Var.swaps, dispersion & other vol related trading.
- Thread starter Tony Optionaro
- Start date
Yeah I know..
Some of the smartest people post here with such knowledge that can't be printed on a book. If I can pick their brains and/or they can give me interesting points regarding my thesis, it has been very valuable for me and maybe even some other people in my situation.
Well you still haven't specified. Masters or PhD?
First page of this thread.
>> Masters.
>> write about a topic that would possibly help me land a job in market
LOL, you're so living in the 70s with this mindset.
Welcome to the 21st century "The Horrifically Dystopian World of Software Engineering Interviews": https://www.jarednelsen.dev/posts/T...pian-world-of-software-engineering-interviews
Found this on EBSCO's Thesis/Dissertations website:
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Mean-swap Variance, Portfolio Theory and Asset Pricing
Authors:
Wang, Zhan
Year:
2018
Summary:
The primary focus of this dissertation is a new risk measure, Swap Variance (SwV), and its applications to expected utility maximization, portfolio theory, and capital asset pricing models (CAPM) with loss aversion and gain preference. Superior to the classical mean-variance (MV) model, the mean-swap variance (MSwV) efficiency is consistent with expected utility maximization for all concave utility without any restriction on the form of either utility function or return distributions.
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Is this what you had in mind?
Best
How's the fundraising going mate?
@Tony Optionaro
I did my master thesis this year, rough volatility combinded with fractional brownian motion is all the rage now from what I've learned. If you go into Sales just go with something easy. 2nd job in no one cares about your master thesis. I've choosen a topic that I liked and that would elevate my trading skills.
I did my master thesis this year, rough volatility combinded with fractional brownian motion is all the rage now from what I've learned. If you go into Sales just go with something easy. 2nd job in no one cares about your master thesis. I've choosen a topic that I liked and that would elevate my trading skills.
Just because certain things, or life in general, didn't work out for you, doesn't mean others shouldn't give it at least a try.
He'll need some funds to compete with all the thesis/dissertations writers who have opined about variance swaps. For example;
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An optimal approximation for the payoffs of variance swaps in static replication
Authors:
Chen, Qiang
Advisors:
Wang, James L.
Wu, Zhijian
Xiao, Yang
Year:
2014
Document Type:
thesis
Summary:
In this dissertation, we create a portfolio of simple vanilla put and call options as an optimal approximation of nonlinear payoffs by using static replication (1995, 1998) [1, 2] under certain measure which is called E(a,b,N,f). More specifically, we focus on the static replication of variance swaps payoffs because of their popularity in current financial market [3]. The analysis is motivated by the following reasons. Due to the limited availability of strike prices with traded vanilla options, static replication is only an approximation [1]. Bradie and Jain (2008) [4] used Black-Scholes and Heston stochastic volatility model to find the optimal approximation. Liu (2010) [5] created three approximation methods. In order to improve the approximation, we use a new measure for the static replication to construct the replicating portfolio with lower cost compared with the current methods.
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Looks to me like he's already been trumped by the gang from China. In th menime I'll continue to plug along with my simple /ES credit spreads. Not fancy but it works.
Best (and Happy New Year everyone)