What is the relationship amongst default probabilities calculated using the credit ranking and the cost of a CDS? 5
Is there any explanation for why "Mut" is masculine, but "Schwermut" and numerous other compounds are feminine?
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Vega p/l is by definition the p/l resulting from moves in implied volatility. The 2nd Component of the problem you might have answered by yourself. Limited dated selections have far more gamma exposure, lengthy dated solutions have additional vega exposure.
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Para que nuestra mente inconsciente pueda “dibujar” un nuevo mapa tiene que actuar con un objetivo claro que responda a la pregunta ¿qué queremos? Y lo complicado es precisamente eso, que en muchas ocasiones no sabemos lo que queremos. Por lo tanto, no sabemos definir nuestro objetivo.
InnocentRInnocentR 72211 gold badge66 silver badges1818 bronze badges $endgroup$ 1 $begingroup$ When you had been to delta hedge repeatedly and on a costless basis, then your payoff at expiry would match that of the vanilla choice.
Exactly what are efficient numerical techniques for solving coupled Sylvester-like equations? a lot more sizzling inquiries
ExIRExIR 16711 bronze badge $endgroup$ 1 $begingroup$ Many thanks for aiding, but does that mean theta pnl only partially offsets Gamma pnl rather than completely even when implied vol = recognized vol? Since assuming interest prices are zero, there is no other here source of creating cash. $endgroup$
Any time you then arrange the portfolio again by borrowing $S_ t_1 $ at rate $r$ you'll be able to realise a PnL at $t_2$ of
$begingroup$ Why does Gamma Pnl have exposure to realised volatility, but Vega Pnl only has exposure to implied volatility? I'm baffled regarding why gamma pnl is impacted (extra) by IV and why vega pnl isnt impacted (extra) by RV?
Debemos cambiar nuestras estructuras de creencias negativas que nos ponen impedimentos para ir hacia nuestro objetivo.
$begingroup$ I have a time series of $pnl of a technique and absolutely nothing else. Am i able to utilize it to come up with some kind of a general performance measure modified for risk? Is $$ frac common($pnl) sigma($pnl) $$ Alright to utilize below? Are there ways of bettering it? Can it be same as sharpe ratio?