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Search found 21 matches

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by akki
January 11th, 2011, 3:26 am
Forum: Student Forum
Topic: Price of a one day straddle
Replies: 7
Views: 22153

Price of a one day straddle

<t>Tks Dev Angle and DocToc. I see how a taylor expansion of the normal cdf gives a factor of 0.8. Yes, Dave Angel is correct, it has to be a continuous price process. If you have a continuum of possible prices between S(1-h) and S(1+h), What would the expected payoff be? I was expecting it to be S ...
by akki
January 10th, 2011, 3:47 am
Forum: Student Forum
Topic: Price of a one day straddle
Replies: 7
Views: 22153

Price of a one day straddle

<t>Hi,Suppose the stock is S today and tomorrow it can go to only 2 states. In state 1, it is S(1+ \sigma) and in state 2, it is S(1 - \sigma). So then one would expect the price of a one day straddle (assuming r = 0) to be S*(\sigma) but it turns out to be less than that, it is actually .8*S*(\sigm...
by akki
October 15th, 2010, 3:13 am
Forum: Programming and Software Forum
Topic: Timeseries Database
Replies: 1
Views: 23951

Timeseries Database

<t>Sorry if this is not the right forum for this question but I don't know where to post this. Out of curiosity I want to know (my questions may be vague but please bear with me)What are the main differences between a relational database and a time series database. Why is the latter much better for ...
by akki
October 11th, 2010, 1:19 am
Forum: Student Forum
Topic: Trading the Gamma
Replies: 6
Views: 23501

Trading the Gamma

Thanks VolMaster. Nice trade.I'm still unable to clearly reason in my head why is it that the gamma scalping will not work in this case. Could you please break down the second last line you wrote.
by akki
October 10th, 2010, 6:18 pm
Forum: Student Forum
Topic: Trading the Gamma
Replies: 6
Views: 23501

Trading the Gamma

Why ? Could you please explain.
by akki
October 10th, 2010, 3:36 pm
Forum: Student Forum
Topic: Trading the Gamma
Replies: 6
Views: 23501

Trading the Gamma

Suppose a trader has bought a call and will attempt to follow the gamma scalping strategy. What if the price moves a lot between trade inception and option expiry, but does so in a straight line, will the trader be able to earn the gamma profit??
by akki
October 6th, 2010, 2:14 am
Forum: Book And Research Paper Forum
Topic: Volatility surface
Replies: 5
Views: 33174

Volatility surface

I would suggest Hedger and the Fox too.
by akki
October 6th, 2010, 2:13 am
Forum: Student Forum
Topic: Variance swap rate
Replies: 3
Views: 24257

Variance swap rate

Since you only have the daily closing prices (and hence returns) you can only compute the realized daily variance.
by akki
September 27th, 2010, 12:18 am
Forum: Student Forum
Topic: Robustness of black scholes model
Replies: 2
Views: 24726

Robustness of black scholes model

Pardon my naivety, but I failed to understand why is black scholes model so popular even when we know that its assumptions are violated in the real world ?
by akki
September 13th, 2010, 1:51 am
Forum: Book And Research Paper Forum
Topic: Paper on Skew
Replies: 1
Views: 25369

Paper on Skew

<r>I found this paper called: What Does Implied Volatility Skew Measure?<URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1618602So"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... =1618602So">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1618602So</LINK_TEXT></URL> far ...
by akki
August 22nd, 2010, 10:16 pm
Forum: Student Forum
Topic: Skew
Replies: 6
Views: 24786

Skew

<t>Thank you everyone for the suggestions. I looked at the book Inside Volatility Arbitrage, I covered around 100 pages so far and I liked the breadth of the models and techniques covered by the book. That was very useful, but I think I've not learnt a lot about skew. I want to be able to answer som...
by akki
August 20th, 2010, 3:42 am
Forum: Student Forum
Topic: Skew
Replies: 6
Views: 24786

Skew

HiI would like to read more about skew - computing implied skew, realized skew, trading skew. Please share any references to books/papers that might cover these topics.Thanks!
by akki
August 20th, 2010, 3:37 am
Forum: Student Forum
Topic: Discount curves for options
Replies: 1
Views: 24169

Discount curves for options

Hi,How do I construct discount curves for pricing options, say 6m, 1yr and 3 yr ? What if the options are 5 yrs or more ?Thanks!
by akki
April 16th, 2010, 1:00 am
Forum: Technical Forum
Topic: Binomial Model
Replies: 2
Views: 29104

Binomial Model

<t>Suppose I am given the local vol surface (i.e for each combination of the stock price and time I know the value of the volatility). How do I find the risk neutral probability for the up and down move in the binomial model (to price an American Option)? Please let me know if the question is a litt...
by akki
January 1st, 2009, 8:26 am
Forum: Careers Forum
Topic: Quant Analyst
Replies: 1
Views: 44726

Quant Analyst

<t>Hi,I would like to know what kind of interview questions are asked for a quant analyst role? What topics in maths, stats am I expected to know. I heard that knowledge of linear regression analysis, time series analysis is tested.Also, if someone has interviewed with Fitch Solutions and can please...
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