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by LocalVolatility
August 5th, 2018, 6:21 pm
Forum: Careers Forum
Topic: Netherlands or Switzerland for a prospective Quant/Trader?
Replies: 9
Views: 4802

Re: Netherlands or Switzerland for a prospective Quant/Trader?

Yes, the unconditional probability of landing a graduate position at either of these companies is quite low. However, working for one of the ones mentioned in my initial post, I want to debunk the claim that there is any advantage in being "connected" or " circuiting  the system". The vast majority...
by LocalVolatility
July 10th, 2018, 9:34 am
Forum: Careers Forum
Topic: Netherlands or Switzerland for a prospective Quant/Trader?
Replies: 9
Views: 4802

Re: Netherlands or Switzerland for a prospective Quant/Trader?

A quick Google search on the names that I listed above would have revealed that they are all in Amsterdam.
by LocalVolatility
July 10th, 2018, 7:09 am
Forum: Careers Forum
Topic: Netherlands or Switzerland for a prospective Quant/Trader?
Replies: 9
Views: 4802

Re: Netherlands or Switzerland for a prospective Quant/Trader?

1. There are a few hedge funds and proprietary non-market makers in the Netherlands as well. The globally significant players tend to be in the market making space however. 2. I can only speak for Amsterdam. There is no need to speak any Dutch in daily life, though it is certainly an advantage to pi...
by LocalVolatility
July 9th, 2018, 9:58 am
Forum: Careers Forum
Topic: Netherlands or Switzerland for a prospective Quant/Trader?
Replies: 9
Views: 4802

Re: Netherlands or Switzerland for a prospective Quant/Trader?

Your question is quite broad / open-ended. I am not as familiar with Switzerland but in the Netherlands there are number of big electronic trading firms/market makers, e.g. Flow Traders, IMC, Optiver and Tower Research, as well as a few smaller shops, e.g. 323 Trading, All Options. There is also a s...
by LocalVolatility
October 9th, 2017, 9:53 am
Forum: Trading Forum
Topic: how is HFT possible
Replies: 14
Views: 3349

Re: how is HFT possible

by LocalVolatility
June 11th, 2017, 2:06 am
Forum: Technical Forum
Topic: Local Vol: Jim Gatheral formula
Replies: 21
Views: 2639

Re: Local Vol: Jim Gatheral formula

A few years back I worked through the details of the derivation on pages 11 - 13 in Gatheral's book. I was able to replicate his result. Attached are the notes that I took back then. Hope this helps...
by LocalVolatility
September 2nd, 2016, 7:48 am
Forum: Student Forum
Topic: Levy measure for Heston (1993) and Bates(1996)?
Replies: 6
Views: 968

Re: Levy measure for Heston (1993) and Bates(1996)?

Sorry - I must have made a typo initially when I entered the parameters. I started from scratch and now get:

call = 8.07652
put = 6.58771

which seems fairly close to the values in the paper you referenced.
by LocalVolatility
September 1st, 2016, 10:30 pm
Forum: Student Forum
Topic: Levy measure for Heston (1993) and Bates(1996)?
Replies: 6
Views: 968

Re: Levy measure for Heston (1993) and Bates(1996)?

Sorry, I cannot replicate your results. I get using my COS pricer:  call price = 7.15155061,  put price = 5.66274457. Are you sure you meant to use a mean jump size of -50% and a jump standard deviation of 4%? Sure you can use any values for testing but these seem unrealistic at least. Also have a l...
by LocalVolatility
August 29th, 2016, 10:26 am
Forum: Student Forum
Topic: Heynen Ron, Harry Kat 'Partial Barrier Options'
Replies: 2
Views: 23074

Re: Heynen Ron, Harry Kat 'Partial Barrier Options'

Hi DrissBadiane, please check your private messages - I just forwarded you a scan of this paper that I once made. One more suggestion - if you are looking to price partial time barrier options within the Black and Scholes framework, then have a look at the method of images in combination with higher...
by LocalVolatility
July 7th, 2016, 4:52 pm
Forum: Technical Forum
Topic: Looking for a simpler proof -- Moment explosions
Replies: 7
Views: 1462

Looking for a simpler proof -- Moment explosions

See attached for some old notes that I once took while studying for a term structure modelling class. They deal with the bank account case you mentioned.(Please note that this is not my own work but reproduced from some other source that unfortunately I do not have anymore.)
by LocalVolatility
April 9th, 2016, 11:30 am
Forum: Student Forum
Topic: Doe dC/dS (delta) = dC/dX ?
Replies: 5
Views: 1459

Doe dC/dS (delta) = dC/dX ?

<t>The time dependence is in the derivatives, I just didn't make that explicit. As you noted before in the Black Scholes setting you have[$]\frac{\partial C}{\partial S} = \mathcal{N} \left( d_1 \right)[$],where [$]d_1[$] depends on time.This relationship is quite useful to directly infer the delta ...
by LocalVolatility
April 8th, 2016, 6:20 pm
Forum: Student Forum
Topic: Doe dC/dS (delta) = dC/dX ?
Replies: 5
Views: 1459

Doe dC/dS (delta) = dC/dX ?

<t>They are in general not equal. Merton (1973), Theorem 9, showed however that if the underlying asset exhibits constant returns to scale, then the European call price is homogeneous of degree one in the underlying asset price and the strike price, i.e.[$]C = S \frac{\partial C}{\partial S} + K \fr...
by LocalVolatility
April 4th, 2016, 3:18 pm
Forum: Technical Forum
Topic: Variance Gamma formula of Madan-Carr-Chang
Replies: 4
Views: 1766

Variance Gamma formula of Madan-Carr-Chang

I think omega = np.log(1 - theta * nu - nu/2 * theta**2 ) /nu; # martingale correctionshould be omega = np.log(1 - theta * nu - nu/2 * sigma**2 ) /nu; # martingale correction
by LocalVolatility
March 13th, 2016, 1:37 pm
Forum: General Forum
Topic: Compound Poisson Process for Modeling Stock Jumps
Replies: 18
Views: 2774

Compound Poisson Process for Modeling Stock Jumps

<t>My suggestion was to to estimate your model and some alternative models based on the historical returns using maximum likelihood estimation, i.e. fitting the physical return distribution. Then you can make inferences about which model fits your data better and potentially conclude that your jump ...
by LocalVolatility
March 12th, 2016, 10:14 am
Forum: General Forum
Topic: Compound Poisson Process for Modeling Stock Jumps
Replies: 18
Views: 2774

Compound Poisson Process for Modeling Stock Jumps

If you want to show why a compound Poisson process with log-normally distributed jumps is a better model for your data than some other process(es) you could estimate them via maximum likelihood and then run selection tests like likelihood ratio, AIC, BIC, ...
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