h*******n
发帖数: 24 | 1 The question:
We long a Euro call with 2 underlying assets.
S1 = spot price of one underlying asset, Stock 1
S2 = spot price of the other underlying asset, Stock 2
1. hedging strategy if the payoff is S1-S2-K (i.e. rainbow option), where K
is the strike price of the call.
2. hedging strategy if the payoff is S1*S2-K.
Thanks soooooooooo much. |
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J*****n
发帖数: 4859 | 2 The hedge fund industry may have turned things around last year, but firms
are still not hiring, according to a new report.
In fact, hedge fund job openings have fallen by a larger percentage than any
other job type in financial services, according to eFinancialCareers.
Postings in the U.S. are down 44% compared to a year ago; by contrast, asset
management firms as a whole had 28% fewer jobs to offer.
“Wall Street’s job market may not support a rush of movement this quarter,
but we expect more p |
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J**********g
发帖数: 213 | 3 Will Obama's proposal be passed? it begins to make difference now....
http://www.bloomberg.com/apps/news?pid=20601087&sid=azicmVwJHC2w&dbk
Litterman Said to Retire From Goldman Sachs Hedge-Fund Unit
By Tom Cahill
Jan. 22 (Bloomberg) -- Robert Litterman, chairman of Goldman Sachs Group Inc
.’s quantitative hedge-fund group, will step down at the end of this month,
a move planned before President Barack Obama’s call yesterday to limit
proprietary trading at banks, according to people familiar with |
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g****l
发帖数: 214 | 4 没人规定hedge fund一定要做空啊。那么多私募基金不就是hedge fund么 |
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h*******7
发帖数: 1481 | 5 几个Million 的小Shop 存活率很低吧？
我们组里有个Discrentionay Trader，挺牛，基本上一个月亏钱的天数不超过5天，太
太在投行Trading Desk 做Sales。我想他为什么不出去自己搞个Hedge Fund呢？有一次
他谈起他自己的钱的投资，有些放在朋友搞的Hedge Fund里头。
said, |
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p******i
发帖数: 1358 | 6 很好的问题
heston model下，option 可以用dynamic trading underlying and ONE other option
来PERFECT hedge
我提个新问题：
同样是incomplete market，
如果是jump-diffusion model，或者是pure jump model，如何，或者有可能perfect
hedge么？ |
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z****u
发帖数: 185 | 7 I see what was confusing in my previous post. Sorry. Here is a detailed
though still sketched argument.
Let us assume the stock follows a Poisson process. So we have two
parameters, frequency and magnitude of the jump ("jump frequency"
and "jump magnitude").
Analyzing the one-step jump process in a way similar to and simpler than
that of the Brownian motion, you can see the option is hedged perfectly,
and the portfolio depends on the jump magnitude.
Going a bit further, you can show the hedging |
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w*****e
发帖数: 197 | 8 Depending on what kind of market you are in
and what kind of hedge you want to do.
For theoretical part, refer to Mark Joshi's
mathematical finance book.
For practical part, refer to Taleb's famous
dynamic hedging book.
It is an open ended question. But if you are really
familiar these two books, you should know more than
the interviewer. :) |
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m**********4
发帖数: 774 | 9 今天刚面的，一个知名的hedge fund，第一轮。面的人是个TRADER， MATH PHD，他说
他不懂编城，所以基本全是概率+BRAIN TEASER。
题目记不清楚了（汗）。 扔筛子，三次机会，什么策略。然后是那个翻红黑牌的问题
（崩溃了）。 接着让我推RANDOM WALK回原点的概率和EXPECTED STEPS，我用的是MGF。
BRAIN TEASER： ２５只马，选TOP ３， ５个赛道。
一个DATASTRUCTURE， QUEUE 实现 STACK。
面完他跟我说很满意，要好好准备下一轮。他说下一轮是他们的PROGRAMMER 面试，全
是编程题。请问，HEDGE FUND的programing question 能有多难啊？我data structure 和algorithm 准备过，不过C++几乎不会。请问是以data structure为主还
是coding, debuging之类的啊？
thanks! |
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m********0
发帖数: 2717 | 10 vega for sure. Because straight purchase call/put is nothing about
any hedging.
You are expecting to gain from directional underlying move.
