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January 1st, 2011, 11:29 pm
Forum: Student Forum
Topic: Leverage effect in Forward Swaps
Replies: 4
Views: 25239

### Leverage effect in Forward Swaps

<t>First, the relationship you are starting with below is for a simple forward rate, not a forward swap rate. It is generally not true that a 5y swap rate and 5y5y swap rate will directly give you a 10y swap rate. A swap rate is a yield, not a simple rate.Second, what makes you think that the forwar...
November 6th, 2010, 11:54 am
Forum: Student Forum
Topic: Expectation under T-Forward measure
Replies: 11
Views: 25872

### Expectation under T-Forward measure

<t>Why do you say that the T1 forward measure is only defined up to time T1? You are using a T1-maturity bond as the numeraire. I think the maturity of the bond is irrelevant here as we don't assume that time stops after the life of the numeraire ends. Think of a deferred payoff. You would use the T...
November 6th, 2010, 11:22 am
Forum: Student Forum
Topic: FRA-OIS quotation??!!
Replies: 4
Views: 24882

### FRA-OIS quotation??!!

<t>1) No. In fact it is more common to set to 3mL, but can set to whatever the conterparties agree upon.2) Conceptually, I suppose so. But EONIA is akin to overnight LIBOR, whereas OIS swaps are based on fed funds3) Don't really understand the question. Start dates and tenors are whatever you want t...
October 11th, 2010, 12:28 pm
Forum: General Forum
Topic: DV01 vs PVBP vanilla bonds.
Replies: 6
Views: 38593

### DV01 vs PVBP vanilla bonds.

Gmike, I like that.
March 15th, 2010, 2:20 pm
Forum: Student Forum
Topic: Bootstrapping Zero Yield Curve Question
Replies: 2
Views: 32120

### Bootstrapping Zero Yield Curve Question

I think you are meshing together two separate concepts. Bootstrapping is done to find a finite number of points on the curve. The cubic spline is used to interpolate all the points in between.
August 15th, 2009, 11:30 am
Forum: Student Forum
Topic: High level question: what are the main approaches to derivatives pricing?
Replies: 14
Views: 38482

### High level question: what are the main approaches to derivatives pricing?

If you want to study this from the PDE perspective, take a look at "Derivative Securities and Difference Methods" by Zhu. It is a pure PDE book and fairly well written.
August 2nd, 2009, 2:20 pm
Forum: Student Forum
Topic: Integral over maximum of a geometric Brownian motion
Replies: 6
Views: 36233

### Integral over maximum of a geometric Brownian motion

Isn't M(t) a constant on this interval? You are finding the max of the expression for all values of s < t , but then integrating from t to infinity. Thus, the max has already been determined on the interval 0 < s < t.
June 5th, 2009, 8:21 pm
Forum: Book And Research Paper Forum
Topic: Derivative Securities and Difference Methods "a good book for PDE's applied to finance problems"
Replies: 15
Views: 173419

### Derivative Securities and Difference Methods "a good book for PDE's applied to finance problems"

<t>My thoughts exactly.....at least for the first half of the book. We used the first part in a PDE course this past spring, and the second part will be used for the Num. Methods class. I enjoyed the book, and actually took the class from one of the authors. My main question is whether or not the me...
June 5th, 2009, 10:02 am
Forum: Book And Research Paper Forum
Topic: Derivative Securities and Difference Methods "a good book for PDE's applied to finance problems"
Replies: 15
Views: 173419

### Derivative Securities and Difference Methods "a good book for PDE's applied to finance problems"

Out of 131,000 people that have viewed this thread, not one has read the book?
May 14th, 2009, 4:26 pm
Forum: Student Forum
Topic: remainder theorem
Replies: 7
Views: 39915

### remainder theorem

QuoteOriginally posted by: AKYfirst 2 are:N = 25,201 and 52,921followed by.....80641,108361,136081,etc.....There are a ton of them. 16 where N<1,000,000.
May 11th, 2009, 4:56 pm
Forum: Student Forum
Topic: arrive at time value of option via greeks
Replies: 4
Views: 39670

### arrive at time value of option via greeks

Why would you have vega and theta, and not have the price?
May 11th, 2009, 4:53 pm
Forum: Student Forum
Topic: Assumptions behind the OLS regression model?
Replies: 4
Views: 39801

### Assumptions behind the OLS regression model?

May 9th, 2009, 11:09 am
Forum: Student Forum
Topic: Feedback needed on disseration idea
Replies: 3
Views: 39366

### Feedback needed on disseration idea

May 8th, 2009, 4:29 pm
Forum: Student Forum
Topic: Having trouble with part of a Brownian Motion / Martingale exercise
Replies: 3
Views: 39956

### Having trouble with part of a Brownian Motion / Martingale exercise

First....
May 7th, 2009, 10:37 am
Forum: Book And Research Paper Forum
Topic: Derivative Securities and Difference Methods "a good book for PDE's applied to finance problems"
Replies: 15
Views: 173419