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by BLOBY
March 27th, 2009, 8:55 am
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51723

Timer options

Excuse me EndOfTheWorld. could you explain more in details your last idea about selling call with high budget or using put when spot/vol correl attractive ?
by BLOBY
March 26th, 2009, 4:43 pm
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51723

Timer options

Timer option pricing seems really similar to conditional variance swaps.But I often wondered how market makers could hedge conditional varswaps
by BLOBY
March 26th, 2009, 4:31 pm
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51723

Timer options

you're right tw
by BLOBY
March 26th, 2009, 2:49 pm
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51723

Timer options

EndOfTheWorld, your document is really very interesting.But do you know the difference between timer options and parisian options ?
by BLOBY
March 26th, 2009, 1:40 pm
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51723

Timer options

tw, you would buy a timer call in order to be long equities, and without paying 50% the implied vol on 1 year for instance. This call 50% cheaper than a vanilla call.
by BLOBY
March 26th, 2009, 6:40 am
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51723

Timer options

but how do you hedge and replicate this product ?
by BLOBY
March 25th, 2009, 1:10 pm
Forum: Technical Forum
Topic: Timer options
Replies: 29
Views: 51723

Timer options

<t>An article published 2 years ago ... but still relevant.My question is : HOW DO YOU HEDGE THAT PRODUCT (TIMER OPTION) ?? --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------...
by BLOBY
March 24th, 2009, 8:48 am
Forum: Technical Forum
Topic: Structured Put Option with a Volatility Target and a strike depending on the realised volatility
Replies: 4
Views: 42055

Structured Put Option with a Volatility Target and a strike depending on the realised volatility

Right, but this option is cheaper than vanilla option, so you have to sell other options in order to cheapen the cost of your structure ...
by BLOBY
March 24th, 2009, 7:45 am
Forum: Technical Forum
Topic: Structured Put Option with a Volatility Target and a strike depending on the realised volatility
Replies: 4
Views: 42055

Structured Put Option with a Volatility Target and a strike depending on the realised volatility

Yes, I have seen this kind of option (call option in this case).Anyway, it's a smart way to buy cheap options...
by BLOBY
March 23rd, 2009, 4:24 pm
Forum: Technical Forum
Topic: Structured Put Option with a Volatility Target and a strike depending on the realised volatility
Replies: 4
Views: 42055

Structured Put Option with a Volatility Target and a strike depending on the realised volatility

<t>Did anybody hear about a protective put with the following characteristics ? Put Option with a Volatility Target and a fixed maturity, but changes the option strike depending on the realised volatility. The option has an embedded contingent mechanism. You choose a volatility target and the strike...
by BLOBY
August 11th, 2008, 7:38 am
Forum: General Forum
Topic: Very simple dispersion option pricer
Replies: 3
Views: 51902

Very simple dispersion option pricer

What do you call "centroid" ?
by BLOBY
August 11th, 2008, 6:05 am
Forum: Technical Forum
Topic: Hedging Stocks Portfolio with Dispersion Trade
Replies: 0
Views: 50107

Hedging Stocks Portfolio with Dispersion Trade

Hello. Did anybody already try to hedge a stocks portfolio with Dispersion Trade ?? Is it more convenient to trade single stocks volatility or sectors volatility vs the index ? Thks so much.
by BLOBY
August 13th, 2007, 12:55 pm
Forum: Technical Forum
Topic: Equity Portfolio's Interest Rate Sensitivity Hedging with Bonds Futures
Replies: 0
Views: 66900

Equity Portfolio's Interest Rate Sensitivity Hedging with Bonds Futures

Hi everybody, did somebody already try to hedge an equity portfolio with Bonds Futures ? Because everyone knows the sensitivity of defensive stocks (low betas) to interest rates ... Any thoughts ? Does it work ? Does it improve the performance ?
by BLOBY
March 27th, 2007, 2:38 pm
Forum: Technical Forum
Topic: US equity funds - universe selection
Replies: 1
Views: 75465

US equity funds - universe selection

<t>I aim to launch an equity US fund : what's the criteria for the universe selection ? Do I have to take the exchange place quotation, the domiciliation place ou incorporation place in US ? For example, Tyco (TYC US) is domiciliated and incorporated in Bermuda, but quoted on NYSE. What's the criter...
by BLOBY
March 22nd, 2007, 2:18 pm
Forum: Technical Forum
Topic: hierarchical PCA
Replies: 17
Views: 78910

hierarchical PCA

But how do you build your correlation matrix of the 4 factors ? What's the interest ? Factors are orthogonals.It's a good idea to reduce dimension, but PCA will give you only the correlation matrix of the futures against the 4 factors.
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