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by mtsm
April 1st, 2012, 8:28 pm
Forum: Book And Research Paper Forum
Topic: New Journal ---Algorithmic Finance
Replies: 12
Views: 16427

New Journal ---Algorithmic Finance

<t>I entirely agree with what you say, but I think that the situation is more complex than that. I am also shocked day-in day-out by the disconnect that exists between academic research and practice. I don't actually think that it is necessary to look at finance to see that disconnect. In many field...
by mtsm
March 13th, 2012, 12:51 pm
Forum: Technical Forum
Topic: CEV and SABR for beta outside of [0,1]
Replies: 131
Views: 22013

CEV and SABR for beta outside of [0,1]

<t>Hi guys,can you help me with a superficial account what happens to the CEV and SABR models when you plugin values for beta that lie outside of [0, 1], both positive and negative values?Has this been studied? Any references?I always thought that in SABR it is assumed that beta is in [0, 1).What ab...
by mtsm
February 13th, 2012, 12:31 am
Forum: General Forum
Topic: Yield Curve Data
Replies: 7
Views: 14774

Yield Curve Data

QuoteOriginally posted by: frenchXTo be sincere I don't know. I don't know, the OP should be clearer but I don't find any other mmf signification than the one I gave.oh please...
by mtsm
January 26th, 2012, 1:18 am
Forum: Trading Forum
Topic: 1Y tenor swaption conventions
Replies: 3
Views: 18056

1Y tenor swaption conventions

<t>thank you m. the one that I was not really aware of is the 1Y USD paying annual money market on the fixed side. My interpretation of this is that 12M Libor is quoted in the money market and it is probably natural to tie the 1Y swap to that via its fixed leg.Also, I brought in other shorter tenors...
by mtsm
January 24th, 2012, 2:24 pm
Forum: Trading Forum
Topic: 1Y tenor swaption conventions
Replies: 3
Views: 18056

1Y tenor swaption conventions

<t>Can someone confirm the following for me on the standard market conventions for forward starting swaps underlying european swaptions. Let T be the tenor of the underlying:EUR:T = 1M, 3M, 6M: (cap/caplet world). The underlying is a FRA which goes by money-market conventions ACT360. For a cap the A...
by mtsm
January 8th, 2012, 7:34 pm
Forum: Book And Research Paper Forum
Topic: Book on Trading, Market Microstructure
Replies: 3
Views: 17582

Book on Trading, Market Microstructure

<r>the following is excellent reading and should be read by anybody interested in the practical finance from a technical angle. I don't know if you will find it detailed enough and it is getting a little old, athough not that old.<AMAZON id="0071468293" url="http://www.amazon.com/Complete-Quantitati...
by mtsm
December 28th, 2011, 4:55 pm
Forum: Technical Forum
Topic: Libor Market Model question
Replies: 2
Views: 15704

Libor Market Model question

<t>I don't think that this is what he means actually. Must be a mis-print. You could either write the sum over even or odd n, depending on where you start to count your n from or just denote the amplitude by epsilon_n and the phase by phi_n. Other than that it is pretty clear what he is trying to do...
by mtsm
December 22nd, 2011, 9:13 pm
Forum: Technical Forum
Topic: Calibrating SABR/CEV "without" using option data?
Replies: 27
Views: 22528

Calibrating SABR/CEV "without" using option data?

<t>I initiated a thread on this in the other forum. Did not generate a huge amount of interest, but you could check it out. What you are trying to do is to fit SABR off of historical data. That is you are trying to fit it empirically or historically. You can definitely try to do that. Alan's objecti...
by mtsm
December 7th, 2011, 10:34 am
Forum: Technical Forum
Topic: two-asset double barrier options
Replies: 3
Views: 16462

two-asset double barrier options

I checked, albeit not very thoroughly. He treats the case of outside single barrier options I think.But I will check again.thanks.
by mtsm
December 7th, 2011, 1:19 am
Forum: Technical Forum
Topic: two-asset double barrier options
Replies: 3
Views: 16462

two-asset double barrier options

<t>Looking into valuation approaches for outside double barrier options, aka as two-asset double barrier optionsor rainbow double barrier options (?).That is an option that will pay some european payout on one asset at expiry but with a knock out provision whena second asset breaches a corridor defi...
by mtsm
November 23rd, 2011, 10:32 am
Forum: Technical Forum
Topic: PnL Explained for options
Replies: 11
Views: 21868

PnL Explained for options

there is a decent section on risk management in the third piterbarg book. generally speaking for options, your pnl decomp is obviously model dependent.can you send me your paper too rmax please?mtsm.np@gmail.comthanks
by mtsm
November 14th, 2011, 2:14 pm
Forum: General Forum
Topic: Quant is a plumber
Replies: 14
Views: 17721

Quant is a plumber

very largely agreed, with the exception of them being the first victims of the crisis, which is not true, I second everything you say.you will surprisingly few people that will readily admit to any of this.
by mtsm
November 11th, 2011, 12:45 am
Forum: General Forum
Topic: Sabr NORMAL Volatility for Beta = 0 (formula A.70a in original hagan article)
Replies: 12
Views: 23308

Sabr NORMAL Volatility for Beta = 0 (formula A.70a in original hagan article)

not sure what you are saying here. why are you doing it the way you describe over using a straightforward Euler discretization? what are the advantages?
by mtsm
November 10th, 2011, 5:50 pm
Forum: Technical Forum
Topic: Sabr backbone
Replies: 4
Views: 105179

Sabr backbone

<t>I am bumping this up in time by a few years. I think that this is a very critical question. The backbone in the SABR paper assumes the freezing of the SABR parameters and the SABR vol and is thus a consideration of the ATM lognormal vol as a function of the forward only.What Esh is pointing out b...
by mtsm
November 10th, 2011, 10:20 am
Forum: General Forum
Topic: Sabr NORMAL Volatility for Beta = 0 (formula A.70a in original hagan article)
Replies: 12
Views: 23308

Sabr NORMAL Volatility for Beta = 0 (formula A.70a in original hagan article)

not sure what you are saying here. why are you doing it the way you describe over using a straightforward Euler discretization? what are the advantages?
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