Right, you are beating the S&P or whatever benchmark you set for yourself. But do you know what kinds of risks are you running? Also, what makes...
agree, classical 1:1 it is not vega neutral, but you could ratio it such that both short and long legs would be vega-identical. But as i said, it...
I wounder if it is really possible to figure out a vega neutral but short/long theta strategy. For example, a long calendar could initially be...
yep, it is probably the best starter book out there. it was a bit strange though that he lists Hull as "Advanced Book" :)
Will this work? ___/\____ long iron gut butterfly: +call -call -put +put, (strike1 lower than strike2 lower than strike2 lower than...
A CMU dergree could get you a quant position, same goes for a physics/math phd. If you are planing to trade derivatives, especially more complex...
The rates vol curve has significantly flattened over the past few days, increasing at the long end and decreasing on the short end. On the other...
IR derivatives, mainly IR options. muni derivatives as well as mortgage derivatives are very rich products, lot's of flavor - fun to trade.
Sorry, i should have explained - cap vols are volatilities of interest rate caplets that are quoted in the LIBOR market. You could use it with...
These days the mortage banks usually enter into CMTR or LIBOR CMS swaps to obtain a consistent source of funding. long bond + short cash = repo...
i think i found it, but it is on cap vols.
I have a small spreadsheet I wrote to test it - i will look if i can find it. The great thing about SABR is the stability of vega hedges - some...
"There are stochastic volatility models out there to overcome this problem." I see you've read the SABR paper :)
"it has outlived its usefullness" Nothing will ever replace BS for calculation of implied vols of the market. Similariliy, if you have a good...
Buying/selling securities of different nature from the same issuer, the most natural being straight bond vs. equity (a kind-of degenerate CB...
I am not sure we are talking about the same thing. what is your definition of capital structure arbitrage?
Firstly, prop trading as an alternative to trading for a big institution is ill-defined, there are plenty of prop trading desks at big banks or...
Feel free to ask questions - i am bored these days for reasons too sad to discuss here.
a) Compute what the implied volatility is Ok, implied vol tracks back to the issue of using either local volatility models or stochastic vol...
Best for what kind of options? equity? fx? futures? But in general, the main two impovements are 1. Using a yield curve, not constant rate as an...
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