Writing
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On Daily Volatility: A First Revision confidential 2025-04
Advancements are made in the Daily Volatility model first introduced in . Although further work is required, the underlying assumptions and shortcomings were explicitly identified and the approximation was refined. Bid offer curves are being worked on, and first steps are suggested.
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On Variation Margin: A Scaling Simulation draft confidential 2024-10
A brief overview of the potential advantages of providing a unilateral variation margin line is shown. This piece of work is still a draft and more analysis is required.
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On Realised Spread Volatility confidential 2024-10
A brief introduction to realised spread volatility is presented together with some of the pricing methodologies used by various traders. Possible solutions and improvements are given for the identified shortcomings and difficulties identified.
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On Binary Options 2024-06
We investigate the interesting case of binary options, looking at how defining the rebate in foreign or domestic terms changes the payoff when looking at it from the traditional, domestic point of view. We show how a binary option is not necessarily a step function when this change in perspective is implemented. We then apply this thinking to the case study of european knock-in/out options and see how they can be built and shown to be equivalent. Finally, we show the transformation needed to move between the two binary options.
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On Daily Volatility: A Back-of-the-Envelope Caclulation confidential 2023-11
A back-of-the-envelope model for the estimation of a theoretical mid of daily volatility is presented both mathematically and then coded using Python. The model presents a mid value for an ATM daily volatility but does not go into the construction of a smile for more accurate and realistic pricing. The adjustment with respect to the previous days’ ATM market volatility is suggested for discretionary use.
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On FX Funding Requirements draft confidential 2023-10
The matter of FX funding is analysed, first theoretically and then a solution to the problem is investigated. An analytical solution is first presented for the more general case, this is then followed by a Monte Carlo simulation carried out under specific constraints. The results are then compared to an alternative, purely linear, model to show how as the number of clients increases, the difference between the two becomes larger $\sim \sqrt{x}$. Further work is then proposed at the end to increase the generality of the problem.