SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 1619 matches

by frolloos
January 5th, 2008, 9:54 am
Forum: General Forum
Topic: derivatives seminar wilmott & taleb
Replies: 0
Views: 60118

derivatives seminar wilmott & taleb

i'm considering going to the next wilmott & taleb derivatives seminar. anyone here followed it before? if so, how was it in terms of material covered? is it an advanced seminar/set of lectures, is it more theoretical or practical?
by frolloos
January 5th, 2008, 9:41 am
Forum: Student Forum
Topic: Expectation value and standard deviation of option
Replies: 8
Views: 61014

Expectation value and standard deviation of option

<t>i think i didn't formulate my original question precisely enough. what i really wanted to know was the expectation value and standard deviation of derivative returns, E(dC/C) and var(dC/C), in a finite but small interval of time. i believe the answer to this is contained in Ito's lemma and it's q...
by frolloos
January 1st, 2008, 10:01 am
Forum: Student Forum
Topic: delta trader, gamma trader, vol trader
Replies: 1
Views: 60549

delta trader, gamma trader, vol trader

<t>i was once asked by a trader whether i was a delta trader,gamma trader, or vol trader. i ask for quotes for all kinds of instruments OTC. but I didn't quite understand what he meant. i suppose if I traded only variance swaps i'd be a vol trader, if i traded only ETFs i'd be a delta trader, but in...
by frolloos
December 31st, 2007, 3:52 pm
Forum: Student Forum
Topic: Expectation value and standard deviation of option
Replies: 8
Views: 61014

Expectation value and standard deviation of option

so w.r.t. a martingale measure C/B is a martingale. is this correct?but what then is the expectation value of the option at time t, where t < T (expiration time)? it's not exp(-rt)E(max(S(T)-K,0)) is it?
by frolloos
December 31st, 2007, 3:34 pm
Forum: General Forum
Topic: prop trader
Replies: 8
Views: 60935

prop trader

<t>as compared to flow traders. i suppose the myth comes, as CDQN wrote, from the secrecy around their strategies. but most strategies are variations on a finite number of basic known strategies. so i suppose what makes a prop desk especially interesting is the amount of risk you're allowed to take....
by frolloos
December 30th, 2007, 3:51 pm
Forum: General Forum
Topic: volatility
Replies: 3
Views: 60414

volatility

all other factors remaining the same, yes the option price will increase
by frolloos
December 28th, 2007, 9:36 pm
Forum: Off Topic
Topic: What is your favorite Beer.
Replies: 482
Views: 224044

What is your favorite Beer.

the only good beer is a dead beer
by frolloos
December 28th, 2007, 9:25 pm
Forum: General Forum
Topic: prop trader
Replies: 8
Views: 60935

prop trader

are prop traders really mythical beings/uber-traders? what does it take to land (or be asked) a job at a prop desk?cheers, FR
by frolloos
December 28th, 2007, 9:20 pm
Forum: Trading Forum
Topic: Delta hedging for Dispersion Strategy
Replies: 22
Views: 169100

Delta hedging for Dispersion Strategy

the best article on variance 'swaps' (erstwhile is mucho correct in saying it's a forward contract and not really a swap) i have read is by carr and madan, called 'towards a theory of volatility trading'. closely followed by dermans 'more than you ever wanted to know about variance swaps'.
by frolloos
December 28th, 2007, 8:54 pm
Forum: Student Forum
Topic: Expectation value and standard deviation of option
Replies: 8
Views: 61014

Expectation value and standard deviation of option

thanks all for the replies. i can see why the s.d. of a contingent claim is delta of the claim * s.d. of the underlying: if P = C - delta*S, which is a riskless portfolio, then s.d. of C is just delta*s.d. of S. but still don't get why E(C) = exp(-rT)E(E(max(S(T) - K,0))) = C.
by frolloos
December 28th, 2007, 10:21 am
Forum: Technical Forum
Topic: Expectation value of option
Replies: 2
Views: 60883

Expectation value of option

Can anyone help me with the following:What is the expectation value (and standard deviation) of a plain vanilla call/put option at and before expiry?many thanks
by frolloos
December 28th, 2007, 9:39 am
Forum: Student Forum
Topic: Expectation value and standard deviation of option
Replies: 8
Views: 61014

Expectation value and standard deviation of option

can someone help me with the following (undoubtedly simple) problem:what is the expectation value and standard deviation of a vanilla call/put option at expiry and at any time t before expiry?many thanks
by frolloos
October 8th, 2007, 6:23 pm
Forum: Technical Forum
Topic: Binomial tree -> Black Scholes --> Diffusion equation --> Schrodinger
Replies: 4
Views: 65138

Binomial tree -> Black Scholes --> Diffusion equation --> Schrodinger

<r>Thanks for the link to Tao's page and your comments. However I don't quite understand what you mean with discrete Schrodinger eqt. As far as I know it is a continuous equation which can be solved numerically (for complicated potentials) by for example finite-difference methods.What I am searching...
by frolloos
October 4th, 2007, 4:58 pm
Forum: Technical Forum
Topic: Binomial tree -> Black Scholes --> Diffusion equation --> Schrodinger
Replies: 4
Views: 65138

Binomial tree -> Black Scholes --> Diffusion equation --> Schrodinger

<t>Hello, even though I am a 'newbie' in investment/derivatives profession I;d like to post a technical question on the following:The limit of the binomial model is black scholes, which in turn is equivalent to the diffusion equation through a transformation. The diffusion equation is closely relate...
GZIP: On