后三天培训_市商系统设计_Mani_英文版.ppt

Instructor: Mani Rad;Generalities;System Architecture;Distributed Memory Architecture;Data Burst;Latency in periods of data bursts ;Quoter Race Condition;Quoter ? Exchange Traffic;Delta hedging;Queuing algorithms;Quoting Logic;Quoting Logic (joining markets);Quoting Logic (screen view);Quoting Logic (electronic eye);Performance Analysis;Pricing Component: Theoretical Prices;Black-Scholes Discretization;Pricing Component: Theoretical Prices;Pricing Component: Volatility;Pricing Component: Volatility;Pricing Component: Volatility; ;Accuracy versus stability issues Measuring quality of fit What percentage of fits fall between bid/ask Difference between theo and mid as a percentage of bid/ask Deciding when to fit On a timer - On reference volatility surface shift On underlyer moves - On sizeable trades Issues close to expiration reduce number of parameter as you approach expiration Impose constraints on fitting scheme (usually use non-linear optimization techniques) ;Volatility surface;Volatility smile by expiration;Pricing Component: Volatility Surface;Volatility Dynamics;Bid/Ask Spreads (1);Bid/Ask Spreads;Bid/Ask Sizes;Delta Hedging;Delta Hedging (example);Delta Hedging;Delta Rebalancing;Risk Management;Risk Management (risk views);Risk Management;Risk Projection Across Expiration;Operational Risk;Auxiliary Components of System;Auxiliary Components of System