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by Caesaria
May 27th, 2016, 11:26 pm
Forum: Careers Forum
Topic: Salaries in Trading for a FO Quant or Analyst
Replies: 2
Views: 1383

Salaries in Trading for a FO Quant or Analyst

250K all in? whats the typical base+bonus? And its 250K for an outstanding analyst?
by Caesaria
May 27th, 2016, 3:14 am
Forum: Careers Forum
Topic: Salaries in Trading for a FO Quant or Analyst
Replies: 2
Views: 1383

Salaries in Trading for a FO Quant or Analyst

Yes we all know of the glory days when people got paid a lot about 5 years back and stuff, in the last 2 years what is the typical base + bonus for an outstanding FO analyst in commodities or equities in a bank or trading house.Thanks
by Caesaria
February 11th, 2013, 11:08 pm
Forum: Careers Forum
Topic: Market calls on the quant bubble
Replies: 16
Views: 10323

Market calls on the quant bubble

<t>Anybody here with a masters degree in quant finance, who are in the industry, feel that they will slowly be wiped out by those with superior numerical computation skills? Has the quant bubble already happened in Fixed income/equities? Has it already happened in the energy trading sphere? With a d...
by Caesaria
February 8th, 2012, 8:32 pm
Forum: Economics Forum
Topic: a theory about gold
Replies: 33
Views: 21191

a theory about gold

<t>QuoteOriginally posted by: FaugereHi;I'm one of the co-authors of the study cited above. Just a preview of coming attractions... I should have a new article out within the next month or so, showing how gold fulfills its function of store of value accross monetary systems. One of the preliminary a...
by Caesaria
February 2nd, 2012, 6:25 pm
Forum: Careers Forum
Topic: golden age of computer science?
Replies: 108
Views: 21039

golden age of computer science?

<t>Just noting that, even though programming is a hot commodity these days, there aren't enough people with the ability to write fantastic code. The word IT has a bad connotation these days, so I think we shouldn't use it. Programmers are found in all areas of engineering, finance, economics, you na...
by Caesaria
December 2nd, 2011, 4:30 pm
Forum: Technical Forum
Topic: variance swap replication using vanilla
Replies: 37
Views: 21155

variance swap replication using vanilla

deleted.
by Caesaria
December 2nd, 2011, 4:07 pm
Forum: Technical Forum
Topic: variance swap replication using vanilla
Replies: 37
Views: 21155

variance swap replication using vanilla

<t>QuoteCaesaria,I think we agree on the basic definition of "static". Given that agreement, for variance swaps, one canstill talk about whether or not the replication is static in an ideal mathematical world vs. the real world. In the ideal world, one assumes there are a continuum of option strikes...
by Caesaria
December 2nd, 2011, 3:59 pm
Forum: Technical Forum
Topic: variance swap replication using vanilla
Replies: 37
Views: 21155

variance swap replication using vanilla

<t>QuoteWith that, the var swap replication can be done via a combination of two positions.Oh so we do agree then, so the static part is the option position... and the dynamic part is the equity position. So the second position is static, the first position is dynamic. So the net effect is that var ...
by Caesaria
December 2nd, 2011, 3:50 pm
Forum: Technical Forum
Topic: variance swap replication using vanilla
Replies: 37
Views: 21155

variance swap replication using vanilla

<t>QuoteOnce this option portfolio is established, you don't touch it, which is our agreed-upon definition of static.Thats not true though, you sell the variance swap... you buy the option portfolio. Sure you do not touch your option portfolio, but you touch your underlying by delta hedging until ex...
by Caesaria
December 2nd, 2011, 3:30 pm
Forum: Trading Forum
Topic: what is volatility arbitrage?
Replies: 4
Views: 18725

what is volatility arbitrage?

<t>Can greater profits be realized by delta hedging in non equally spaced intervals? In other words, if you are long vol through buying some options, could you realize greater profits if you were to delta hedge at unequal intervals? Is that the foundation of volatility arbitrage hedge funds? Rather ...
by Caesaria
December 2nd, 2011, 2:35 pm
Forum: Technical Forum
Topic: variance swap replication using vanilla
Replies: 37
Views: 21155

variance swap replication using vanilla

<t>okay let me get this straight, static replication to me is when you have a delta one product... buy index futures, sell its underlying components... thats a static hedge, there is no gamma... you just sit on that.Are we on the same page on that? As a market maker, static replication is when you d...
by Caesaria
December 2nd, 2011, 2:33 pm
Forum: Technical Forum
Topic: variance swap replication using vanilla
Replies: 37
Views: 21155

variance swap replication using vanilla

i updated my previous comment :"Besides, if you increase your option positions everyday based on the settlement prices of options, in effect you are delta hedging daily based on daily MtM implied vol ... hence not replicating the payoff of the variance swap, which is why I was confused."
by Caesaria
December 2nd, 2011, 2:29 pm
Forum: Technical Forum
Topic: variance swap replication using vanilla
Replies: 37
Views: 21155

variance swap replication using vanilla

<t>ummm no, I said in my initial post that you'd have to increase (i said offload, it should have been to increase) your option positions everyday in order to replicate it which is really expensive. You can rebalance daily to replicate the payoff either by delta hedging or in effect by increasing yo...
by Caesaria
December 2nd, 2011, 2:19 pm
Forum: Technical Forum
Topic: variance swap replication using vanilla
Replies: 37
Views: 21155

variance swap replication using vanilla

<t>Thanks EndOfTheWorld,Thats what I suspected, so when you sell your variance swap... you'd buy the strip of options (which basically ensures your gamma to be 1) and then you delta hedge everyday, therefore realizing exactly the actual variance vs variance price sold (which is the payoff of the cus...
by Caesaria
December 1st, 2011, 6:26 pm
Forum: Technical Forum
Topic: variance swap replication using vanilla
Replies: 37
Views: 21155

variance swap replication using vanilla

So if you were a market maker and sold the variance swap, for you to replicate the variance the next day... you'd have to adjust the weights from weights_i/T to weights_i/(T-1) right?
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