弱问Stochastic Calc model 在 trading 方面的应用？

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如题。

问过一些faculty和industry的人，感觉stochastic calc 的那些 model 就是在定价中用，trading方面 基本用不上，用其它一些方法就行了，相关书籍也几乎没有。

那岂不是学那些stochastic calc 基本没什么用，定价方面已经有人做好了都。

多谢赐教~

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关键词：Stochastic Stochast Trading rading model industry 书籍

I suppose Stochastic Calculus refers to SDE??

They are heavily used in pricing, especially in numerical methods.

2# oddsmaker


right, but what about application in trading, any kinds of trading

Sorry I'm a bit confused.
I suppose traders needs to price the derivative before they trade?

Would you mind clarifying if it's not what you're looking for?
Thanks.

High frequency trading.

Gotcha.

I believe there is no overlapping between high-freq trading and derivatives.
Like x- and y-axis in maths.

High freq trading, as I understand, refers to trading activities with very short horizon.
The underlying can be securities, derivatives (such as option), whatever.

Consider you are a option market maker.
1) Market making is one kind of high freq trading.
2) You will need models (may or maybe in stochastic calculus) to do valuation.

oddsmaker 发表于 2010-6-20 23:39
Sorry I'm a bit confused.
I suppose traders needs to price the derivative before they trade?

Would you mind clarifying if it's not what you're looking for?
Thanks.

I don't think traders needs to price the derivative before they trade... can you give some example?

even so, they have built in software automatically compute 'their own ' option value , they do not need to do a lot of change.

so i am confused

oddsmaker 发表于 2010-6-21 09:48
Gotcha.

I believe there is no overlapping between high-freq trading and derivatives.
Like x- and y-axis in maths.

High freq trading, as I understand, refers to trading activities with very short horizon.
The underlying can be securities, derivatives (such as option), whatever.

Consider you are a option market maker.
1) Market making is one kind of high freq trading.
2) You will need models (may or maybe in stochastic calculus) to do valuation.

so, if i am a stock market maker , I do not need to do valueation (using stochastic calculus)

what kind of thing , stock or option , most trade in high frequency trading ?

Thank you~

As I understand, equity and futures are the most popular products in high freq trading.
You need stochastic calculus to build models, do model validation, investigate unexpected loss, etc.

oddsmaker 发表于 2010-6-23 18:11
As I understand, equity and futures are the most popular products in high freq trading.
You need stochastic calculus to build models, do model validation, investigate unexpected loss, etc.

I don't think futures are popular in high freq trading since it has high cost per contract.