As the subject. How to build the whole assessment system? What kind of factors should I consider? Any material or book to recommend?

1. Beta hedge with Index Futures 2. Contract Value of Index Futures = Market Value of the Portfolio1. That's the two ways I know about how to hedge an equities portfolio. Any more ways to do so?2. What are the advantages and disadvantages of these two ways and the ways you guys share?Thanks.

We all know that this is the way to calculate the theoretical fair price of futures F=S0*exp((r-d)*(T-t)).For (T-t), is it 1. trading days till the expiration/252 or 2. normal days till the expiration/365?

How to Build AR-GARCH Model in Eviews, R or Matlab? Please elaborate the process how to approach it with one of the software package. Thanks in advanced.

<t>QuoteOriginally posted by: Hansi5 year treasuries? I'd assume that what you need to look for is information about the dynamics between different maturity treasuries and their effect on the respective curves? e.g. steepening in the 2s over 5s against changing dynamics further out in the curve and ...

QuoteOriginally posted by: MartinghoulNo, it's just the plural of 5. 5s as in "fives", i.e. 5yr bonds.It makes sense. Thanks very much.

QuoteOriginally posted by: MartinghoulI think if you search on this forum you'll find an answer to your last question, with some examples... As to 5s - longs, I guess it means 5s vs 30s or smth like that.What does s mean in 5s, second?

I google it, but nothing is found. So I decide to post my question in this forum and hope someone can help me. Thanks in advanced.What does s stand for in 5s?Does longs mean the the bonds with long maturities?What's Curve Flatteners? It's welcomed to give example if possible.

Any idea?

<t>1. I am building an algorithmic trading system, but I have one problem unsolved. If the algorithms generate a buy, but the price decreases soon and I get stopped out. At the same time a buy is generated a few seconds right after that, and the order gets stopped out again in the downtrend. How to ...

<r>QuoteOriginally posted by: daveangelQuoteOriginally posted by: 89578251QuoteOriginally posted by: HansiAny time when the intrinsic value is greater that the time value.<URL url="http://is.gd/cOcng">http://is.gd/cOcng</URL> top one.Time value is simply the difference between option value and intri...

<r>QuoteOriginally posted by: HansiAny time when the intrinsic value is greater that the time value.<URL url="http://is.gd/cOcng">http://is.gd/cOcng</URL> top one.Time value is simply the difference between option value and intrinsic value. I am not quite sure why you want to compare the intrinsic v...

<t>When would people early exercise american put?My idea is when interest rate increases, early exercise can get you the intrinsic value of the put earlier, so that you can invest it for the higher interest rate, which you won't get by holding the put till maturity. Is my idea right?Any other scenar...

<t>QuoteOriginally posted by: acastaldoFutures contract has a *maturity* (for ex. current S&P contract expires Friday June 18, 2010You need an estimate of what stock dividends are going to be between now and then, and an interest rate for funding the stock portfolio between now and then. This wi...

<t>QuoteOriginally posted by: VolMasterQuoteOriginally posted by: 89578251QuoteOriginally posted by: VolMaster89578251,i would like to clarify my reply (just in case my reply was unclear):by "25Delta/10Delta Strangle" i mean that the strikes of the call/put will be corresponded with 25/10Delta (mean...