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September
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Posts: 9
Joined: October 29th, 2007, 11:16 am

Structured products and their vol and skew sensitivies

February 7th, 2008, 4:21 pm

Just wondering if anyone has a handy summary of how different type of structured products pricings vary with changes in volatility and/or skew. e.g. does the pricing of an autocallable structure increase when vols rise, and how is it affected by changes in skews?Thanks!
 
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CrashedMint
Posts: 2591
Joined: January 25th, 2008, 9:12 pm

Structured products and their vol and skew sensitivies

February 7th, 2008, 6:07 pm

I recently wrote a working paper on this. I need to fix some things, but when I'm done, I'd be happy to send it to you. For now, I'd suggest you do a quick vba implementation and make yourself some surface charts.
 
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CrashedMint
Posts: 2591
Joined: January 25th, 2008, 9:12 pm

Structured products and their vol and skew sensitivies

February 7th, 2008, 6:23 pm

This should be quite useful.
 
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michaelzx
Posts: 15
Joined: June 8th, 2007, 4:13 pm

Structured products and their vol and skew sensitivies

February 12th, 2008, 12:29 pm

this is great! where can i find ur paper?
 
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niki5
Posts: 52
Joined: January 25th, 2007, 8:10 am

Structured products and their vol and skew sensitivies

February 12th, 2008, 2:05 pm

Are that German structured products? I have never seen before papers like that discussing certificates in such great detail. Can you send me a copy at niki_teta@yahoo.de .Thanks in advance
 
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fubaro
Posts: 6
Joined: July 14th, 2002, 3:00 am

Structured products and their vol and skew sensitivies

February 12th, 2008, 3:08 pm

hey cool, could I have a copy of your paper too? thx fartleberried@yahoo.com
 
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gnblue
Posts: 8
Joined: October 24th, 2005, 9:03 am

Structured products and their vol and skew sensitivies

February 13th, 2008, 9:40 am

Sounds interesting, could I have a copy too. Thanks girishnarula@yahoo.com
 
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BramJ
Posts: 372
Joined: January 10th, 2006, 2:01 pm

Structured products and their vol and skew sensitivies

February 13th, 2008, 1:23 pm

I would be interested in this paper as well. tx a lot! bramjochems@hotmail.com
 
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miltenpoint
Posts: 215
Joined: February 23rd, 2006, 1:40 pm

Structured products and their vol and skew sensitivies

February 14th, 2008, 4:18 pm

 
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suber24
Posts: 5
Joined: May 23rd, 2006, 11:45 pm

Structured products and their vol and skew sensitivies

February 18th, 2008, 1:49 pm

Could I get a copy too please - suber24@hotmail.comThanks alot.
 
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souaf
Posts: 25
Joined: January 7th, 2003, 4:37 pm

Structured products and their vol and skew sensitivies

February 18th, 2008, 8:05 pm

I would be interested in a copy please - saad.ho@gmail.comThx
 
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Cuchulainn
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Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
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Structured products and their vol and skew sensitivies

February 18th, 2008, 8:20 pm

would it not be an idea to post your article here for the benefit of the Wilmotters?!
 
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jgrats
Posts: 1
Joined: June 9th, 2002, 11:47 pm

Structured products and their vol and skew sensitivies

February 18th, 2008, 10:44 pm

It's a cool! Could I get a copy please gyun.jun@samsung.com
 
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CrashedMint
Posts: 2591
Joined: January 25th, 2008, 9:12 pm

Structured products and their vol and skew sensitivies

February 19th, 2008, 7:03 pm

Hey guys, thanks for your interest.I'm currently really busy but I plan to finish the paper in the following weeks and once it's done, I'd be happy to post it here. It's like 4/5 complete, but I really wanna go through some of the calculations again, before I wanna show it to the public. So, give me some time :-)
 
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thewallstreet
Posts: 7
Joined: January 28th, 2008, 11:47 am

Structured products and their vol and skew sensitivies

February 20th, 2008, 2:58 pm

This paper sounds really interesting. It would be great, if you will post it hereTHX
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