SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Alkmene
January 29th, 2008, 6:14 am
Forum: General Forum
Topic: Risk Neutral Probability (newbie help)
Replies: 49
Views: 150568

Risk Neutral Probability (newbie help)

I jsut read the bookies example in "Financial Calculus : An Introduction to Derivative Pricing" and I do not understand how they come up with 1667 net profit for second horse to win... can anyone explain?I feel as dumb as I look ;-)
by Alkmene
January 28th, 2008, 8:45 am
Forum: General Forum
Topic: Zeta Models
Replies: 0
Views: 59093

Zeta Models

Does anyone have an easy read on Zeta models for FX? VolVol, Vanna, Gamma of Vol models?Or can anyone explain in plain English how they work and why they can't be fittted to the actual implied Vols?Many thanks,Alk
by Alkmene
January 23rd, 2008, 8:06 am
Forum: General Forum
Topic: Do we need PhD to get an entry level quant position in investment bank?
Replies: 37
Views: 63391

Do we need PhD to get an entry level quant position in investment bank?

<t>I also find that a lot of non-core quant teams try to avoid phds because they fear that phds get bored and leave, thinking that it is better somewhere else! It is unlikely to be better somehwere else; there is not much need in banks for phds - in the classical sense, phds should be working at uni...
by Alkmene
January 22nd, 2008, 9:13 am
Forum: General Forum
Topic: Do we need PhD to get an entry level quant position in investment bank?
Replies: 37
Views: 63391

Do we need PhD to get an entry level quant position in investment bank?

<t>My 2 cents: I work as a quant with quants and currently in more of a line Valuation and Risk role (I need more money!)A phd is a must because the selection process is otherwise to difficult for a bank. You can do an MFE these days and scrape by with Highschool maths. Strategic course selection it...
by Alkmene
January 2nd, 2008, 3:47 am
Forum: Numerical Methods Forum
Topic: Curve construction
Replies: 1
Views: 61012

Curve construction

<t>Reuters has a product called "Kondor Plus". It has an option to construct an interest rate curve using "Raphson Newton's" (RN) method. I am only aware of RN as a root finding algorithm for non linear equation systems. Neither the manual nor Reuters itself is very forthcoming with information on t...
by Alkmene
March 31st, 2007, 11:13 pm
Forum: General Forum
Topic: gamma charge
Replies: 1
Views: 75013

gamma charge

If I have a gamma of G for one option, a portfolio of 1000 of those options and I change the value of the underlying by 10$, how can I calculate the impact of that change in the value of the underlying on the total portfolio of options?Thanks,Alk.
by Alkmene
March 31st, 2007, 12:34 am
Forum: General Forum
Topic: Gamma charge and common sense - urgent!
Replies: 4
Views: 75186

Gamma charge and common sense - urgent!

The gamma charge calculated is for one option. The charge for the portfolio would be 1000*29.7. The value of one option is 10. The protfolio would be 1000*10.Units should be ok?Alkm
by Alkmene
March 30th, 2007, 6:12 am
Forum: General Forum
Topic: Gamma charge and common sense - urgent!
Replies: 4
Views: 75186

Gamma charge and common sense - urgent!

<t>Somehow my common sense tells me there is something odd going on:If I have a portfolio of options (all exactly the same) with a gamma of say .0000148. Price of the underlying is about 1million, strike at 1,005,000, value of the option about 10. I am long 1000 options. What is the change in the va...
by Alkmene
March 30th, 2007, 6:08 am
Forum: General Forum
Topic: Gamma charge and common sense - urgent!
Replies: 0
Views: 75092

Gamma charge and common sense - urgent!

<t>Somehow my common sense tells me there is something odd going on:If I have a portfolio of options (all exactly the same) with a gamma of say .0000148. Price of the underlying is about 1million, strike at 1,005,000, value of the option about 10. I am long 1000 options. What is the change in the va...
by Alkmene
February 24th, 2007, 10:10 pm
Forum: General Forum
Topic: Jump Diffusion
Replies: 6
Views: 78589

Jump Diffusion

Mj,thanks for that. I am not sure who you are (sorry for my ignorance!) and what is Concepts?thanks for your help,Alk
by Alkmene
February 23rd, 2007, 4:31 am
Forum: General Forum
Topic: Jump Diffusion
Replies: 6
Views: 78589

Jump Diffusion

<t>Thanks for that.Can you please explain? I am not sure why this would be the case? What I am after is some sense of the following:If I have an ATM option with very little time to expiry, say 30 minutes. Wouldn't then, ceteris paribus, an option that assumes a jump process for the underlying result...
by Alkmene
February 23rd, 2007, 12:24 am
Forum: General Forum
Topic: Jump Diffusion
Replies: 6
Views: 78589

Jump Diffusion

<t>Hi guys,Is it fair to say that, in general, an option has a higher value if the underlying process is a jump diffusion, rather than a pure diffusion process?I say in general because I am not so interested in the exceptions but it seems to be intuitively correct because jumps would add volatility ...
by Alkmene
February 5th, 2007, 9:19 am
Forum: Numerical Methods Forum
Topic: Jump Diffusion Help Please
Replies: 2
Views: 80161

Jump Diffusion Help Please

<t>I came across the following jd process:dFt/Ft- = some continuous part + integral((e^x-1)[u(dx,dt) - vt(x)dxdt])vt(x)dxdt is a compensator.x is the size of the jumps.u(dx,dt) counts the number of jumps.Questions: I am not sure why this would be a Q-pure jump martingale, even if, as I think, the EV...
by Alkmene
January 25th, 2007, 12:26 am
Forum: Technical Forum
Topic: Fixed income pricing
Replies: 3
Views: 82073

Fixed income pricing

<t>"I still could not understand professors who teach pure students to pay equal price for call option at t for two securities that have the same risk characteristics (volatility) and one promises almost nothing ( $0 with probability 0.999 and $1 with probability 0.001) and the second security that ...
by Alkmene
January 22nd, 2007, 11:33 pm
Forum: Technical Forum
Topic: Barrier Options and Vol smiles
Replies: 3
Views: 84520

Barrier Options and Vol smiles

<t>I am looking for some literature on the following issue. If you have different volatility levels for different moneyness levels implied by market traded vanilla options, what is the correct volatility level to use to price barrier options? The moneyness level can be assessed relative to the barri...
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