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An Option with a Negative Implied Volatility?

2006-08-14 06:27:00 by Jomni in Risk Management Quant
 
...volatility measure should only be positive and it does not make sense if negative. I think negative implied vols are a result of either a misspecification in the model, or mispricing by the market (an arbitrage opportunity, as mutley pointed out Tags: finance derivatives options valuation volatility
 
Tags: negative, negative results, market, market parameters, volatility measure, model, subject matter, option, arbitrage opportunity
 
 
 
 
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Losing Money When There is No Volatilty

2007-01-29 09:40:00 by Jomni in Risk Management Quant
 
...volatility. But it is also possible to lose (a lot of) money in the absence of volatility as well. This case was illustrated in a recent article published by Financial Engineering News . It was reported that Credit Suisse recently lost $120 million in Korean Derivatives -- particularly reverse convertible bonds A conventional convertible...
 
Tags: option prices increase, option, option buyer, option writer, investments valuation volatility, valuation, volatility, decrease option, volatility increases
 
 
 
 
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Bankers: Welcome to Our World

The Article has images
2008-05-24 01:32:00 by Richard Bejtlich in TaoSecurity
...volatility send VAR spiking upwards, which triggers moves to sell, creating further volatility The second problem is that VAR captures how bad things can get 99% of the time, but the real trouble is caused by the outlying 1%, the long tail of risk. Risk management is about the stuff you don't know that you don't know, says Till Guldimann,...
 
Tags: risk management, improve risk management, risk, risk chief, risk system, risk managers lies, market risk, risk-management toolkit, credit risk
 
 
 
 
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NoVA Sec Meeting Memory Analysis Notes

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2008-06-08 04:41:00 by Richard Bejtlich in TaoSecurity
...Volatility Framework for memory analysis. Aaron also mentioned FATkit and VADtools In addition to Aaron speaking, we were very surprised to see George M. Garner, Jr., author of Forensic Acquisition Utilities and KnTTools with KnTList . George noted that he wrote FAU at the first SANSFIRE, in 2001 in DC (which I attended too) after hearing...
 
Tags: george noted, george, disk drive, drive, hard drive, george cited statistics, analysis, memory analysis, george sets
 
 
 
 
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Live from the 20th Annual FIRST Conference

2008-06-26 08:53:00 by Russ McRee in HolisticInfoSec.org
 
...Volatility Framework - Volatile memory artifact extraction utility framework Thanks to Richard Bejtlich for pointing out F-Response and Volatility and Steve Mancini for BitBlaze and Maltego On another front, in support of Eva Chen's (Trend Micro) recent claim that the anti-virus industry sucks , John Stewart of Cisco, in his keynote this...
 
Tags: steve mancini, volatility, volatility framework, anti-virus industry sucks, total unknown, maltego, par osterberg medina, vendor agnostic solution, total
 
 
 
 
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Quantitative Analysis = "Highly" Technical Analysis (?)

2007-02-07 09:34:00 by Jomni in Risk Management Quant
 
...Volatility: 20 Extreme Events: 10 Momentum / Reversal: 31 Trends: 28% Modeling Methodologies Used Shrinkage / Averaging: 9 Regime Shifting: 4 Nonlinear: 7 Contegration : 7 Cash Flow: 17 Behavioral: 16 Momentum / Reversal: 28 Regression: 36% As seen in the survey results, trends, momentum, and reversal models are quite popular in quantitative...
 
Tags: technical, technical analysis, quantitative analysis, quantitative, technical indicators, indicators, survey results, results, reversal models
 
 
 
 
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Smart Cards and Risk

2007-10-29 00:00:00 by Sean Kline in Speaking of Security, the RSA Blog and Podcast
 
...volatility), one expects a greater return. This has relevance in information-centric security as well
 
Tags: risk, neutral term, finance perspective, negative connotation, volatility, damage, relationship, emc, focus
 
 
 
 
 
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Sergey Zarubin, 31yo
CISSP, CCSP
Moscow, Russia