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| Pricing Basket Options With Skew |
| Dong Qu |
2102 Views |
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Equity basket options have long been important
tools in structuring financial products. They are widely used in portfolio
management and as retail products as they are typically more
cost-effective than multiple single underlying options. The components in
a basket can be single stocks (names), equity indices or funds.
Historically, managing basket option books has proved to be problematic
and rather difficult for many banks.
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| Storing Arb: Wilmott Magazine Article |
| Hyungsok Ahn, Albina Danilova & Glen Swindle |
3949 Views |
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In natural gas markets,demand exhibits low price elasticity,while supply follows the market price;a phenomenon typically observed in markets for indispensable goods.
A significant portion of gas consumption is due to heating and increasingly power generation, which sets a typical demand pattern:high in winter and summer ('high'seasons) and low in shoulder months ('low'seasons).
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| Advertise your event here |
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| Quantitative Analyst - (Credit Flow & Hybrid Quant) - London - NJF586 |
Quantitative Analyst - (Credit Flow & Hybrid Quant) - London
The Credit Quant Research Team is a front office quant group responsible for derivative pricing models for the global flow and hybrid credit trading and market making business.
There are two positions available.
· The role on in the London team will involve joining an existing group of quantitative analysts and supporting the European trading desks.
· The ideal candidate will be associate to VP level
· The position in the New York will involve heading up a US team to support the credit flow trading business in America. There is currently no one doing this!
· The ideal candidate will be VP to Director Level and capable of building a team.
Desk Responsibilities:
?Develop models for the credit flow and hybrid business.
?Design sophisticated risk metrics to aggregate portfolio positions.
?Participate in the global research effort on flow products.
?Design and implement new pricing, risk management and relative value analysis tools and methodologies, and improve the existing ones.
?Support the relevant desks on issues related to pricing and risk management.
?Deal with ad-hock requests from credit flow traders.
Requirements:
?Masters or PhD Level quantitative education
?Solid quant skills and knowledge of credit models.
?Solid coding and implementation with (C++) and experience working on a shared code base.
?Past exposure to credit markets in a quant team.
?Good interpersonal and communication skills.
For a confidential discussion contact James Kennedy | NJF Search
James.kennedy@njfsearch.com
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| Paul
High-frequency Trading: Where are we and how did we get here?
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| NNT
My Technical Appendix
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deMorgans Law
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| Jan Dash
Free Opera - NY Grand Opera 2010
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"Inside Job": Documentary Investigates the Financial Crisis (video)
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