In what cases cannot you compute vega for American futures options ? I am searching for the extreme cases, just in case things can go wrong.

Hi all,Does anyone know what the next number would be for the following numerical sequences ?1) 58 62 61 65 73 ...2) 83 80 84 83 88 ...3) 54 49 58 41 66 ...Regards,

No, but thanks for replying anyway.

Hi all,I am applying trading position and need to take the numerical sequence test. Does anyone know what the next number would be for the following sequences ?1) 58 62 61 65 73 ...2) 83 80 84 83 88 ...3) 54 49 58 41 66 ...Regards,

<t>maybe we can get rid of the meaning and just follow math.Joerg has sigma_DD which can not be used in analytical formular because analytical formular use another SDE,so he transformed sigma_dd to eta,and eta can be used as sigma in the analytical formular. Beta is used twice,for transforming and i...

Joerg sees this sigma as sigma_DD which is beta*eta,eta is the sigma in the function i typed,maybe i am wrong...

just rewrite your functiondSt = ( S0*sigma*(1-beta) + sigma*beta*St ) dWtin terms of b by plug in beta = S0/(S0+b) and you will have dSt ={sigma*S0/(S0+b)}(St + b) dWt which is consistent with both papers.

i have a doubt, starting from you formulaedSt = ( S0*sigma*(1-beta) + sigma*beta*St ) dWtyou divided beta on boths side,(switching to F case) (1/beta) dFt = sigma*(Ft + F0*((1-beta)/beta)) dWt

<t>Hi,In the multi-curve world one uses the curve wrt tenor for generating future rates and then discounted by 'discount curve'(i.e. OIS curve). The rates generated should be seen as FRA rate which is the martingale under OIS discounting. My question is how to get the initial FRA rate curve so as to...

Sorry for interupting...with beta = S0/(S0+b) it leads to dSt ={sigma*S0/(S0+b)}(St + b) dWt So sigma_DD=sigma*S0/(S0+b)=eta*beta in the Jorg's paperthen put eta in the analytical formulae in Jaeckel's paper as sigma.Strange but hope i am not wrong...

<t>Hi,In the multi-curve world one uses the curve wrt tenor for generating future rates and then discounted by 'discount curve'(i.e. OIS curve). The rates generated should be seen as FRA rate which is the martingale under OIS discounting. My question is how to get the initial FRA rate curve so as to...

the beta might be forward/(basis+forward) and in your case the value of the beta is 0.5458 instead of 0.1677,not sure but bigger value might be helpful.

I am trying to build the OIS zero curve used in pricing cap vs 6m. I have zero rates for 1y,2y,... from the market, hence the discount factor. but what about 1.5y,2.5y,...

linearly?

Hi,I have a short question but not sure about the answer.If i know the zero rates for 1y and 2y,how do i get zero rate for 1.5y ?