Not known Details About pnl

Not known Details About pnl

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I discovered a serious error in a paper written by my professor's past student. To whom really should I report my findings?

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I'm considering figuring out the PnL between $t_0$ and $t_2$ of currently being prolonged one unit of risky asset. On the other hand I've two contradictory reasonings:

Nivel Egres: Within the perspective of gamma pnl, the only thing that matters would be the transform in your asset selling price. Frequency is irrelevant - you can rebalance at distinctive time durations or when delta exceeds a threshold or a number of other points - it remains an approximation of steady integral and also your envisioned P&L can be the identical.

Trader A has created some significant PnL, meanwhile Trader B arrives out with nothing in any way and his skipped out on volatility throughout the buying and selling working day which he could've profited off of had he been continually hedging in place of just when a day.

Which means if $sigma$ modifications as the underlying changes you could potentially account for that 2nd-order outcome with added sensitivities (vanna specifically), but Those people outcomes are usually A lot smaller and can be insignificant dependant upon your objective.

If there is autocorrelation inside the intraday return approach that you decide on to hedge at (that may consequently have an impact on day-to-day annualised volatility), then your P/L is more info undoubtedly afflicted by your selection of hedging interval.

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The implied volatility surface and the option Greeks - to what extent is the information contained in their each day actions the same? 4

I really should likely point out that I didn't say which process is suitable. Just desired to give The rationale why These are unique.

Para que funcione nuestra programación debemos definir un objetivo positivo. Nuestro objetivo no puede comenzar con “No quiero que…”. Se trata de resaltar qué quieres lograr, no aquello que deseas evitar.

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$begingroup$ I have a time series of $pnl of a technique and nothing at all else. Am i able to use it to come up with some type of a efficiency evaluate adjusted for chance? Is $$ frac typical($pnl) sigma($pnl) $$ Okay to implement right here? Are there means of improving it? Could it be exact as sharpe ratio?