Besides, you will know the IV changes very little for LEAP due to
its liquidity. Besides, IV is kinda periodical, less risk until expiring.
and easier to hedge too.
depends
volitility." |
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l*********t
发帖数: 89 | 11 I think you maybe misunderstand my point :)
I mean, if IV changes much, it seems more necessary to hedge. But if it
changes little, the hedge does not seem quite necessary.. |
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k*****a
发帖数: 7389 | 12 my cousin just graduated from undergrad last dec, and landed in a hedge fund
in nyc, base is 150k.
his cousin with an ivy phd degree got an offer from another hedge fund 2
weeks ago, the base is 60k |
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k*****a
发帖数: 7389 | 13 my cousin just graduated from undergrad last dec, and landed in a hedge fund
in nyc, base is 150k.
his cousin with an ivy phd degree got an offer from another hedge fund 2
weeks ago, the base is 60k |
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k*******d
发帖数: 1340 | 14 自己看书突然想到这个问题，CDS要是遇到default event,protection seller得赔惨了
，有没有像类似于delta hedging这样的方法来hedge risk? |
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s**********o
发帖数: 7 | 15 什么地方有paper啊什么的资料可供参考呢？想了解下hedge fund的quant策略大概是什
么样的。
btw,hedge fund有哪些在中国有招quant的？ |
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s**********o
发帖数: 7 | 16 我了解好像hedge fund的quant的工作与IB的derivative pricing的quant是不一样的
想做hedge fund的quant，需要些哪些方面的知识呢？顺便有推荐的书么？ |
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t*******8
发帖数: 67 | 17 Hi, all,
If you are interested, please send me resume in word format to
t**[email protected]..
Tom Gan, PhD
Options Group
http://www.linkedin.com/pub/tom-gan/3/64b/93a
this hedge fund is a multi-strategy event-driven hedge fund, founded in
1999, which currently manages around US$ 9 billion and has offices in
New York and London. They have around 100 people.
Junior Quant/NY - They are looking for a junior quant for their NY
office to help them build, test & support models that develop trading... 阅读全帖 |
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a*******7
发帖数: 16 | 18 下周有个hedge fund 的tresury analyst 的面试, 请在行内干的人, 分享一下经验,
不是矿工. 如果你能给个联系方式, 谢谢, 希望了解一下工作性质.
工作内容manages firm and fund liquidity through the monitoring, movement,
margining, borrowing, investing and reporting of capital, cash and margin.
In this role, you will be instrumental in ensuring that cash is always
secure and available at the right place and time, interacting extensively
with outside banks, brokers, trading counterparties, lawyers, and advisers
to do so.
本人现在在一个top的IT 公司treasury负责FX trading... 阅读全帖 |
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o********n
发帖数: 100 | 19 sorry if sounds naive. I'm just a beginner.
和朋友谈起，每年大盘也有平均10%左右的涨幅， 而市面上较优秀的hedge fund的也就
30%的回报率，如果考虑到25%的margin， 其实很容易达到啊？买大盘再用上杠杆就行
了。为什么还需要做复杂的交易模型？
当然，sharp ratio不一样。但是感觉很多时候return rate也仍然比sharp俄 ratio看
得更重要，而且很多hedge fund年景好的时候得sharpe ratio高，遇到小概率事件，一
样风控模型不管用。
请问各位的见解？ |
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f****i
发帖数: 201 | 20 this is a joke, dont even bother
hedge fund is so broadly defined, i think ud better find ur specific
interest other than "my interest is in hf"
i.e. i love trading mortgage
trading at fannie mae, im working for gse
trading at bank of america, im working for commercial bank
trading at pimco, im working for mutual fund/hedge fund
trading at green street advisors, im working for reit |
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h****8
发帖数: 72 | 21 By Patrick Cole
Nov. 1 (Bloomberg) -- As a devout numbers geek, Glen
Whitney was bothered that the cultural landscape offered no
museum celebrating the field of mathematics.
So he left his job as an algorithms specialist and manager
at Renaissance Technologies LLC, a quantitative hedge fund
started by Jim Simons, and created the nonprofit Museum of
Mathematics.
This year, he found a 19,000-square-foot space on East 26th
Street in Manhattan and plans to open the doors in 2012.
... 阅读全帖 |
|
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o******l
发帖数: 35 | 23 As a matter of fact, many don't survive, esp. mid to small size ones. Think
of hedge funds as option values for its managers, the higher the volatility,
the higher the option value, even though the mean can be zero or negative.
