<t>HelloIf I understand correctly you are trying to explain the change in the put value from 2012 to 2013, so essentially analysing what happened in the PAST.I would therefore recommend not bothering too much about "projecting", but rather keeping all inputs "the same" (details below) except for the...

<t>sell USD / buy AUD spotbuy USD / sell AUD forward (6months say)in one month (say), roll the forward leg to go back to a 6 month exposure.This way you should roughly stay long AUD rate / short USD rate with a maturity of 5.5months.It would not be a pure rate trade though as the xccy basis (and sup...

<t>Observer84,Re your question on term structure: my explanation would be to assume a "term risk" is priced in vol markets, like it is priced in rates markets.Assume the term structure of expected volatility is flat, i.e. market participants do not expect VIX to be on average different in 1 year or ...

<t>QuoteOriginally posted by: AnalyticalVegaQuoteOriginally posted by: CuchulainnProperty?Worst thing to do, Inflation up -> Interest Rates up -> Property Value down -> Rent Money downSorry for the dumb question: why the last relationship between property value and rent levels?I would have naively t...

yes, you bear FX risk on the floating interest paymentsno FX risk on the principal since you have an exchange of notionals at inception and at maturity.

<t>question 1you are missing the cash position I think, but you have excluded it from both "daily pnl" and "carry pnl" so I would have thought it would cancel out.Otherwise answer is yes if you are delta hedged at the beginning of the day, and assuming no change in implied vol / interest rates / fut...

<t>Hi,I have gone through this interesting thread and have struggled to grasp one particular point made by a few people: the fact that the "rolling intrinsic"-based valuation cannot be hedged.What does that mean precisely? Are we talking about a model-independent hedge? In that case, I can see there...

<t>Overall positive.Of course they do gather CVs, and I would assume only a fraction of their ads are real (less than 50%?).I applied for one of their job postings, and they came back to me with a completely different role. Still, I thought they helped me reasonably well during the process. I got th...

very funny

<t>it is possible for the head of a large quant group, related to very profitable desks, to make the $1m mark.However, in general, and this applies to any industry : the highest-paid positions are quite naturally the profit-generating ones. Not research, not IT, not admin...etc. In the car industry,...

<t>jfuqua,unkpath's explanations are correct. I will try to add a few more points.The following are general rules, not totalitarian truths, ie. there are exceptions, but I will not bother stating the latter for any attempt to give a fully comprehensive description of the French education system is l...

<t>The French system is good at training the country's intellectual elite. Its selection process is well organised, but that does not make it the best education system in the world. With enough money, every country can select smart kids, make them work real hard, and then say "hey, look how smart an...

<t>Hi,I confirm it would be a miracle to land a proper quant position in a bank without a graduate degree (and definitely easier with a PhD than an MSc).Are you talking about derivatives (credit, equity, interest rate, commodity...) structuring ?Very broadly, a structurer is someone pricing structur...

<t>I cannot remember the paper exactly, but if you wish to replicate a variance swap completely, you have to delta hedge your strip of options.This is because the standard var swap (daily fixing) will see its delta reset every night, whereas your options' deltas will be not.Again, I do not remember ...

<t>Equity portfolio managers need to partially hedge their structurally long positions.They either SELL CALLS ON THE UPSIDE (they are happy giving away a bit of upside for a premium upfront), or/and BUY PUTS ON THE DOWNSIDE (to protect themselves against a crash).By doing so, they push down OTM call...