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by frolloos
January 19th, 2020, 8:50 am
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 2304

Re: Impact factor rankings

Yes the Journal of Risk has an impact rating, but Risk magazine, the one I meant I believe doesn't. It would be silly that if something is called a "magazine" instead of a "journal" it is not included in impact ratings, but that may be the reason. It's hard to argue that SABR and local volatility, j...
by frolloos
January 18th, 2020, 2:14 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 1547

Re: Nonparametric hedging of volswaps with varswaps only

Thanks Alan. I actually want to try the 3/2 model with mean reversion - as in your book volume I. At first I thought that I would need to recalculate the whole smile at each time step (which is a Monte Carlo in a Monte Carlo), find the new (adjusted) zero vanna IV and varstrike and then update the h...
by frolloos
January 18th, 2020, 10:45 am
Forum: General Forum
Topic: Impact factor rankings
Replies: 19
Views: 2304

Impact factor rankings

Why isn't Wilmott included in impact factor rankings for quant finance journals? Neither is Risk. Not sure how these things work and how relevant rankings are.
by frolloos
January 16th, 2020, 2:20 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 1547

Re: Nonparametric hedging of volswaps with varswaps only

Update: I derived a more accurate formula for the hedge ratio, and I will update the arXiv paper accordingly. See the formula below and also a histogram of the hedge p/l in volatility points. I.e. if final value of volatility swap is 20% and the hedge is 20.2%, then p/l is 0.2%. I ran 500 simulation...
by frolloos
January 14th, 2020, 11:38 am
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 1547

Re: Nonparametric hedging of volswaps with varswaps only

I think actually the section on hedging needs revision because I overlooked something subtle (as usual). The end conclusion though that you need 1/(2[$] \Sigma_- [$]) of varswaps to hedge volswaps I believe remains true. The subtlety is as follows: given two functions [$] F(x) [$] (the volswap) and ...
by frolloos
January 11th, 2020, 3:05 pm
Forum: Careers Forum
Topic: Adding CS to do algo and ML trading
Replies: 14
Views: 1856

Re: Adding CS to do algo and ML trading

@volatilityMan: sorry, I am going off-topic now.

@Cuch: couldn't help noticing the R. van Gulik quote. The Robert van Gulik who studied physics at Leiden Uni? If so, give him my regards if you speak to him again, although I don't think he remembers me. He knew his Feynman diagrams well, smart guy.
by frolloos
January 11th, 2020, 2:26 pm
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 1547

Re: Nonparametric hedging of volswaps with varswaps only

Yes, SABR with mean reversion is I think what you are suggesting. I will try that, thank you. Btw, I wasn't aware of this until only recently, but SABR with positive correlation results in loss of martingality. Not really an issue since I am mainly interested in equity, but could be an issue for FX....
by frolloos
January 11th, 2020, 1:49 pm
Forum: Careers Forum
Topic: Adding CS to do algo and ML trading
Replies: 14
Views: 1856

Re: Adding CS to do algo and ML trading

" I think that the trading industry still relies *too much* on gut feeling and experience where people who graduated with a BA from arts or some business administration represent the highest share of the traders. " I don't think this is true (anymore). More and more traders are required to be able t...
by frolloos
January 11th, 2020, 8:28 am
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 1547

Re: Nonparametric hedging of volswaps with varswaps only

Thank you for taking the time to read it and for the comments, Alan. Much appreciated. Yes, although more cumbersome than Heston I should probably use lognormal or 3/2 model for the numerical part (not my forte, but needs to be done). If you or anyone else have suggestions on how best to carry out t...
by frolloos
January 9th, 2020, 6:05 am
Forum: Book And Research Paper Forum
Topic: Nonparametric hedging of volswaps with varswaps only
Replies: 10
Views: 1547

Nonparametric hedging of volswaps with varswaps only

In this working paper a nonparametric hedge ratio is derived for general stochastic volatility models. Enabling the hedging of volswaps with varswaps only.

Any questions and comments welcome.

https://arxiv.org/abs/2001.02404
by frolloos
December 13th, 2019, 7:39 pm
Forum: Book And Research Paper Forum
Topic: Volswaps in SV models driven by fractional noise
Replies: 3
Views: 1256

Re: Volswaps in SV models driven by fractional noise

Hi Alan, thanks for the question. First of all, also for anyone else reading this thread, I am not an expert on Malliavin calculus either. All technical questions on Malliavin is probably best answered by E. Alos - I believe her email is on the arXiv site. My very limited contribution to the paper i...
by frolloos
December 12th, 2019, 7:13 am
Forum: Book And Research Paper Forum
Topic: Volswaps in SV models driven by fractional noise
Replies: 3
Views: 1256

Volswaps in SV models driven by fractional noise

A paper by Elisa Alos, Kenichiro Shiraya and myself on the difference between the exact volatility swap price and the d2=0 approximation for stochastic volatility models driven by fractional noise. For practitioners the numerical results section could be interesting as it gives a sense of how the d2...
by frolloos
December 2nd, 2019, 4:39 pm
Forum: Technical Forum
Topic: volatility
Replies: 2
Views: 1286

Re: volatility

Thanks - yes maybe that could work. Preferably I could somehow relate the instrument, whatever it is, to a single vanilla option (by eg choosing an appropriate strike), but I am starting to believe that may be impossible.
by frolloos
December 2nd, 2019, 4:29 pm
Forum: Technical Forum
Topic: volatility
Replies: 2
Views: 1286

volatility

Setting: Black-Scholes with deterministic volatility. Vanilla options are priced with volatility equal to remaining variance/volatility [$] \int_t^T \sigma^2(u) du [$].  What kind of option, that is delta-hedgeable, has as input at current time [$] t [$] not the remaining variance, but the total var...
by frolloos
October 28th, 2019, 4:33 pm
Forum: Trading Forum
Topic: Negative equity repo rates
Replies: 7
Views: 4272

Re: Negative equity repo rates

@Kirill another thing that could explain spikes is perhaps balance sheet "window dressing": maybe around end of quarters you see spikes because banks want to clean up their balance sheet for reporting purposes. I am not sure, but something to look at as well. Vote trading and (possible) balance she...
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