Since hft is typically not capital constrained, it makes almost NO sense to
have a hedge fund that mainly focuses on hft. |
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x***i
发帖数: 106 | 24 因为hedging时，同时long了该Asset。所以如果价格上涨，Call被执行，但是long的
asset攒的profit可以把亏掉的钱hedge回来。 |
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x***i
发帖数: 106 | 25 谢谢cavaliere的回答。
但是如果一开始我花了$50去买一个Call，到了expiry的时候，如果这个asset没有达到
Strike price，那么这个Call也就没有价值了。而在这个过程中，我损失了我的所有资
本（买CALL的钱）。
而当接近expiry的时候，如果这个Call依然out of the money，所以delta趋近于0，所
以我不会去short asset。所以看起来 delta hedge好像不管用了。
我的疑问是，究竟是delta hedge的哪个假设出了问题呢？
even
though
, |
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x***i
发帖数: 106 | 26 I see. 可是delta hedge也不一定是用write call的钱去买1/2股吧？其实网上不少
delta hedge的例子，买卖股票的钱比买卖option的大多了。
这里要建立一个投资组合，并非一定要值为0的组合。
唯一的要求是delta的合值为0。 |
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h*****i
发帖数: 1017 | 27 我有个问题也不太懂。
delta hedging能保证你不亏钱，但也不保证你赚钱。这不亏不赚的position take干吗
呢？如果dynamic hedging ideally implemented, 赚的钱也就是和存在银行一样的，
那为什么我不直接存到银行里呢？ |
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r**a
发帖数: 536 | 28 即使假设你能够continuous hedging，delta hedging里面也不是那么简单得。比如
delta如何算。你用什么volatility？implied or realized? |
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b******k
发帖数: 58 | 29 最近一家Hedge Fund发过来一些题目，请大家看看该如何解答：
1.A large class of students takes part in two different exams, Exam A and
Exam B. It is known that the grades of the entire class for the two exams
range from 1 to 100 and have the same distribution. The students that ranked
in the top 25% on the first exam are selected, and this group's average
grades on the two exams are computed, GrA and GrB, respectively.
Which one should be greater: GrA or GrB ?
2.How to verify that gold is often referred as a hedge against... 阅读全帖 |
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k****z
发帖数: 550 | 30 你也说到了，本质上的方法都是gamma hedge。
问题是要分析你的市场的Gamma来源是什么，是模型，是供求曲线，还是别的来源。至
于怎么hedge的方法有时候是需要想象力的。 |
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t****z
发帖数: 55 | 31 看到板上最近有人拿到hedge fund的offer
自己也有一个200－300m，5年左右的fund的offer
因为好像hedge fund的failure rate很高，不知道去了以后前途怎么样啊，如果公司最
后不行了在跳去别的fund或者工作容易吗 |
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G*****3
发帖数: 71 | 32 These guys are all small manual and floor traders. They typical make
anywhere between 1 to 10 million a year. With hedge fund, obviously the
sharpe is a lot lower, but with way bigger capacity. Prop group and hedge
fund are completely different business model. It doesnt even make sense to
compare them... |
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M****n
发帖数: 84 | 33 听说国内现在有很多hedge fund 叫rmb fund，请问这些hedge fund算不算合法机构？
一般都是什么样子的组织形式呢？以前记得好像共产党很喜欢修理非法融资，不知道现
在形式如何？ |
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Y******u
发帖数: 1912 | 34 if u don't bet on direction or pick stock, what are u hedging for? pay round
trip transaction fee to get neutral? I think what you said it is arbitrage
(套利) not hedge (对冲) |
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n****3
发帖数: 6 | 35 Greenwich/Stamford差不多集中了美国最好的一些hedge funds，也让Greenwich成为美
国最富有的地区。像SAC, Tudor, AQR, Viking Global Advisor等一些老牌的hedge
funds, bridgewater在westport现在要把headquater放在Stamford, Stamford政府给了
他们很好的deal。还有像Ellington, Lone Pine，worldquant, QFS等中等规模的基金
。 不过Greenwich的那些fund很多都是global macro。 |
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S*********g
发帖数: 5298 | 36 No he/she will not lose. The idea is to bet more on the stronger player's
game point and net perfectly hedged otherwise. If he does not have enough
capital, he will just end with a perfectly hedged position before he runs
out capital
the
discussions.
★ 发自iPhone App: ChineseWeb 7.8 |
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b********8
发帖数: 40 | 37 Multi-strategy hedge fund seeks quant analyst/quant developer for its
successful quantitative trading group. The ideal candidate should have 0-3
years of working experience in a quantitative trading group from a
reputable hedge fund/proprietary trading firm, or a proprietary trading
group in the bank; PhD in computer science, mathematics, physics, statistics
or engineering from a top school; very strong quantitative background and
programming skills in C++/Java, Python or MATLAB; experience han... 阅读全帖 |
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x********5
发帖数: 287 | 38 有两个选择：
1. Hedge fund quantitative analyst, a small hedge fund (AUM 6B) at Chicago,
base $100,000 + discretionary bonus;
2. Wells Fargo Securities 2014 quantitative associate program, San Francisco
, base $130,000 + unknown bonus.
求教：哪个前景更好？谢谢！ |
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s*u
发帖数: 73 | 39 兄弟们 看到一个trade，是利率floor，一个前台的人说是某公司买了这个floor to
make a hedge to rates rise?是我学反了吗，买floor不是hedge against rates fall
吗？ |
|
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a******5
发帖数: 199 | 41 问一个比较小白的问题，从buy side的角度考虑，无论是投资equity还是bond，asset
value每天都在变，如何才能最有效的hedge currency risk? 难道global macro fund
每天都rebalance hedge position?
