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| Option Pricing Under Stochastic Volatility with Incomplete Information: Wilmott Magazine Article |
| Mondher Bellalah & Sana Mahfoudh Besbes |
2009 Views |
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Options are analyzed and valued in the context of Merton's (1987) "Simple Model of Capital Market Equilibrium with Incomplete Information". We show now the derivation of the partial differential equation for options in the presence of shadow qcosts of incomplete information and stochastic volatility. We illustrate our approach by specific applications and show the dependancy of the option price on information and stochastic volatility. Then, we introduce information costs in a general diffusion model for asset prices which allows the description of stochastic volatility in an incomplete market. As in Norbert, Platen and Schweizer (1992), we show that the investor's choice of the minimal equivalent martingale measure is not changing, but the process of the price of the asset depends on incomplete information.
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| High Frequency Traders and High Frequency Trade Researchers - NJF481 |
High Frequency Traders and High Frequency Trade Researchers
I am currently working with 6 different firms that I feel offer the best deal for high frequency traders on account of their high speed infastructure, technical expertise and best in the market package. The firms are based in New York, London, Singapore and Hong Kong. They are prop groups and have specialised in high frequency trading. Two of these firms are looking to help set up franchise operations for people, either indviduals or preformed groups who have been trading high frequency strategies, if they think that they can replicate their success and port their alpha if given the right support. The firms will fund strategies, provide infastructure, colos and resources and you will have control over your intellectual property and the direction of your research / operation. The other firms will hire quant traders as employees who will earn a high basic salary - upto $3m guarantee and predefined PL% on a sliding scale to the realised sharpe of the strategies. We are also looking for high frequency researchers who have been part of a profitable (collegial) team but who are looking to move into an environment where they do not need to split the bonus pot. In addition we are looking for programmers who have very strong C++ coding skills who can help with coding of strategies to make them efficiant, (such people will be C++/Unix gurus and will have experience working in a high frequency environment). Finally we are interested in can high frequency researchers who have experience researching strategies for other people and who are now interested in running their own high frequency book, with some guidance if required.
We are only interested in people with experience from a high frequency background but we are particularly interested in quants/researchers who are in a team supporting a senior trader, who know the strategies but who do not get remunerated fairly. For high frequency traders we are interested in people who are happy with their current job but who could make more money if they joined a firm with a better infrastructure, faster pipes and greater access to different colo'd exchanges (etc..). In addition we are interested in people who want to work in a collegial environment so that they can bounce ideas of each other but also earn a P&L on their strategies. Finally, we are interested in high frequency traders who are interested in moving to a tax haven to trade their models and thereby avoid paying out a massive share of their bonus to the government.
We are looking for people with relevant industry experience from a prop desk or high frequency trading firm either cash, futures, etf or option - automated desk.
If you are interested in talking, please email or call on the number below.
James Kennedy
Consultant
Quantitative Practice
NJF Search International Ltd
4th Floor, 1 Bedford Street, London, WC2E 9HG
+44 (0)20 7604 4444 Switchboard – London
J.kennedy@njfsearch.com |
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