- November 23rd, 2011, 9:15 pm
- Forum: Student Forum
- Topic: how to brush up my level of mathematics.. quickly?
- Replies:
**3** - Views:
**16565**

<t>Well. I have studied Brigo and Mercurio's work quite a bit and they write in a very nice way. It's easy to follow and written with a nice "tone". But you need basic understanding of the following mathematical areas:Calculus (Taylor expansion, analytical functions and continuation, Fourier analysi...

- November 23rd, 2011, 4:22 pm
- Forum: Student Forum
- Topic: Dax30 hedge
- Replies:
**30** - Views:
**17780**

I have nothing to add on this topic, but I just wanted to drop in and lift my hat to Dave. What a guy!

- November 15th, 2011, 11:11 am
- Forum: Student Forum
- Topic: Is this shape of the implied volatility curve normal?
- Replies:
**8** - Views:
**16204**

<t>QuoteOriginally posted by: AlanDT,I don't have a general opinion about Bloomberg functionality for implied vols as I don't know what theydo. As a general principle, I am always wary of implied vols I haven't personally calculated as there are somany opportunities for distortions.Thank you for cla...

- November 14th, 2011, 7:41 am
- Forum: Student Forum
- Topic: Is this shape of the implied volatility curve normal?
- Replies:
**8** - Views:
**16204**

<t>Thank you for your reply Alan. It is much appreciated!QuoteOriginally posted by: AlanDid the index move as the charts suggest from S0 ~ 4400 to S0 ~ 4225 and finally S0 ~ 4050 as expiration approached?Yes, it did! As you can see in the plot belowQuoteOriginally posted by: AlanYour charts are 'pos...

- November 13th, 2011, 8:33 pm
- Forum: Student Forum
- Topic: Is this shape of the implied volatility curve normal?
- Replies:
**8** - Views:
**16204**

<t>Hello!The option in question is a 1-month European stock index option. I get a simliar variation in the shape of the curves in every contract period I examine (I have data during 4 years). I have 7 different strikes (the circles in the plots below) that corresponds to different moneyness (0.9, 0....

- November 4th, 2011, 2:13 pm
- Forum: Student Forum
- Topic: Assistant
- Replies:
**27** - Views:
**19395**

<t>QuoteOriginally posted by: ZoeHi all, I am not trying to outsource my work on the contrary I really want to finalize it but being away from school for so long I have no one to turn to as a sparring partner which I don?t quite get is considered as a joke or as outsourcing? It is perfectly fine to ...

- October 31st, 2011, 2:49 pm
- Forum: Student Forum
- Topic: New strike price every day?
- Replies:
**3** - Views:
**16437**

Okay, so if I want to look at a specific contract (e.g. for hedging purposes) I have to interpolate so that I get a constant strike price. It seems reasonable!

- October 31st, 2011, 11:10 am
- Forum: Student Forum
- Topic: New strike price every day?
- Replies:
**3** - Views:
**16437**

<t>QuoteOriginally posted by: acastaldoMost likely what you have are not IV's for specific contracts, they are points from a curve that has been drawn through the IV's for the existing contracts. For example there is not necessarily a contract with moneyness 0.95 trading on a given day, but what you...

- October 30th, 2011, 10:06 pm
- Forum: Student Forum
- Topic: New strike price every day?
- Replies:
**3** - Views:
**16437**

<t>Hello,I have some time series of daily implied volatility each corresponding to a certain level of moneyness. For example I have implied volatility corresponding to moneyness 0.95. The option contracts live for 1 month and matures on the 3:rd Friday of every month.My question is, how do I know wh...

- October 30th, 2011, 8:09 pm
- Forum: Student Forum
- Topic: Implied volatility for call or put?
- Replies:
**6** - Views:
**17933**

<t>Hello!I have implied volatilities for an index option. Let's say for example that it has moneyness 1.05.It's not evident whether or not the implied volatilities are for call or puts. I was told that it does not matter and I can use this implied volatility for both call and puts. I realize that in...

- October 3rd, 2011, 5:41 pm
- Forum: Programming and Software Forum
- Topic: Help interpreting Bloomberg implied volatilities
- Replies:
**0** - Views:
**18457**

<t>Hello everyone!I'm going to test an option model and in order to do this I have received several historical time series for implied volatility. I do not at the moment have access to any Bloomberg support, that's why I'm asking you guys! This is the first time I'm taking my head out from the theor...

- September 22nd, 2011, 6:59 pm
- Forum: Student Forum
- Topic: Estimate parameters in GBM
- Replies:
**3** - Views:
**18114**

<t>Thank you for your answers!I can't really get my estimations correct. I mean, if I use my historical stock index data to compute X(i) = log[S(t(i))/S(t(i-1))] i should have something N(alpha,sigma^2)-distributed if alpha and sigma are as in the GBM-model above. And if I use Matlabs histfit-functi...

- September 21st, 2011, 9:04 pm
- Forum: Student Forum
- Topic: Estimate parameters in GBM
- Replies:
**3** - Views:
**18114**

<t>Hello!I have historical stock index data and I want to estimate alpha and sigma in the GBM model for the stock priceusing this historical data. I want to be able to see how well the log-rates fit a standard normal distribution. To do this I must "normalize" by subtracting alpha and dividing by si...

- August 29th, 2011, 11:16 am
- Forum: Student Forum
- Topic: basic filtration question
- Replies:
**11** - Views:
**17888**

<t>QuoteOriginally posted by: sdlifeQuoteOriginally posted by: DoubleTroubleQuoteOriginally posted by: sdlifeQuoteOriginally posted by: DoubleTroubleQuoteOriginally posted by: sdlifeI kind of get it, but u>t and so the filtration, F_u, will still hold more information than F_t, even if u is only a t...

- August 29th, 2011, 11:10 am
- Forum: Student Forum
- Topic: basic filtration question
- Replies:
**11** - Views:
**17888**

<t>QuoteOriginally posted by: sdlifeQuoteOriginally posted by: DoubleTroubleQuoteOriginally posted by: sdlifeI kind of get it, but u>t and so the filtration, F_u, will still hold more information than F_t, even if u is only a tiny bit greater than t? and so the intersections will be F_u which will h...