Oo.... indeed.... thanks a lot...

<r>Hey there,i have a quick question regarding a transformation in one of the papers of the articles section (Which Free Lunch woould you like today, sir?)On page 66, they are deducing the mark to market profit of a delta hedged option position, which has been priced with an implied vol sigma_{i} (w...

<t>i havent looked at your spreadsheet, but if you say you havent done anything wrong, my first guess would be that the matrix could be nearly-singular in your calculation;are you checking such problems in your calculation? Had some trouble when doing minvar optimization via matlab with near-singula...

Isnt there a mathematical argumentation for estimating stock price return zero when evaluating e.g. var swaps? Something like Girsanovs theorem and saying change of measure has influence on expected value but not on variance?

Right... Thank you for your help!

Wilmott Paper says it should be exactly (V^a-V^i)

Hi,i am actually trying to comprehend some of the formulas from the paper, and get some different results...e.g. Page 66 the bottom right integral Does anyone see my mistake?Thx a lot!