<t>i dont understand either, did you use google translate for this post?look, on my team we discussed as much as 1 year ago that zero percent floors on swiss libor would be an excellent tail hedge against another financial crisis. i dont know how on earth people could believe a few months back that ...

i thought this mechanism exists in the US. it is called grand jury and was last used by republicans to oust bill clinton. they did not succeed, but it did set a precedent....

lognormal model. atmf not equal delta 0.5

<t>QuoteOriginally posted by: kindlyMeIn any typical textbook it says that T-bill/bond is always safe because home country can always print money to honor that. Then how does current debt crisis arise? If US government can not borrow money (due to it's ceiling) to pay it's bill then it can always pr...

<t>3 years is way too long as the futures has a much shorter expiry and the basis generally mean reverts as a function of how much time is left in the contract.also, there are bounds to how much of this basis you (or anyone else who sees an "arb") can trade. if you buy the futures and short the cash...

<t>on the other hand though, if you are really big and short gamma, then your hands are tied. if you delta hedge with big sizes, you may end up moving the market further into the pain zone. in that case you may want to consider doing nothing (and hope that your counterparty does the hedging...which ...

<t>Of course. If you are asked to quote an exotic deal that requires dynamic hedging via options structures that dont trade easily (e.g. digitals are treated by quants as if they existed. they dont), then you do consider whether the hedging is going to be easy or not. If not, you make it worth it......

little boys playing with 50 bund futures based on an intraday trend following model?

there is no euroland and no euroland yield curve. each country has its own curve.these are AAA rated govies on that website. which euro country is AAA? germany. these are german govies. why would it not make sense that german govies rally? they are safer than us treasuries.

<t>it should depend on whether you are a buyer or seller of the straddle.remember, the fwd is not the same as the center of the distribution in a lognormal world. suppose the distribution's mean is below the fwd and you buy the straddle. do you want the strike to be at the fwd or below?can also depe...

<t>This is a very good question and I was often wondering about the same thing. In a way it should be reflected in both the skew and the backbone, but i really don't know to what extent. Certainly, the backbone must reflect this behaviour. But also the skew must reflect the fact that vols would real...

<t>Quant is more stable, and from a risk adjusted point of view more "efficient". Trading is volatile and unpredictable, and for every successful trader you observe there are 9 others who have failed.Having said that, you will not be successful at anything if you choose on the basis of "what is bett...

<t>I used to be a (bad) quant and went into trading after a few yrs, thinking that trading is Walhalla. Look, to outsiders, especially quants, trading seems so easy. This is because many traders do not understand the maths that you hurl at them, and consequently you believe you are smarter and entit...

hi there, i remember vaguely having the same thought a few months ago and then giving up on it because i could not find the correct expansion formula. Would you mind pointing out which formula it is (and in which version of the paper). Thanks!

<t>I think you would need to specify dynamics for the funding levels i.e. the credit risk of the issuer, and then correlate that somehow to the dynamics of the factors that drive the exotic swap.So like a credit-rates hybrid.I dont think anybody really does it that way though. I wouldn't know how to...