还请大牛指教 |
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q*******k
发帖数: 5 | 42 Thanks for your interest. We require working experiences in mutual fund,
hedge fund, investment bank, or related commercial bank industries, or
vendors providing software for hedge fund.
: openning, requires 5+ years programming experiences in pricing, valuation
,
: security master, risk management or back office operations area, good
: English communication skills. Experts in application design, development
in
: areas of C#, Web Service, WCF SOA, SQL, etc. The total comp. (base +
bonus
)
: cou... 阅读全帖 |
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m********8
发帖数: 11 | 43 我的研究已经有了突破，用量化投资方法，近20年的backtest可以达到IR 近 3. 我的
方法是在一个Hedge Fund 工作多年的基础上，用自己的想法取得的突破。但是由于公
司内部结构的问题，
和我本人不是专职做研究的， 如果贡献给公司，可能什么都得不到。
我想自己开一个Hedge Fund。 由于量化和diversification的方法，起始资金要求较大
，而且要承担数据， 后台等等方面的固定费用， 感觉很不容易。 我自己没有多少钱
，而且老婆头发长，见识短，不支持。
我在想和一些成功人士合作，希望他们能解决起始资金和一些运营的问题。但是我应该
给出多少股份合适呢？怎样才能找到合适的人选？
这个版上藏龙卧虎，请指点一下解决这些实际问题的路子，谈谈这方面的经验。 多谢
！ |
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k*******d
发帖数: 1340 | 44 高频的话我觉得start up不好做，因为对技术投入要求非常高，不容易和有积累的大公
司竞争。到底是hedge fund还是prop trading? 高频的公司很多都是prop，而不是
hedge fund. |
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g********k
发帖数: 15 | 45 我有个朋友,他自己写一个program(是alpha system,不是 momentum).
来预期一个公司的股票,报完earning后的那天,会涨还是会跌.
过去一年record成功率70~80%.
比较重要的是,他认为这个模式可以维持,技巧也越来越纯熟了.
现在他想开始找一些投资者,像hedge funds.
你们觉得他目前条件有ready了吗? 那该如何寻找投资者或hedge funds?
还是需要更多track record或其他条件?
track record放在 stocktwits.com,这个可信度够高吗?
(earnings annoucnement之前会先纪录在stocktwits,buy or short股票,
这个网站的纪录无法删除或修改.)
这是这一年的成绩,都放在stocktwits.com
2013 11月~11月中 对13家,错4 家,平均每家 +3.7%,乘17家,因此总供63%获利.
2014 1月中~2月中 对38家,错10家,平均每家 +4.7%,总供225%获利.
2014的中间两个earning季节,程式修正中,没有作交易.
2014 1... 阅读全帖 |
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g********k
发帖数: 15 | 46 有real money trading record,但金额不高.
以前70%对的时候,一个跳槽到中型hedge fund工作的前同事,对他的系统很有兴趣.
后来那个公司开价10M要买他这个系统,但他同事透露,可能会到15M.
那hedge fund要他在那家公司工作一年,会另外付他薪水,
但要他保证这个系统第一年一定要赚钱.
那时他没有答应.
现在准确率又比之前高一点了,他自己认为可能没办法更高了,但这是可以维持的. |
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l**********4
发帖数: 187 | 47 只有一个strategy
或许可以去hedge fund当一个trader
但是几乎不可能成立一个hedge fund
如果你成功率真这么高
自己trade就可以了
有什么必要和别的投资者分享你的alpha？ |
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l**********4
发帖数: 187 | 48 so what? There are still enough trades to make the Sharpe ratio a meaningful
indicator of the strategy. Event-driven != Sharpe ratio is meaningless.
The real problem for him/her is that it is just a strategy, and it is a
strategy that is hard to scale up. You need more than that to start a hedge
fund.
But if it is as good as claimed, why the hell you want to start a hedge fund
? Just do it yourself, or start a prop shop to lever up. You need nobody. |
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M*******r
发帖数: 165 | 49 尤其是hedge fund交易的都是流动性很差的产品的时候，拿投来的钱还原来的本家，貌
似可以省很多交易费用。
看到一些hedge fund的报告，某月进出的款项跟市场vol有一比了 |
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x**8
发帖数: 1939 | 50 我试图理解一下，大侠看看对不对，
callable bond 有 negative convexity,
put option 可以 hedge call option, 所以puttable bond 即可以hedge negative
convexity,
是这样么？
才反应过来，当时就蒙菜了，唉 |
|
