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October 30th, 2012, 5:37 pm
Forum: Numerical Methods Forum
Topic: Correlation linearization
Replies: 5
Views: 10965

### Correlation linearization

<t>1. What exactly are the capabilities of your optimizer?=> I don't know, it's just the optimization toolbox of Matlab (fmincon function)2. What exactly is the (ideal) correlation constraint you want to approximate? => I just wanna constraint the correlation between my output portfolio return (Nav)...
October 29th, 2012, 2:02 pm
Forum: Numerical Methods Forum
Topic: Mean reversion playing
Replies: 0
Views: 10478

### Mean reversion playing

<t>Hey fellas, I heard that it's possible to trade equity index mean reversion with PLAIN VANILLA OPTIONS ? Any thoughts about it ?I just knew that a long/short weekly varswap against daily varswap is the traditionnal way to trade mean reversion, but any alternative way is about weekly options tradi...
October 29th, 2012, 1:59 pm
Forum: Numerical Methods Forum
Topic: Correlation linearization
Replies: 5
Views: 10965

### Correlation linearization

Alan, my optimizer is Matlab, and I just try to minimize my equity portfolio's variance under a few sectors, liquidity constraints ... and particularly a correlation (between my output portolio and an equity benchmark) constraint...Thanks again.
October 23rd, 2012, 8:11 am
Forum: Numerical Methods Forum
Topic: Correlation linearization
Replies: 5
Views: 10965

### Correlation linearization

Hi, I got to set a correlation constraint in my optimizer for an equity portfolio generating, but correlation is not linear and even not convex. How would you linearize correlation in order to be able to set it as a constraint ? Thx a lot.
June 26th, 2012, 3:37 pm
Forum: Technical Forum
Topic: Weekly variance swaps replication
Replies: 0
Views: 11929

### Weekly variance swaps replication

<t>I heard that the most efficient way to arb mean reversion on equity is to replicate it via vanilla options, instead of the well know long/short daily varswap versus weekly varswap, due to liquidity issues.How would your do so ? In other words, how would you replicate weekly variance swaps payoff ...
May 6th, 2009, 2:21 pm
Forum: Technical Forum
Topic: How can you replicate a put on index variance with vanilla equity stock options ?
Replies: 6
Views: 40326

### How can you replicate a put on index variance with vanilla equity stock options ?

Sorry, replicate with vanilla equity index options ....
May 6th, 2009, 1:54 pm
Forum: Technical Forum
Topic: How can you replicate a put on index variance with vanilla equity stock options ?
Replies: 6
Views: 40326

### How can you replicate a put on index variance with vanilla equity stock options ?

Hello, I'm wondering if it's possible to replicate a put on index variance with vanilla equity stock options ?Any ideas ?
April 17th, 2009, 6:13 am
Forum: Technical Forum
Topic: Covered Calls for asset management
Replies: 30
Views: 97232

### Covered Calls for asset management

Furthermore, does anybody try to sell calls on a daily basis, in order to reduce more volatility et restrike more frequently ?
March 31st, 2009, 6:12 am
Forum: Technical Forum
Topic: Currency futures
Replies: 8
Views: 41909

### Currency futures

Moreover, do you know if it's possible to trade less than 1 contract ?
March 30th, 2009, 7:43 am
Forum: Technical Forum
Topic: Currency futures
Replies: 8
Views: 41909

### Currency futures

daveangel, how would you hedge duration mismatch between currency swaps and currency futures ?
March 30th, 2009, 6:10 am
Forum: Technical Forum
Topic: Currency futures
Replies: 8
Views: 41909

### Currency futures

<t>I saw indeed that currency futures (CME) have quarterly cycle, so the next available maturity is june, albeit I currently use 2 weeks maturity currency swaps... so I don't know how to solve this problem if I take the decision to trade now currency futures.Contract Size is 125,000 euro for EURUSD ...
March 27th, 2009, 4:28 pm
Forum: Technical Forum
Topic: Currency futures
Replies: 8
Views: 41909

### Currency futures

Could you explain more ?
March 27th, 2009, 4:06 pm
Forum: Technical Forum
Topic: Currency futures
Replies: 8
Views: 41909

### Currency futures

Does anybody know if currency futures are become liquid products ?Because I currently hedge my portfolio's currency risk with OTC currency swaps, but the problem is that I can not realize my P&L (I can not make an early termination of these swaps).Any suggestions ?
March 27th, 2009, 1:26 pm
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51780

### Timer options

EndOfTheWorld, regarding cond varswaps, why do you trade digital options and not vanilla options strike at the barrier ?
March 27th, 2009, 9:35 am
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51780

### Timer options

Thanks for the explanations. EndOfTheWorld, Do you have an idea about how conditional varswaps can be hedged / replicated ?
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