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Losing Money When There is No Volatilty

2007-01-29 09:40:00 by Jomni in Risk Management Quant
 
...valuation 2) When building a structure, one should know how to hedge it properly Tags: derivatives financial engineering investments valuation volatility structured products options
 
Tags: option prices increase, option, option buyer, option writer, investments valuation volatility, valuation, volatility, decrease option, volatility increases
 
 
 
 
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An Option with a Negative Value?

2006-07-28 08:38:00 by Jomni in Risk Management Quant
 
...valuation . Marking-to-market is getting the close out (unwind) value of the position. And it can result into a loss (negative value). Here's an example, an option writer sells an option for $5. After some time, the value of an option at the same strike and expiration date rises to $6. This could mean that the option is getting more...
 
Tags: option, negative option, option seller, option writer sells, option buyer, option position, negative, position, writer
 
 
 
 
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Making Risk Measures Agree with Accounting 100%

2006-12-26 05:27:00 by Jomni in Risk Management Quant
 
...valuation of your positions to the exact cent but the model on how this value reacts with different types of risk. Contrary to risk measurement, accounting focuses on past performance. People tend to be very meticulous in this field to the point that they want things to be correct to the last cent. This is because in most organizations, even...
 
Tags: risk, risk software, software, risk measurement, values, exact market values, exact, exact cent, cent
 
 
 
 
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An Option with a Negative Implied Volatility?

2006-08-14 06:27:00 by Jomni in Risk Management Quant
 
Previously, we talked about cases when an option will have a negative value . This time, it was asked in Wilmott if there are real-life cases where options have negative implied vols Here's my take on the subject matter Since implied volatilities are derived values, based on observed market parameters and a model or formula, it is indeed...
 
Tags: negative, negative results, market, market parameters, volatility measure, model, subject matter, option, arbitrage opportunity
 
 
 
 
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Brushing up on my math skills...

2006-07-21 04:38:00 by Jomni in Risk Management Quant
 
...valuation methods for plain vanilla derivatives I searched the net for papers. Marketing and research papers published by the big banks are of great help. Sites like DefaultRisk has loads of papers on Risk Management and Derivatives. But reading them is no simple feat as most of them are written by PhDs or PhD students. My lack of academic...
 
Tags: derivatives, topics, plain vanilla derivatives, discuss topics, quantitative finance topics, financial derivatives, quantitative finance, papers, research papers
 
 
 
 
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A Commercial Web Site Defacement Tool

The Article has images
2008-04-01 06:25:00 by HASH0x8b4eee4 in Dancho Danchev's Blog - Mind Streams of Information Security Knowledge
...valuation of the underground economy in general, one thing for sure though - while certain parties are messing up with entry barriers making it damn easy to launch a phishing or a malware attack, others are trying to prove themselves as aspiring entrepreneurs. In the long-term, I'd rather we have defacers deface than consolidate with...
 
Tags: malware, malware attack, approaches, defacers, creative approaches, site, entire defacers community, defacers deface, deface
 
 
 
 
 
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Sergey Zarubin, 31yo
CISSP, CCSP
Moscow, Russia