i just found out that in steve shreve's new book, he called ito's lemma ito-doeblin

a friend of mine says that ito was not the first to come up with the lemma, but some unknown solider in ww2 did in 1940's. this guys paper was not discovered till recently ... is this a rumor?

i try to point the blp.exe manaully. it still did not fix. did you fix it after all?

i am having problems and bloomberg guys can't help. could someone help? i use import.data.bloomberg(some arg), but i got an error msg saying that it can't find dde.

don't think there is a standard on product control role. it really depends on the organization.citivp - who is this bank that trader do their own official p&l? this is bad for the bank and good the trader.

<t>pcg at barcap do many things. you can look at it as two pieces - accounting stuff and mtm/pnl stuff.accounting - i generally ignore.mtm/pnl - very interesting. it is just like what you said, look at hedges, value the trades, look at risk number, compute pnl, and etc. for complex exotic products, ...

blow up

blow up

blow up

<t>sukantgupta - does howard's study cover conduit as well as other type of cmbs deals? did he get data from trepp? did he season-adjusted the default rates? it is probably worthwhile to model delinquency/FCL rates, which drive where the bonds are going to be traded at prior to default. market seems...

correlated default sim ... there is no diference. modelling framework is same as "vanilla" cso.

<t>corr skew is also used in credit derivatives. in a nutshell, equity cdo investors long corr, whereas mez and senior holders short corr (though not always true). one can use a gaussian copula model to back out a flat corr from maket bid/ask quotes on tranched indices TRACX-NA for different attachm...

hi stefanone - do you mind sending me your matlab code for copulas at brcaapc@hotmail.com? thank you

<t>does anyone has these two papers? thx youHarrison, J., and D. Kreps, 1979, Martingales and arbitrage in multiperiod securitiesmarkets, Journal of Economic Theory, 20, 381-408.Harrison, J., and S. Pliska, 1981, Martingales and stochastic integrals in the theory ofcontinuous trading, Stochastic Pro...

agree, it is very good