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by Val
September 13th, 2006, 4:00 pm
Forum: Book And Research Paper Forum
Topic: Risk Quant USA July 2006, V. Piterbarg Presentation
Replies: 2
Views: 93551

Risk Quant USA July 2006, V. Piterbarg Presentation

Hi all,Does anyone have Vladimir's presentation at Risk Quant conference in July 2006? best,
by Val
August 23rd, 2006, 4:16 pm
Forum: Book And Research Paper Forum
Topic: Stochastic Volatility for Hybrids by Balland P. 2005
Replies: 3
Views: 95723

Stochastic Volatility for Hybrids by Balland P. 2005

Hi,Does anyone have 'Stochastic volatility for hybrids' slides presented by P. Balland at World Business Strategies workshop on hybrids in 2005 thanks,
by Val
March 4th, 2005, 1:08 am
Forum: Technical Forum
Topic: option on implied vol
Replies: 11
Views: 158419

option on implied vol

<r>QuoteOriginally posted by: probablyBS is a start (assuming you mean using BS for the vol itself not the stock).Any Asian pricer will then give you an option price.Another obvious way to go is calibrate Heston/HestonLocalVol/etc and price it that way.I've also tried a bit in the context of options...
by Val
March 4th, 2005, 12:55 am
Forum: Technical Forum
Topic: What is the fair value of this kind of swaption?
Replies: 13
Views: 158088

What is the fair value of this kind of swaption?

<t>QuoteOriginally posted by: JQuoteOriginally posted by: ValSorry to interfere in you private conversation...But, cancellable is just an option which gives you the right to cancel the underlying of the deal.Which means that is nothing but an option/bermudan to enter in an underlying with oposite si...
by Val
March 4th, 2005, 12:28 am
Forum: Technical Forum
Topic: What is the fair value of this kind of swaption?
Replies: 13
Views: 158088

What is the fair value of this kind of swaption?

Sorry to interfere in you private conversation...But, cancellable is just an option which gives you the right to cancel the underlying of the deal.Which means that is nothing but an option/bermudan to enter in an underlying with oposite signs which cancel it...Hope it helps,
by Val
March 4th, 2005, 12:11 am
Forum: Technical Forum
Topic: option on implied vol
Replies: 11
Views: 158419

option on implied vol

QuoteOriginally posted by: Collector>BS would be a jokeYou can get quite far with a good joke, if you understand the humor ... and pay for the consequences.... ?!
by Val
March 3rd, 2005, 6:36 am
Forum: Technical Forum
Topic: New trends in interest rate exotic products
Replies: 13
Views: 191527

New trends in interest rate exotic products

<t>QuoteOriginally posted by: quantstudent19QuoteOriginally posted by: ValDefinitley,1) weekly& strong CMS linked path dependent callable structures .......2) hybrid FX/Credit...what are hybrids FX/ credit? any example?Take a look at Structured Products and Hybrid Securities (Frontiers in Financ...
by Val
February 23rd, 2005, 5:28 pm
Forum: Technical Forum
Topic: SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS
Replies: 21
Views: 161577

SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS

QuoteOriginally posted by: WildbillpravilnaWhat do you mean? Or u just said Yes.
by Val
February 23rd, 2005, 6:43 am
Forum: Technical Forum
Topic: SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS
Replies: 21
Views: 161577

SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS

Thanks guys.Best,
by Val
February 22nd, 2005, 7:14 pm
Forum: Technical Forum
Topic: SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS
Replies: 21
Views: 161577

SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS

QuoteOriginally posted by: Martingale (I am not working for them)http://www.intex.com/Really ? Just took a look and didn't find any tips..Best,
by Val
February 22nd, 2005, 7:09 pm
Forum: Technical Forum
Topic: Variance Gamma calibration
Replies: 9
Views: 164473

Variance Gamma calibration

Probably you will find some insights ondbquant site
by Val
February 22nd, 2005, 7:07 pm
Forum: Technical Forum
Topic: CDO square
Replies: 1
Views: 159004

CDO square

QuoteOriginally posted by: SqualHi all,Does someone know how to price a CDO^2 with a base correl ?Look hereCD0^2 pricingOtherwise MC.Hope it helps,
by Val
February 22nd, 2005, 7:01 pm
Forum: Technical Forum
Topic: SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS
Replies: 21
Views: 161577

SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS

Do you have any docs of one of them?And Many thanks
by Val
February 22nd, 2005, 6:24 pm
Forum: Technical Forum
Topic: SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS
Replies: 21
Views: 161577

SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS

QuoteOriginally posted by: MartingaleLike Intex?Might be.Don't know much about it
by Val
February 22nd, 2005, 6:00 pm
Forum: Technical Forum
Topic: SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS
Replies: 21
Views: 161577

SCRIPT LANGUAGE FOR STRUCTURED PRODUCTS

How do you manage the valuation of path-dependent products ?Say valuation date is t_iPayoff=S(t_0,t_1, t_i,..) ?Best,
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