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Try this old Goldies paper for a reasonable intro: http://www.ederman.com/new/docs/risk-regimes_of_volatility.pdf Obviously, there's been a lot of work done since then. Another book that I would highly recommend is filthy's 'Volatility Trading'...

It's just a steepener, innit? It has its merits. It works in a few particular scenarios, but doesn't work in a variety of others. Good luck...

I am confused about the claim the author makes in this article. Surely, calling China a 'debtor' and a 'borrower' is rather silly? What about India? When did they last borrow from the IMF?

If you want to pursue this beyond the simple skew effects, you may want to look at various local volatility models, such as the 'sticky' ones of Derman's.

Steepening today, on the back of this, which, I hope, everyone has seen: http://www.bloomberg.com/apps/news?pid=20601087&sid=auBVY_IxvAk4

I don't know anything about any general ET logic... Moreover, I don't see anything with my reasoning. It is a fact that, if rates were to go up, Japan would be unable to deal with the ballooning costs of servicing its debt. Given the politics, CPI will not go up, so that the BoJ doesn't get...

Given the requirements stipulated by the problem, of course it's possible, even not taking into account additional transaction costs. I would be very curious as to why gamma hedging needs to be done with calls, rather than straddles. Good luck with CPPI...

Japan cannot possibly afford inflation, so there will be deflation, by definition. However, I wouldn't go crazy buying JGBs. There's going to be a rude awakening at some point. It's been twenty years in the making. In the past week, especially, there's been a lot of flow expressing the...

Wait a sec... Shouldn't we welcome these developments? I thought tighter regulation bank regulation is welcome, so death of these conduits, which are off-balance sheet, regulatory arb vehicles, would be a good thing?

Yeah, sure, JP's cash position is getting worse... I guess that's why they've been offering term cash aggressively in the unsecured mkt for the last few months. I don't believe it for a second... BLSH, can you please make sure to differentiate in the title of your posts whether it's...

I got out at 0.9131... Could have held on and been a bit more patient, for sure, but my experience is that GBP always overshoots. Moreover, EURCHF looks better risk/reward to me now.

The pre-packaged answer normally given is that GDP is backward looking... A couple of reason this weak GDP could appear positive for stocks: 1) GBP TWI is down by more than 1%; 2) likelihood of a more 'helpful', less hawkish BoE. Moreover, I would think that most of the move in the FTSE is...

Out of EURGBP, switching into EURCHF.

I would certainly agree that the woman should have exercised better judgement. I certainly wouldn't have tried to cite Mao as an example for US high schoolers. All I wanted to say is that appreciation of Marx doesn't necessarily make one a Marxist...

I agree, he's certainly evil... However, does it mean that Maoist political philosophy is necessarily evil? Not sure... There's a few other examples like that. As to Hitler, in my view, both Hitler the man and Hitler's political views, what little substance they had, were evil.

This is getting sorta dumb, I think... Marx is one of MY personal favorite political philosophers. I think his contribution to our understanding of political economy is immense. Does that make me a Marxist? Not necessarily... I don't know (and don't care) whether Dunn is a Maoist. She...

No, you haven't, really... Firstly, while I now understand your point about debt and GDP, I would strongly disagree with it. I think what you're referring to (and correct me if I am wrong) is the velocity of money for wider aggregates. From what I can see, that measure has actually grown...

I am gonna hold on to this one for a while...

With all due respect I disagree with quite a few of your points, Misthos... What do you define as the 'near future'? 10yrs or 100yrs? Where do you see a diminishing GDP? Are you referring to real GDP, maybe, rather than nominal one? Is it world GDP that's diminishing or the US GDP? As...

And here we go. Gordon strikes back: http://www.telegraph.co.uk/finance/economics/6397375/Gordon-Brown-rebuffs-Mervyn-Kings-suggestion-that-banks-need-breaking-up.html