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by EndOfTheWorld
September 12th, 2018, 3:50 pm
Forum: General Forum
Topic: Target Volatility Options -- explanation requested
Replies: 3
Views: 120

Re: Target Volatility Options -- explanation requested

do you mean timer options?
by EndOfTheWorld
April 30th, 2018, 8:28 am
Forum: Technical Forum
Topic: Risk Premia Investing
Replies: 3
Views: 287

Re: Risk Premia Investing

Google papers from T. Roncalli
by EndOfTheWorld
April 18th, 2018, 7:23 am
Forum: General Forum
Topic: volatility and options payoff..a doubt
Replies: 5
Views: 388

Re: volatility and options payoff..a doubt

First of all, the price of the option and the implied vol is more than correlated, it's bijection and options are often quote in term of implied vols.  Now coming back to your analysis, imagine you calculate the realised vol and the return over the maximum period, there is no particular reason they ...
by EndOfTheWorld
August 15th, 2017, 1:24 pm
Forum: General Forum
Topic: CBOE VIX INDEX - Logic behind the Formula
Replies: 5
Views: 736

Re: CBOE VIX INDEX - Logic behind the Formula

Derman - varswap replication paper
by EndOfTheWorld
February 22nd, 2016, 11:56 am
Forum: Numerical Methods Forum
Topic: Transformation of Black vol to Normal Vol
Replies: 29
Views: 3842

Transformation of Black vol to Normal Vol

Apology for my ignorance but what is a normal vol?
by EndOfTheWorld
July 9th, 2015, 6:48 am
Forum: Economics Forum
Topic: Benchmark for commodity portfolio?
Replies: 4
Views: 3688

Benchmark for commodity portfolio?

There are three standard benchmark:<BR>BBG Commodity TR BCOMTR<BR>RJ/CRB Commodity TR Index CRYTR<BR>S&P GSCI TR Index SPGSCITR<BR><BR>Exposure are quite different so you pick the one which fits best your portfolio<BR><BR>DBLCIX is another one (rolled optimized) and is the reference index of the mos...
by EndOfTheWorld
April 24th, 2015, 5:15 am
Forum: Student Forum
Topic: Thesis topic on VIX
Replies: 8
Views: 3027

Thesis topic on VIX

Check your private message. The tricky about studying VIX vs. Vstoxx is to get synchronous data, without this it's pointless
by EndOfTheWorld
April 22nd, 2015, 10:26 am
Forum: Student Forum
Topic: Thesis topic on VIX
Replies: 8
Views: 3027

Thesis topic on VIX

It?s a decent paper - standard sales pitch for structured flow product. Those strategies are standard and aims to replace the SPX rather than enhanced it (the put underwriting is the long SPX + Call overwriting). In my opinion the results shows very little: chances than outperfmance is driven by 200...
by EndOfTheWorld
April 22nd, 2015, 6:47 am
Forum: Student Forum
Topic: Thesis topic on VIX
Replies: 8
Views: 3027

Thesis topic on VIX

VXX is an ETF which is long VIX future 1m by gradually rolling second expiry into front-month (XIV is short VXX). There are a few studies which focus on how monetising the roll is profitable, arguing that predictive power lies in the basis (which I found very noisy to claim good results). <BR><BR>Ok...
by EndOfTheWorld
April 21st, 2015, 3:02 pm
Forum: Student Forum
Topic: Thesis topic on VIX
Replies: 8
Views: 3027

Thesis topic on VIX

I think VIX is a very interesting topic and maybe I have a limited access to academic paper but I find the topic poorly cover. <BR><BR>On modelling: there is still room for a better framework to price VIX and SPX future/derivatives (despite A. Sepp or R. Cont, a bit too theoretical for me?). Simply ...
by EndOfTheWorld
May 14th, 2014, 9:15 am
Forum: General Forum
Topic: Delta One and ETF in particular
Replies: 4
Views: 4483

Delta One and ETF in particular

The SPY is tracks the performance of the S&P 500 Total return.

A rolling strategy using S&P futures would have a different performance than the ETF, depending on the funding cost
by EndOfTheWorld
May 12th, 2014, 6:19 am
Forum: Student Forum
Topic: Option Vega
Replies: 2
Views: 4511

Option Vega

It?s similar to Delta Beta asjuted, I suppose. In your option portfolio:<BR>- you select reference index say SPX<BR>- calculates the Beta of SPX and any other underling using realized vol time series<BR>- And ?Beta? Vega is Vega x Beta which represents the change in P&L of the portfolio for 1vol mov...
by EndOfTheWorld
December 12th, 2013, 7:28 am
Forum: Programming and Software Forum
Topic: Bloomberg professional - Need info
Replies: 1
Views: 5900

Bloomberg professional - Need info

Bloomberg is selling AIM on the top of the standard license as PMS and then additional modules for RM. The standard license includes PORT, but this is not really a PMS
by EndOfTheWorld
June 26th, 2013, 6:04 am
Forum: Trading Forum
Topic: Historical data access limit on the Bloomberg API
Replies: 9
Views: 12541

Historical data access limit on the Bloomberg API

There are two type of limits for Bloomberg the daily about 1mio calls and the monthly about 40k (those are obviously my own estimates)

The daily limit is designed to control the bandwidth, therefore does not really matter unless you're HFT

by EndOfTheWorld
February 14th, 2013, 1:10 pm
Forum: Trading Forum
Topic: HSI Expiry
Replies: 5
Views: 8771

HSI Expiry

perfect thank you Dave, Apr fooled me but it's Good Friday
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