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

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?

- January 5th, 2008, 9:41 am
- Forum: Student Forum
- Topic: Expectation value and standard deviation of option
- Replies:
**8** - Views:
**61014**

<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...

- January 1st, 2008, 10:01 am
- Forum: Student Forum
- Topic: delta trader, gamma trader, vol trader
- Replies:
**1** - Views:
**60549**

<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...

- December 31st, 2007, 3:52 pm
- Forum: Student Forum
- Topic: Expectation value and standard deviation of option
- Replies:
**8** - Views:
**61014**

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?

- December 31st, 2007, 3:34 pm
- Forum: General Forum
- Topic: prop trader
- Replies:
**8** - Views:
**60935**

<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....

- December 30th, 2007, 3:51 pm
- Forum: General Forum
- Topic: volatility
- Replies:
**3** - Views:
**60414**

all other factors remaining the same, yes the option price will increase

- December 28th, 2007, 9:36 pm
- Forum: Off Topic
- Topic: What is your favorite Beer.
- Replies:
**482** - Views:
**224044**

the only good beer is a dead beer

- December 28th, 2007, 9:25 pm
- Forum: General Forum
- Topic: prop trader
- Replies:
**8** - Views:
**60935**

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

- December 28th, 2007, 9:20 pm
- Forum: Trading Forum
- Topic: Delta hedging for Dispersion Strategy
- Replies:
**22** - Views:
**169100**

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'.

- December 28th, 2007, 8:54 pm
- Forum: Student Forum
- Topic: Expectation value and standard deviation of option
- Replies:
**8** - Views:
**61014**

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.

- December 28th, 2007, 10:21 am
- Forum: Technical Forum
- Topic: Expectation value of option
- Replies:
**2** - Views:
**60883**

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

- December 28th, 2007, 9:39 am
- Forum: Student Forum
- Topic: Expectation value and standard deviation of option
- Replies:
**8** - Views:
**61014**

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

- October 8th, 2007, 6:23 pm
- Forum: Technical Forum
- Topic: Binomial tree -> Black Scholes --> Diffusion equation --> Schrodinger
- Replies:
**4** - Views:
**65138**

<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...

- October 4th, 2007, 4:58 pm
- Forum: Technical Forum
- Topic: Binomial tree -> Black Scholes --> Diffusion equation --> Schrodinger
- Replies:
**4** - Views:
**65138**

<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...

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