Hi Frank,1 - 2. No. Only VCAP22A uses the Ois discounting. 3. Yes.

QuoteOriginally posted by: daveangelQuoteOriginally posted by: CuchulainnTax rates Denmark are even higher AFAIK but services are good I suppose.not an expert but it seems to be around 45% ?It's more around 57%. It's not the whole story however. Cars are taxed at 180% for example...

<t>QuoteOriginally posted by: MicroHedge I can think of no mathematical argument for using F as the single discount rate for Swap payment stream.The argument is not mathematical. The intuition behind this convention: Cash settled annuity process as a function of a forward swap rate does not represnt...

<t>QuoteOriginally posted by: MicroHedgeThe confusion I have is that the two values for the swaption are clearly not the same (at least to me) and the Physical Settlement formula seems to me to be the correct one so is the Cash Settlement formula just a definition thing, i.e. this is how a Cash Sett...

read_on_wikipedia

<t>QuoteOriginally posted by: RoniNYCNow, in the 'THH' case, the process doesn't always goes to the origin, so it much take fewer tosses... anybody know how I can adjust the expected value equation?When conditioning on the first outcome you need to solve for the intermediate quantity E X_T - the exp...

This does not follow. You need extra conditions and can try using the dominated convergence or maybe the sequence is uniformly integrable?

I think it also follows straightforwardly from the Bermudan option representation via stopping times.

<t>If you can negotiate the 'foreigner's passport C' - there are tax advantages and gives you a much better status than the standard 'foreigners passport B'. Maybe you got it by default? Otherwise is worth asking. I know that it is negotiable. The tax is low, but depends on the Canton. I lived in Zu...

QuoteOriginally posted by: AlanAs a general rule, that's probably right. But, if you needed it to exist, well there you go ...My advice would be to first review what it is you are trying to do and if there is a better way to solve problem or maybe there is mistake in the calculations.

Yes, Cauchy principal values can be calculated but they are not equal to - this expectation does not exist.

Non-zero mean Gaussian is equal to mean + zero-mean Gaussian. However 1/X has infinite mean whatever the mean - direct calculation.

<t>QuoteOk, I know, you will tell me, volatility - variance: not that much different! But actually, there are some quite huge difference I believe between variance swaps and volatility swaps. Correct - there is huge difference between volatility and variance swap. You are right - VIX is based on the...

<t>QuoteYeah, one construction uses Donker's theorem, but I don't think that you need it for Levy's construction.Yes, I think there are several constructions that do not use Donsker's theorem. I am not familiar with Levy's constructions. There is another one that uses Haar functional basis, I think ...

I don't remember needing the CLT in the construction of Brownian motion....Functional CLT - also called Donsker's theorem - is needed to construct BM.