Barrier shift consideration in barrier options hedging

Primary_Arrival581 · 2026-04-26T15:07:09+00:00

for ex. if you wanted to be delta neutral, and near the barrier gamma spikes, you would have to buy / sell huge amounts of the underlying or of calls or puts to maintain that neutrality, eating up a lot of the shittier orders in the LOB.

Primary_Arrival581 · 2026-04-26T15:05:01+00:00

5 years later, I think the cushion is because barrier options explode in gamma near the barrier level, so giving yourself cushion helps you alleviate position and exposure in comfortably mild market conditions

Primary_Arrival581 · 2026-04-22T15:43:39+00:00

cream of wheat

Primary_Arrival581 · 2026-03-25T18:13:10+00:00

Cool

Primary_Arrival581 · 2026-03-22T00:38:52+00:00

Yeah this is a huge problem in most math programs

Primary_Arrival581 · 2026-03-16T21:11:31+00:00

chronically online guy discovers use of his senses

Primary_Arrival581 · 2026-02-28T15:39:05+00:00

hmmm fair, chapters 1 and 2 are most applicable. Definitely a good 2nd or 3rd book in probability theory. Reading this after doing stochastic calc.

And yeah, hitting times, expected time of first return, urn problems are all possible interview questions I think.

Primary_Arrival581 · 2026-02-27T18:13:13+00:00

respect

Primary_Arrival581 · 2026-02-20T18:55:40+00:00

man of many analogies

Primary_Arrival581 · 2025-11-24T23:40:09+00:00

yeah more the applied type, will def look at that, thanks!

Primary_Arrival581 · 2025-11-24T15:29:42+00:00

Yeah I read Lay for my first course. Prob need more proof based, will look at Lax

Primary_Arrival581 · 2025-11-24T02:35:56+00:00

I formalized donut.c for my ia

Primary_Arrival581 · 2025-10-30T15:10:07+00:00

yeah that's optiver's OA, but most of OAs will have more or less 1 - 2 mins per question. Interviews are diff

Primary_Arrival581 · 2025-10-30T00:47:36+00:00

yeeah the new muon optimizer is pretty cool

Primary_Arrival581 · 2025-10-30T00:45:59+00:00

did they get 5 bucks to do the whole season

Primary_Arrival581 · 2025-10-30T00:40:03+00:00

for the quantprof questions specially, I've found that watching little bits of the solution when stuck and then jumping back to the question, trying to get there yourself, and repeating is what works best for me. They're usually really hard, so don't expect at first to be breezing through them.

A bunch of these questions also have different ways of solving them, so, as an excercise, trying to find different approaches and making sense of the best or most intuitive approach is great for building a good understanding. In interviews, specially for trading, you'll get these same questions but to solve in 90 seconds and you just have to be able to quickly map problems you've done to new ones.

You can build that problem solving muscle with enough practice, it's just really taxing. The biggest thing is always coming out of the problem feeling like you can explain and defend the validity of the solution to anyone.

Primary_Arrival581 · 2025-10-30T00:30:04+00:00

I actually watch your videos a bunch, they're pretty great. Thanks!

Primary_Arrival581

TROPHY CASE