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market making and risk management
Posted: July 26th, 2010, 12:13 am
by OPTION88
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.
market making and risk management
Posted: July 26th, 2010, 10:49 am
by Vegawizard
Be very wary about thinking of unrealised profits as "earned" - to find out what you really earned, close the position and realise the profit !
market making and risk management
Posted: July 27th, 2010, 7:33 am
by Anthis
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.
market making and risk management
Posted: July 30th, 2010, 9:25 am
by frattyquant
Read this book
market making and risk management
Posted: July 19th, 2014, 5:09 pm
by QuantOption
QuoteOriginally posted by: frattyquantRead this bookis there a more recent book on this topic you'd suggest? thanks