SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 6 matches

by stephan
February 4th, 2006, 1:40 pm
Forum: The Quantitative Finance FAQs Project
Topic: Subjects, please...
Replies: 430
Views: 342038

Subjects, please...

What is Fourier Transformation and how is it used in Finance?
by stephan
November 24th, 2005, 10:16 pm
Forum: Student Forum
Topic: Searching for Carr/Lee (2003b) Paper on VolSwaps
Replies: 3
Views: 128644

Searching for Carr/Lee (2003b) Paper on VolSwaps

Thanks a lot to both of you, madmax for your suggestions and especially RedAlert for posting the paper!Stephan
by stephan
November 24th, 2005, 11:06 am
Forum: Student Forum
Topic: Searching for Carr/Lee (2003b) Paper on VolSwaps
Replies: 3
Views: 128644

Searching for Carr/Lee (2003b) Paper on VolSwaps

Hi there,I'm (desperately ;-) searching for Peter Carr's and Roger Lee's Paper "At-the-Money Implied as A Robust Approximation of the Volatility Swap Rate".Does anybody know where to get it from?Thanks a lot for any hints in advance,Stephan
by stephan
October 16th, 2005, 9:39 am
Forum: Student Forum
Topic: Equity Covariance/Correlation Swaps
Replies: 2
Views: 135738

Equity Covariance/Correlation Swaps

Hallo erstwhile,Your answer definitely brings me a step further - thanks a lot.I also want to add that all your comments in the other threads on vol-/var-swaps were very valuable and helpful...Best Regards,Stephan
by stephan
October 12th, 2005, 2:04 pm
Forum: Student Forum
Topic: Equity Covariance/Correlation Swaps
Replies: 2
Views: 135738

Equity Covariance/Correlation Swaps

<t>Hi there, Does anyone know how equity correlation/covariance swaps are priced exactly?According an article in Risk the market has become rather liquid and even options on equity correlations are quoted (and sometimes traded).Peter Carr's and Anthony Corso's approach in Commodity Covariance Contra...
by stephan
May 13th, 2005, 1:02 pm
Forum: General Forum
Topic: CAPM question
Replies: 8
Views: 158772

CAPM question

<r>Hi there,DavidJN is perfectly right - expected return is positive in CAPM by assumption; the key is market risk premium, which can be negative "ex post" and should (must!?) be modelled via dummy-variables. This could be of interest for you:<URL url="http://www.wiwi.uni-frankfurt.de/schwerpunkte/f...
GZIP: On