Recent content by iHateVariance

  1. iHateVariance

    Hedge Needs - Which Model is Best to use?

    for empirical option pricing check out Bouchaud's "Theory of financial risk". good book and has a chapter on "hedged MC". i think its a gd starting point. i have implemented it, and it works.
  2. iHateVariance

    Hedge Needs - Which Model is Best to use?

    i like two-factor lognormal stoch vol with jumps. "immature market" does it mean there is no bid if SPX craters 100 points? what market are you looking at? i think his trying to make a shipload of money
  3. iHateVariance

    Best instrument/method for speculation?

    i think in-the money calls will give you decent ROE. obv more leverage will cost u in TV decay.
  4. iHateVariance

    Excel - Web interface?

    not big expert on this. but i use ADO to get data then manipulate it at VBA level and dump on spreadsheet. if u google for ADO u get tons of ref to get u started
  5. iHateVariance

    Path-Dependent Monte Carlo

    it probably was a cost efficient solution for a corporate client. right Bob?
  6. iHateVariance

    Where can I get investment bank's quant analysis/model report?

    usually if you are covered by IB then u can ask ur sales rep. even if u trade other asset class with them. GS and JMP are pretty gd. pretty sure if google a bit for Krag Gregory u will find some strat reports.
  7. iHateVariance

    Options with 2 underlyings

    Tsotne, as most of this stuff is not liqd as financeguy said i think it makes sense as a theoretical exersise to focus on the dynamics as implied by ur dependence specification than actually matching some price? it would very important for u to understand how these dynamics will ultimately...
  8. iHateVariance

    Poker Bots Invade Online Gambling

    wonder when DOJ will go after internet gambling company Etrade.
  9. iHateVariance

    Constructing a Zero Coupon bond

    relative pricing and replication pricing is not the same thing. sure you can put a level on the 3y zero from the constructed forward curve, then u still need to figure out how to hedge ur position.
  10. iHateVariance

    Constructing a Zero Coupon bond

    if i understood ur question right you would like to replicate cash flows of the 3y zero with coupon bonds. Ideally you want that tennors of the cash flows match. suppose you have: b1 1y zero b2 2y 6% coupon annual b3 3y 8% coupon annual then holding long 93% of b3 and short 7% of b1 and short...
  11. iHateVariance

    Happy Pi Day Everyone!

    just one more for those that hvnt seen that yet. http://www.ederman.com/new/docs/risk-its_all_greeks_to_me.pdf
  12. iHateVariance

    Happy Pi Day Everyone!

    so is his email.
  13. iHateVariance

    Happy Pi Day Everyone!

    lol i am light years away from kwantdaddy. he is a great quant
  14. iHateVariance

    Happy Pi Day Everyone!

    http://www.linkedin.com/in/kwantdaddy
  15. iHateVariance

    Poker Bots Invade Online Gambling

    i think so as well. if poker sites were concerned then in cash games they make everybody play 100bb deep. but i observed that short stacked tables are very active, and a perfect spot to run a bot with minimal postflop play.
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