Hi,I am interested in 'Energy Derivatives, Pricing and Risk Management'.Please let me know if anyone knows how I can get a copy (or willing to part with theirs). It's not available in Amazon or Barnes & Noble.Thanks.

<t>Hi Chiara,Do you have this? I have PM'ed you.Thanks.In its latest CDO/Structured credit monthly report, Lehman Brothers has published a model for pricing single name loan-only credit default swaps taking into account the possibility of the reference loan being cancelled. The initiative is designe...

<r>Here's a summary of what they do ... (mainly cross-financing)<URL url="http://www.aima-canada.org/doc_bin/AIMA-Canada-Sep2006CompanionPaper3v2-Final.pdf"><LINK_TEXT text="www.aima-canada.org/doc_bin/AIMA-Canada ... -Final.pdf">www.aima-canada.org/doc_bin/AIMA-Canada-Sep2006CompanionPaper3v2-Final...

Hi Sputnik,Can you forward me a copy? I dropped you a PM.My email is seahlk@pacific.net.sgThanks.

That's how I understand too!But that's what on the book. Anyway, I will try to find out more what the author is trying to do.Thanks.

Sorry, miss out the gamma function:Gamma = (N'(d1)*exp(-qT))/(S * sigma * sqrt(T))Does the gamma optimsation function any way related to the Brownian Motion?Can anyone point me to the right reference?Thanks.

<t>Hi,I was reading Global Convertible Investing and it mention, fordelta = exp(-qt) * N(d1) d1 = ((ln(S/K) + (r- q + sigma^2/2) * T)/(sigma * sqrt(T)) and d2 = d1 - sigma * sqrt(T) where N(d) = cumulative normal pdf; q = annualised continuos dividene yield K = exercise price of the option r = risk-...

How about window barrier option???Can I apply a similar formula to it???Or is there other better way of pricing a window barrier option???(Window barrier option specify an active barrier period)

A window barrier option will specify the barrier's active period. That is the only difference from a normal barrier option.Other as per barrier option.

<t>Hi,I am looking for a general pricing mechanism to price a single and/or double window barrier option.A single barrier has only 1 KI ot KO level and a window period. A double barrier has a KI or KO lower barrier with a lower window period. It also has a upper barrier with a upper window period. (...

<t>Time Option is a forward contract to buy or sell currency. You can buy or sell either the full amount specified on the contract, or a portion of the contract within a designated window of time.Example: Trade Date 21/10/2000Take Down Date 21/11/2000Maturity Date: 21/12/2000Fixed Forward Rate: USD/...

HA, the investor (i.e. the buyer) can choose the delivery date after the lockup period.Do you mean to use the Least Sq MC to price the instrument? or just during the lockup period? And the ball-park estimate after the lock-up period?

<t>DavidJN got it. That is precisely the type of instrument I am refering to. To me, it seems that the pricing consist of two part.- During the lockup period (i.e. when you cannot exercise the time option), it behaves like a normal forward.- And during the window period, it prices like a spot FX.Wha...

<t>quantieSenior MemberPosts: 213Joined: Oct 2001 Wednesday November 20, 2002 12:34 AM Hi,Any help is appreciated. I have a time option to price It is a FX Forward with a time window option. The option buyer can exercise his right to exchange the prinipal during this window period. I am looking for ...