Quantitative Finance Weekly Newsletter - Thursday, September 22, 2016

Quantitative Finance newsletter

Top new questions this week: How much can be said about the Greeks without picking a model? Let $C(S, K, \sigma, r, T)$ be the price of a call option. How much can be said about the Greeks without picking a model? Or at least without full Black-Scholes? Below, I write down everything I know ... options greeks reference-request   asked by user357269 5 votes answered by LocalVolatility 7 votes Least Square Monte Carlo - american Call Option An American Call Option on an non dividend paying stock has the same value as a european one. I tired to compare the results given by the LSM with the results given by the B&S formular. It seems ... monte-carlo american-options   asked by FinanceStudent 4 votes answered by Quantuple 4 votes Still confused : risk neutral measure/world I know that this is probably the most asked question in finance but I still can't get my head around how everything belongs together (risk neutral measure, risk neutral word,real word, arbitrage). ... option-pricing risk-neutral-measure   asked by FinanceStudent 4 votes answered by Student T 1 vote List of risk-averse utility functions In the context of optimal portfolio allocation, I am looking for a (possibly exhaustive) list of risk-averse utility functions verifying part of the so-called Inada conditions. Essentially, I am ... risk modern-portfolio-theory utility-theory   asked by lurker 3 votes Mathematical underpinnings of the square root of time rule Often when I am reading about options pricing (and/or options greeks) the square root of time continually comes up. What the mathematical justification for why this keeps on turning up? options option-pricing greeks vega theta   asked by Jurassic 3 votes answered by Alex C 6 votes Why is the overnight index swaps considered risk-free? What I have understood is that the overnight index swap is bootstrapped to discount rates/zero rates that in their turn are considered risk free. The reason being, that the reference rate of such swap ... swaps credit-risk overnight-index   asked by The Berg 3 votes answered by dm63 3 votes How to get swap reporting data from repositories ICE and CME? Bloomberg and DTCC both release swap reporting data in form of downloadable files which can be analyzed later on. I have been looking for the same on ICE and CME sites, but couldn't find. How can I ... data swaps   asked by ashwinids 3 votes Greatest hits from previous weeks: How to identify technical analysis chart patterns algorithmically? I'm working on a small application that will provide some charts and graphs to be used for technical analysis. I'm new to TA but I'm wondering if there is a way to algorithmically identify the ... algorithm technicals indicator   asked by miggety 21 votes answered by Tal Fishman 22 votes How to numerically obtain delta? The delta in option pricing, also called the hedge ratio, is expressed as the sensitivity of the option price to the underlying price change. The analytical solution for the most common option ... option-pricing greeks numerical-methods delta-hedging   asked by JohnAndrews 7 votes answered by vonjd 10 votes Can you answer these? using VIX to approximate BS IV for short term S&P ATM calls what kind of adjustments are needed to VIX series so that it could be used to approximate BS IV in calculating near-term (EDIT: weeklys) SPY at-the-money call premiums/deltas? thanks a lot. black-scholes vix   asked by Dinesh 1 vote Swaption Trading In most Banks, the Traders are provided with ATM Implied vols across different Swaption Expiry's and different Underlying Swap Maturities.(The ATM Implied Vol Cube) If the trader wants to trade an ... volatility implied-volatility swaps interest-rate-swap swaption   asked by Deb 1 vote Perpetual American option price under pure random walk Usually, American options can only be priced numerically. An important exception is the perpetual option, i.e. an American option with infinite maturity. Most mathematical finance textbooks treat this ... american-options   asked by user56643 1 vote

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