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The exact opposite of a straddle is a iron condor.. Because it is used when expectations of low volatility.. And it looks bit like box spread with 4 different positions but the difference is all your position should be OTM.. Thank you.. Shakti..

I would think $1 is the transaction costs such that it completely erodes any riskless profit that we try to make.. That's a great example you posted there.. Didn't understand why 48,52,52 and 48 were used for payoff formula . When it should be 45,55,55 and 45.. Why 3$ difference? But the payoff...

Straddle has high volatility .. Since you pay both call and put premium.. It's a costly one which depends on how significant the movement of stock price is.. So positive payoff is difficult.. Thank you for the summary @ShaktiRathore .. Just to add to it there is also box strategy which gives a...

I am not knowledgeable with Part II much but I think Jon Gregory's book on Counterparty Credit Risk and Credit Value Adjustment is mainly used so based on that guess.. I will just link you to a number of spreadsheets from that material...

So happens that bro bought a book Measures, integrals and martingale by Rene Schilling just yesterday .. Coincidence maybe.. Damn I haven't played an actual roulette game.. Saw the video and thought I understood..:(. I will learn and come back and maybe make my bro explain martingale in an easy...

I will direct to one of BT notes in investopedia.. The last para summarises it http://www.investopedia.com/articles/trading/11/understanding-liquidity-risk.asp Hope that's useful..:)

Before I explain, Just want to make it clear that I do not promote betting nor involve myself in it.. I see it as an exercise in understanding probability. And yes, this is not related to FRM.. But I found this of real interest. He explains a method where we can always profit from playing...

I know that 2nd line was referring to me..;) ShaktiRathore has explained really well. Nothing more to add...:)

For more about N(d2) and N(d1) https://forum.bionicturtle.com/threads/interpretation-of-n-d1-and-n-d2.610/ David sir tries to explain it as intuitive as possible.. :) You can also later check the book Options, future and other derivatives by John hull.. The industry standard and basic book on...

Hi, I can answer the 2nd Question now.. Use 9 decimal places for your calculator.. With 9 decimal places you can always find a round off for questions whose choice involves 2 , 3, 4 decimal places... And I doubt if answer choices will depend on your choice of decimal places to use.. 9 is...

I don't have the BT Notes but I will take a guess of how the strategy is likely presented.. Payoff for Bull Call and Bull Put spread are same.. Refer here (ie, http://www.theoptionsguide.com/images/bull-call-spread.gif) (ie, http://www.theoptionsguide.com/images/bull-call-spread.gif) As you...

Ok.. I won't get into Binomial models(risk neutral) or the black scholes.. But We could understand a simpler method for this which involves expiration date of the call/put option (T) , the Current stock price .. S(0) , the risk free rate/discount rate (r) and finally the strike price (K) .. Now...

Hi, I would like to ask if pursuing FRM after finishing professional accountants course like CA/CPA/ACCA give me a extension and a addition. I know both are different scope wise.. And MBAs normally do FRM. CAs are professionally trained in auditing, taxation, financial management and accounting...

Haha.:D. your question sounded general I thought you were meaning explain the whole equation... Very well at least if someone wants to understand the derivation that elaborate post will be useful...

Ok I understood your question ... This is not Variance to the power (-2) ... That minus like symbol is a dash actually.. That's how a mean of variable is symbolized.. This is the correct way as I explained in first post

Its not 1/Var(e(i)) Its summation (1/n*Var(e(i)) ) And yes this is like summation (1/n*(X(i)) ) = Average of Random Variable X(i)

Hi @brian.field , I will put this in table form Short Hedge Strengthening Basis [b(t) - b(0)] Spot price rises more than futures price rises or Spot price falls less than futures price falls or Spot price rises and futures price falls Long Hedge...

Hi, I will explain.. First this deals with Sharpes Single Index Model which is similar to typical regression line equation with R(m) = Returns from market, being an independent variable, dependent variable R(p) = Returns from portfolio. R(p) = alpha(p) + Beta(p) * R(m) + error term(p) We can...

volatility generated by stochastic jumps will diminish the accuracy of long horizon VaR measures unless the VaR measures properly account for the jump features of the data. To explain this you remember for horizon scaling we use square root rule to incorporate 10 days or so VAR but literature...

@David Harper CFA FRM I understood the application of the Merton Model but in your example you used V(0) as 12.75$ .. I haven't read De Servigny's book Measuring and managing Credit Risk but in GARP Material V(0) is 12.511$ ((LN((12.511*EXP(5%-((9.6%)^2)/2))/10))/9.6%) = 2.8064 and...