SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by BLOBY
May 25th, 2005, 6:30 am
Forum: Technical Forum
Topic: Monetizing gamma
Replies: 3
Views: 147973

Monetizing gamma

Hello, I would like to know if it's a good way to buy a convertible bond, and instead of shorting equity, selling a call, in order to monetize gamma ??
by BLOBY
May 23rd, 2005, 7:32 pm
Forum: Technical Forum
Topic: ASW and Z spreads
Replies: 15
Views: 218535

ASW and Z spreads

no, for me cash invested = nominal * bond price (with accrued).
by BLOBY
May 17th, 2005, 7:04 pm
Forum: Technical Forum
Topic: ASW and Z spreads
Replies: 15
Views: 218535

ASW and Z spreads

Quantman, do you know basically why the payoff at maturity of a bond, in term of his spread, is equivalent to :Z-spread (or ASW ??) x cach invested and not Z-spread x nominal ???
by BLOBY
May 17th, 2005, 1:09 pm
Forum: Technical Forum
Topic: ASW and Z spreads
Replies: 15
Views: 218535

ASW and Z spreads

Thanks a lot !! Finally an interested article on negative basis and measure of spread.....
by BLOBY
May 16th, 2005, 5:51 pm
Forum: Technical Forum
Topic: ASW and Z spreads
Replies: 15
Views: 218535

ASW and Z spreads

More generally, what's exactly the diffrence between Z-spread and ASW ?Why there is a big diffrence between these two measures for a high yield bond (dirty price far above par) ?
by BLOBY
May 15th, 2005, 5:55 am
Forum: Technical Forum
Topic: Cliquet Floor ?
Replies: 1
Views: 148957

Cliquet Floor ?

it's not a quote I need to do, but it's a structure that I see often, and especially for ALM demands.
by BLOBY
May 13th, 2005, 1:23 pm
Forum: Technical Forum
Topic: Replication of VarSwaps in practice
Replies: 19
Views: 154709

Replication of VarSwaps in practice

it's very interesting ; exotiq, can you develop this thesis around the "skew delta" ?
by BLOBY
May 13th, 2005, 10:54 am
Forum: Technical Forum
Topic: Replication of VarSwaps in practice
Replies: 19
Views: 154709

Replication of VarSwaps in practice

I heard that Long / Short equity desks were hedging their exposition to volatility by shorting Variance Swaps ; it's a good idea, but how do you determine the amount of hedge ?????I think that tentation is big to be over-hedged, especially since last year ...
by BLOBY
May 13th, 2005, 9:12 am
Forum: Technical Forum
Topic: Cliquet Floor ?
Replies: 1
Views: 148957

Cliquet Floor ?

<t>How would you price this structure ?Investor receives CMS10Y + 150 bps (years 1 and 2), CMS10Y + 50 bps (years 3 to 10), and pay EUR3M + margin, wheremargin = 0 (years 1 and 2), margin = preceding margin + 3 x Max[ 2.50% – CMS10Y ; 0] (years 3 to 10)(quaterly, post fixed on CMS10Y).Thanks for you...
by BLOBY
May 12th, 2005, 6:47 am
Forum: Technical Forum
Topic: Replication of VarSwaps in practice
Replies: 19
Views: 154709

Replication of VarSwaps in practice

by BLOBY
May 12th, 2005, 6:46 am
Forum: Technical Forum
Topic: Replication of VarSwaps in practice
Replies: 19
Views: 154709

Replication of VarSwaps in practice

this paper (GS - 1999) will be very helpful for you (replicating variance swaps) :
by BLOBY
May 11th, 2005, 7:16 pm
Forum: Technical Forum
Topic: Replication of VarSwaps in practice
Replies: 19
Views: 154709

Replication of VarSwaps in practice

Erstwhile, could you please give me the link for your paper ?? Thanks a lot.
by BLOBY
May 11th, 2005, 6:24 am
Forum: Technical Forum
Topic: Replication of VarSwaps in practice
Replies: 19
Views: 154709

Replication of VarSwaps in practice

I am not a specialist of variance swaps, but it's not so simple : on this position, you don't have gamma risk, only vega risk, so I think you have to combine options (long call and short put) in order to eliminate gamma movements ....
by BLOBY
May 10th, 2005, 1:42 pm
Forum: Technical Forum
Topic: Trackers (ETF)
Replies: 6
Views: 150139

Trackers (ETF)

on Eurostoxx Tracker, do you think guys hedge their position with stocks ? rather than futures
by BLOBY
May 10th, 2005, 7:16 am
Forum: Technical Forum
Topic: Trackers (ETF)
Replies: 6
Views: 150139

Trackers (ETF)

Hi everybody, my question is naive, but how do market makers or structuring guys achieve to win money on Trackers ? For instance Eurostoxx Tracker ? Bid-offer is very tight, replication is almost perfect....
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