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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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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