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| A Perfect Calibration! Now What?: Wilmott Magazine Article |
| Wim Schoutens, Erwin Simons & Jurgen Tistaert |
2863 Views |
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We show that several advanced equity option models incorporating stochastic volatility can be calibrated very nicely to a realistic option surface. More specifically, we focus on the Heston Stochastic Volatility model (with and without jumps in the stock price process), the Barndorff-Nielsen-Shephard model and Lévy models with stochastic time. All these models are capable of accurately describing the marginal distribution of stock prices or indices and hence lead to almost identical European vanilla option prices. As such, we can hardly discriminate between the different processes on the basis of their smile-conform pricing characteristics. We therefore are tempted applying them to a range of exotics. However, due to the different structure in path-behaviour between these models, the resulting exotics prices can vary significantly. It motivates a further study on how to model the fine stochastic behaviour of assets over time.
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| QUANTITATIVE ASSET & RISK MANAGEMENT 2010 - 8th-9th Feb - Milan - 20% Discount |
QUANTITATIVE ASSET & RISK MANAGEMENT 2010
8th-9th February 2010 - Stelline Palace - Milan
MAN VS MACHINE - PAST VS FUTURE
20% discount for WILMOTT Member, VIP Code: WILMOTT10
Go to http://www.quant.it/community/default_en.asp for free registration to web-site and receive the event program
http://www.quant.it
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| Head of High Frequency Trading – First Class Prop Trading Company – New York or Chicago – Seven Figure Package - NJF437 |
Head of High Frequency Trading – First Class Prop Trading Company – New York or Chicago – Seven Figure Package
I am working on a unique retained search for one of the world’s leading prop trading companies. With offices in NYC, Chicago, London and Hong Kong and desks trading at multiple frequencies my client is genuinely a major international player. Recent internal promotion has created the need for a candidate to replace the outgoing head of high frequency trading – leading the company’s most profitable desk.
My client has been an established player within the high frequency space for some time now. Their bespoke, internally developed systems operate at very low latency levels and they are co-located at many of the world’s premier exchanges. They currently operate within Equity, Futures, FX and Interest Rates and have some of the most profitable traders within each of these asset classes.
They are looking for a candidate with a solid background in trading high frequency strategies who is looking to take on managerial responsibility in addition to continuing to develop and implement strategies where possible. The role come with an extremely attractive package: in addition to managerial level basic salary, my client will offer a very attractive sign-on, a percentage of your personal profit as well as an override on the businesses global profits – this will be a very large total package!
If this role is of interest, please give me a call on +44 207 604 4444 or email me at w.murday@njfsearch.com
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