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by Tinkerz1
January 1st, 2012, 2:36 pm
Forum: Trading Forum
Topic: Premium from correlated options spread
Replies: 0
Views: 15353

Premium from correlated options spread

Is is possible using options and a pair of correlated stocks to extract the premium from the spread?Or are there and other methods/types of contracts that could do it?ThanksTinkerz
by Tinkerz1
January 1st, 2012, 1:24 pm
Forum: Student Forum
Topic: Heston and Nandi Negative options prices
Replies: 10
Views: 17254

Heston and Nandi Negative options prices

Could you keep in contact with you findings? finding out the problem is somewhat out of my depth.ThanksTinkerz
by Tinkerz1
December 28th, 2011, 9:42 pm
Forum: Student Forum
Topic: Heston and Nandi Negative options prices
Replies: 10
Views: 17254

Heston and Nandi Negative options prices

<t>I am using the book "Option Pricing Models and Volatility"I was looking at implementing the Heston and Nandi 2000 Garch Model for option pricing.However for deep out of the money Puts and Calls there are negative option prices, this does not work in the real world.Am I missing something obvious a...
by Tinkerz1
December 26th, 2011, 6:40 pm
Forum: Student Forum
Topic: Drift in Options and Stocks
Replies: 2
Views: 16140

Drift in Options and Stocks

What is the Drift in Options and Drift in Stocks.I would like to understand what drift refers tooMany ThanksTinkerz
by Tinkerz1
December 10th, 2011, 7:14 pm
Forum: Student Forum
Topic: probability of a move in volatility
Replies: 4
Views: 16587

probability of a move in volatility

Thanks, I do a GARCH model to get the volatility, I think I will have to do some pondering on it.Many thanks for your reply
by Tinkerz1
December 4th, 2011, 3:30 pm
Forum: Student Forum
Topic: probability of a move in volatility
Replies: 4
Views: 16587

probability of a move in volatility

What I meant was,If you had daily data of historical volatility for a stock, what would be the probability of a move from a low volatility reading to a high volatility in x days from the data.
by Tinkerz1
November 28th, 2011, 8:01 pm
Forum: Student Forum
Topic: probability of a move in volatility
Replies: 4
Views: 16587

probability of a move in volatility

Dear AllAre there any books or advice here on working out the probability of a move in volatility from a low to high or low medium high regime in the next X days?ThanksTinkerz
by Tinkerz1
May 10th, 2011, 8:10 pm
Forum: Student Forum
Topic: looking for a good book on options with VBA code
Replies: 7
Views: 20754

looking for a good book on options with VBA code

Thanks, I was really looking for options strategies rather than pricing
by Tinkerz1
May 10th, 2011, 8:09 pm
Forum: Student Forum
Topic: looking for a good book on options with VBA code
Replies: 7
Views: 20754

looking for a good book on options with VBA code

Thanks, I was really looking for options strategies rather than pricing
by Tinkerz1
May 8th, 2011, 3:19 pm
Forum: Student Forum
Topic: looking for a good book on options with VBA code
Replies: 7
Views: 20754

looking for a good book on options with VBA code

<t>I purchased the book Option Pricing Models & Volatility be Rouah and Vainberg, that has a very good VBA CD with it.Can someone recommend me an option book or books with VBA code for Options strategies that include Volatility arbitrage as well as bull/bearish strategies.I am looking for charts...
by Tinkerz1
May 3rd, 2011, 6:29 pm
Forum: Book And Research Paper Forum
Topic: Options Book in VBA
Replies: 2
Views: 22970

Options Book in VBA

thanks, i will take a look if they do a demo, but still after vba code
by Tinkerz1
May 2nd, 2011, 11:13 am
Forum: Student Forum
Topic: Newton Raphson Method Multiple Inputs
Replies: 4
Views: 20080

Newton Raphson Method Multiple Inputs

it going to be a randomized search but from an initial guess
by Tinkerz1
May 2nd, 2011, 9:15 am
Forum: Book And Research Paper Forum
Topic: Options Book in VBA
Replies: 2
Views: 22970

Options Book in VBA

<t>I purchased the book Option Pricing Models & Volatility be Rouah and Vainberg, that has a very good VBA CD with it.This website recommeded it, so I am back with another question Can someone recommend me an option book or books with VBA code for Options strategies that include Volatility arbit...
by Tinkerz1
April 25th, 2011, 7:52 pm
Forum: Student Forum
Topic: Newton Raphson Method Multiple Inputs
Replies: 4
Views: 20080

Newton Raphson Method Multiple Inputs

I would like to find the minimum number for a set of inputs.The inputs could be between 2 and 25, so a wide range.What would be the best method for finding the root? or minimum?Or is a Monte Carlo method better?Tinkerz
by Tinkerz1
January 22nd, 2011, 9:55 pm
Forum: Programming and Software Forum
Topic: C++ C# Math Libraries
Replies: 7
Views: 27460

C++ C# Math Libraries

<t>Thank for this, looks like what I am after.Ok just one more thing, this looks like what I am after, GNU and boostAre there online forums for these, these free tools look good but I suspect I will be asking questions on installation and functions on each one, I am looking for specific functions.Wh...