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by Benjamin1977
January 19th, 2012, 2:15 pm
Forum: Technical Forum
Topic: Structured Product Sensitivities
Replies: 3
Views: 15208

Structured Product Sensitivities

<t>Dear All,I am thinking about an equity-index structured product that would be:- long foward- long volatility- that would pay a (conditionnal) coupon every year- that would not necessarily be capital protectedThough I used to worked as a structurer on those products I cannot find the philosopher's...
by Benjamin1977
December 26th, 2011, 2:15 pm
Forum: General Forum
Topic: CAPM question
Replies: 8
Views: 158730

CAPM question

Dear All,A simple, and naive question: why would the CAPM model be market capitalized? Where wuld market cap be taken into account in computations?Many thanks
by Benjamin1977
September 15th, 2011, 3:15 pm
Forum: Technical Forum
Topic: Call spread sensitivities
Replies: 1
Views: 17528

Call spread sensitivities

<t>Dear All,It looks like this subject hasn't been evoked yet..What would you thinking of delta, vega etc of a theoretical call spread with both strikes quite close to each other?Because all sensitivities are themselves differentiable, I would naively say that all sensitivites are negligible.... exc...
by Benjamin1977
September 7th, 2011, 1:16 pm
Forum: Technical Forum
Topic: Barrier Option
Replies: 5
Views: 20255

Barrier Option

Gents,I hope this question isn't resolved yet on another topic (though I looked around), but would there be an approximate closed-form solutions for barrier options?I saw that series might help but I wondered if straight equations could be sufficient.Thanks
by Benjamin1977
February 15th, 2011, 1:44 pm
Forum: General Forum
Topic: Markowitz on Exel
Replies: 2
Views: 20920

Markowitz on Exel

<t>All,This thread is somehow similar to the one I posted last week.Would any of you have an excel spreadhseet that given an arbitrary set of asset classes (and data linked to them, variances etc and also starting-point weights) would create a Markowitz-optimal portfolio?I would afterwards optimize ...
by Benjamin1977
February 14th, 2011, 9:24 am
Forum: General Forum
Topic: Black-Litterman on Excel
Replies: 2
Views: 26886

Black-Litterman on Excel

Dear All, Would any of you know about some Excel Files implementing the Black-Litterman allocation model?I had a look on the forums but was unable to find one out.Thanks,
by Benjamin1977
February 2nd, 2011, 12:11 pm
Forum: Economics Forum
Topic: Trading Small / Mid Caps
Replies: 5
Views: 25282

Trading Small / Mid Caps

oui tout à fait however I can't find any data on bloombg related to the liquidity of the underlying contract, do you think it is resannably tradable?
by Benjamin1977
February 2nd, 2011, 11:55 am
Forum: Economics Forum
Topic: Trading Small / Mid Caps
Replies: 5
Views: 25282

Trading Small / Mid Caps

Well that's perfect, thanks taapu !
by Benjamin1977
February 2nd, 2011, 8:53 am
Forum: Economics Forum
Topic: Trading Small / Mid Caps
Replies: 5
Views: 25282

Trading Small / Mid Caps

Dear All,There a quite a number of Indices dedicated to Small and Mid Caps, but do you know if there is a tradable and liquid Future linked to one of those?For Eurozone is there such a Future?Thank you,
by Benjamin1977
November 26th, 2010, 8:42 am
Forum: Technical Forum
Topic: Convexity Adjustment
Replies: 2
Views: 26009

Convexity Adjustment

<t>Dear All,Hope the subject wasn't answered in another thread yet...I work on CMS, and would like to know is the convexity adjustment is model-dependent, ie: is there more convexity adjustment to take into account when using the HJM model over the Hull & White model for ex.Plus, which model wou...
by Benjamin1977
August 12th, 2010, 3:12 pm
Forum: Technical Forum
Topic: Theoretical Value of Future on Bund
Replies: 12
Views: 29475

Theoretical Value of Future on Bund

Now that we have the formula proposed by LocalVolatility, and though as Martinghoul said it could be complexified even more, how would you compute the performance of our future on Bund in first order, with respect to: the duration of the CTD, and the rate curves?*Thx
by Benjamin1977
August 4th, 2010, 1:03 pm
Forum: Technical Forum
Topic: Theoretical Value of Future on Bund
Replies: 12
Views: 29475

Theoretical Value of Future on Bund

Ok, what would be the repo rate? Or a proxy that would best suit? A short term Euribor rate? Thx
by Benjamin1977
August 3rd, 2010, 11:16 am
Forum: Technical Forum
Topic: Theoretical Value of Future on Bund
Replies: 12
Views: 29475

Theoretical Value of Future on Bund

<t>Well the point is that I don't know which inputs I should use...When I said "theoretical value" of a future on Bund, I meant that for example, the theoretical value of a future on a continous-dividend paying stock, the value would be F(t,T)=S(t)*exp[ (r-g)*(T-t)]r being the ZC risk free rate for ...
by Benjamin1977
July 28th, 2010, 7:05 am
Forum: Technical Forum
Topic: 10 Y Swap Rate
Replies: 6
Views: 26411

10 Y Swap Rate

A final one: a future on the 3 Month would quote F=100 - Int.Rate(3Month), do you know the formula linking the future on the 10Y to its underlying rate?
by Benjamin1977
July 28th, 2010, 6:54 am
Forum: Technical Forum
Topic: 10 Y Swap Rate
Replies: 6
Views: 26411

10 Y Swap Rate

Thx
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