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  1. Long-Short Volatility strategy

    With a dispersion trade where one shorts rich index vol and longs stock vols, there is a short correlation exposure. If i short rich stock vol and long cheap stock vol (say i short Citi ATM call and long GS ATM call in a vega-neutral portfolio), is there a correlation exposure???

  2. Vanna-Volga

    1) Implied volatility based on the Vanna-Volga model : VV-Premium = BS-Premium + W_rr * (Smile-RR-Premium - BS-RR-Premium) + W_bf * (Smile-BF-Premium - BS-BF-Premium) In the above equation, the BS-Premium is typically set using the ATM vol. Therefore, can we have an implied volatility BASED on...

  3. CMU MSCF Submission of TOEFL scores

    I am an international application to the CMU MSCF. According to CMU's website, TOEFL scores must be submitted using the following codes : Institutional code - 2074 Departmental code - 02 However, when i tried to order TOEFL score reports on the ETS system, the required departmental code "02"...
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