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## Search found 83 matches

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

### how to brush up my level of mathematics.. quickly?

<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

### Dax30 hedge

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

### Is this shape of the implied volatility curve normal?

<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

### Is this shape of the implied volatility curve normal?

<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

### Is this shape of the implied volatility curve normal?

<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

### Assistant

<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

### New strike price every day?

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

### New strike price every day?

<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

### New strike price every day?

<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

### Implied volatility for call or put?

<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

### Help interpreting Bloomberg implied volatilities

<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

### Estimate parameters in GBM

<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

### Estimate parameters in GBM

<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

### basic filtration question

<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

### basic filtration question

<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...