SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
OPTION88
Topic Author
Posts: 19
Joined: April 7th, 2008, 3:38 am

market making and risk management

July 26th, 2010, 12:13 am

hi bro,As a maket maker, you will keep quoting bid and ask price in the market.But if your bid or you ask price was hitten by the market, what and how would you do to keep the spread or profit that you made?maybe we can squre the position with certain spread immediately....and???because the implied vol and the curve will change time by time....it is quite hard to keep the money you earned.
 
User avatar
Vegawizard
Posts: 157
Joined: November 27th, 2006, 10:46 am

market making and risk management

July 26th, 2010, 10:49 am

Be very wary about thinking of unrealised profits as "earned" - to find out what you really earned, close the position and realise the profit !
 
User avatar
Anthis
Posts: 4313
Joined: October 22nd, 2001, 10:06 am

market making and risk management

July 27th, 2010, 7:33 am

Tight inventory control, that is, quote as such in order to ensure high volume, quick turnover of inventory, and its minimum deviation from zero, on either side of the market. Depending on the underlying adverse selection is your No1 problem you have to cope. Manage your risks across multiple strikes and maturities, plus the underlying.As vegawizzard, put it, paper profits dont pay the bills, only realized-accrued profits can.
 
User avatar
frattyquant
Posts: 362
Joined: March 4th, 2010, 8:10 am

market making and risk management

July 30th, 2010, 9:25 am

Read this book
 
User avatar
QuantOption
Posts: 269
Joined: February 8th, 2003, 9:00 pm

market making and risk management

July 19th, 2014, 5:09 pm

QuoteOriginally posted by: frattyquantRead this bookis there a more recent book on this topic you'd suggest? thanks
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On