I can tell you how to trade in the CNY NDF market. But not sure how to make a profit. Had I known a sureshot way to make money,I would not have been writing this......

<t>Why do you want to shift the barrier? Just to avoid delta slippage at the barrier?if yes, then the person who is short a barrier (who does not want the barrier totouch - the holder of the option in this case) will always have a take-profit ofhis initial delta-hedge at the barrier, and he does not...

How do these two models compare to each other? Which one is used in practice these days? Is one model better for one asset class and the other for some others? Any particular shortcomings of one model viz a viz the other? Appreciate any thoughts / answers on the above. Thx a lot

Last Friday NFP recorded 247 K job losses in the U.S. for the month of July. However, the unemploymentrate came down from 9.5% in June to 9.4% in July. Even though the economy is losing jobs, the unemployment rate is coming down. What is the catch here?

hurrayyy - I should get some credit for this as well chocolatemoney..

I have a fair idea about MBAs but no clue on the courses and schools teachingMFE. I have also heard that it is easier to get into the good schools this yearbecause not many students are going to spend so much money as the returnsare looking dismal, is this true?

Haa, good idea - but I am IT challenged, don't think I can create one and monitor it properly.I just want to become a worker and not a manager. Having said that, is it easy to create oneon some website - just like writing blogs on blogspot etc. etc. ?

<t>My brother will write his GMAT after 3 months. He wants to join some Masters in Finance (engineering) coursenext year. We have a few questions regarding the same.1) Are their any related courses (to MFE) we should look at after GMAT ?2) How can we get the rankings of good schools (in U.S. and U.K...

Does anyone know of a discussion forum (like the Wilmott Forum for finance) for issues and problems in macro economics? I have done some googling on this butdid not get any good results. Thanks

<t>Prop guys don't have the luxury of making money because of bid-offer. They lose money everytime they tradebecause they have to cross the market (which is pretty wide these days). So, they will not be hedging their portfoliomany times during the life of the trade - the more they trade, the more bi...

<t>A. Lewis 2007. Geometries and Smile Asymptotics for a Class of Stochastic Volatility Models. UCSB NotesI have not read this one - but try this. The thing is that most of the papers on this topic are in-house, soI cannot really share them with you. What I can do is give you the simple formula that...

<t>200% moneyness means that the strike is twice the spot for a put and half of the spot for a call ?Assuming this is the case, you need to look at the delta of the option. For a steep forward curve even200% ITM strike maybe a pretty high delta. There are some papers written on extrapolating the ske...

<t>Most of the big houses use a combination of local vol and some stoch vol (SABR is pretty common) to define the vol surface and price exotics. A parameter - mixing weight governs which model (local versus stoch) dominates the final price. I assume thatbanks fix the mixing weight for an underlying ...

<t>Convexity means that your PV01 is not a constant number - it changes as you change the underlying interest rates. Say the portfolio interest rates are i_1 right now and your PV01 is PV1.You can change all the rates in your system by 50 bps, so every i_1 becomes i_1 + 0.5 %, and thenlet the system...

<t>Thanks for the reply Dave.But I have a few doubts with respect to your point. Vega, (also Gamma) and therefore dVega/dVol are the same whether the option is a call or a put. So a topside put(in the money option) will exhibit the same convexity as a topside call and similarly a downside call is as...