Valer Zetocha – 16/01/23

Jan 24, 2023

38:34

Highlights

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Episode notes

The Risk of Mispricing of Mini Futures

Introduction

5min

Is There Any Similarity With Total Return Swaps?

2min

What Is the Standard Model for the Pricing of Mini Futures?

3min

Mini Futures

4min

The Risk of Mispricing of Mini Futures

4min

How to Write a Valuation Equation for the App Risk

3min

The Fredholm-Interrogate Equation Is a Full Spot Ladder of Prices

2min

The Importance of Stability of the Volatility Surface

3min

Is There a Liquid Volatility Problem for Large Caps?

2min

10.

How to Measure the Liquidity of the Underlying From a Volume Perspective?

2min

11.

How to Extrapolate in Maturities Using a Time Translation Tool

2min

12.

Is This a Risk Management Tool?

3min

13.

Is Your Future a Research Project?

3min

Julius Baer equity quant revels in solving problems for the trading desk.

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