them may differ significantly from the smile str strikes in the presence of a pronounced RR
by cchoong
October 31st, 2014, 5:35 am
Forum: Technical Forum
Topic: FX option volatility
Replies: 4
Views: 4493

FX option volatility

You may want to make sure to distinguish between mkt and smile strangles - broker will quote mkt strangles yet the strikes associated with them may differ significantly from the smile str strikes in the presence of a pronounced RR
by cchoong
October 31st, 2014, 4:56 am
Forum: Technical Forum
Topic: bloomberg FX stoc local vol model
Replies: 16
Views: 13969

bloomberg FX stoc local vol model

Hisorry to warm up this old chat, but I was wondering whether it would be possible to send me the paper by Tataru & Fisher?Thanks!
by cchoong
October 28th, 2014, 2:37 pm
Forum: Numerical Methods Forum
Topic: Normal vol
Replies: 4
Views: 3867

Normal vol

<t>Hiapologies for the simplicity of the question, but I was wondering: what is the quoting convention for normal (bps) volatility?Say I have the following time series of data:Date Close Abs Change20-Oct 1000.00 21-Oct 1003.53 3.5322-Oct 1004.79 1.2523-Oct 1009.88 5.0924-Oct 1002.02 -7.8625-Oct 1005...
by cchoong
October 26th, 2014, 2:43 pm
Forum: General Forum
Topic: Skew swap - realized skew
Replies: 1
Views: 3642

Skew swap - realized skew

Hello,does anyone know how the realized skew is being calculated in a skew swap?Cheers
by cchoong
October 24th, 2014, 11:49 am
Forum: General Forum
Topic: Surface mapping
Replies: 0
Views: 3326

Surface mapping

<t>Assuming (for a given tenor) I have the following greeks: vega, 25dta rega (sensitivity to 25dta RR), 25dta sega (sensitivy to 25dta flys), 10dta Rega, 10dta Sega...I was wondering if & how I may map these values into vega by delta space (i.e. using these greeks to break the exposure down int...
by cchoong
October 24th, 2014, 5:24 am
Forum: Numerical Methods Forum
Topic: Optimization for hedging portfolio
Replies: 5
Views: 3903

Optimization for hedging portfolio

<t>Hello,I am looking to built a basic optimization model to hedge a FX vega across spot profile via a portfolio of vanilla options. I am looking to use a (weighted) least squares approach, but the fit is not exactly great. I was wondering whether anyone may have experience with this type of optimiz...
by cchoong
April 30th, 2011, 7:50 am
Forum: Trading Forum
Topic: Vega-weighted maturity
Replies: 6
Views: 24009

Vega-weighted maturity

I assume the term SQRT(T(i)) is meant to be included in the Summation?
by cchoong
April 30th, 2011, 7:49 am
Forum: Trading Forum
Topic: Multi-underlying Stochastic volatility
Replies: 6
Views: 23100

Multi-underlying Stochastic volatility

The formula for the Spot(i)Vol(j) calculation really gives you just an expected value (by multiplying SABR RHO(1) into the spot correlation)As for the Vol_Vol correlation: have a look at this Durrleman paper: math.stanford.edu/~valdo/papers/coupling-fx.pdf
GZIP: On