<t>Hello all.Would appreciate your thoughts on how to do the following:fx risk reversal is in theory the market's 'prediction' of how implied vol will behave for a given move in spotand to the extend that there is a discrepancy between the markets actual reaction vs what the risky would have predict...

<t>hello allI was considering the Sajyat Das book on Structured Products ,Vol I (IR and FX)or the Structured and Hybrid Products book.The problem is that i cannot find any excerpts of the 1st book.I do find excerpts of the 2nd book (although i am not particularly interested in the Credit ,Equity or ...

<t>Really naive question..... but i have not seen this addressed anywhere...Thank you in advance for any repliesExampleclient buys @ expiry digi EUR Call, k=1.40, Notional=1mio EURif Spot is above 1.40, what is the payout?[a] 1 USD per EUR...in which case the payout=1mio USD? or payout=Notional in E...

hello all.Can someone explain the motivation of Quadratic and Geometric baskets (in FX)as opposed to Arithmetic?In general what are Quadratic in fx options? Are there any special pricing issues involved?Thank you all in advance.A

the obvious problem with that of course is that refreshing your greeks on the fly is a midsummer night dream...i am aware of hybrid books that blew up b/c they had big short dated gamma positions and could not update their greeks until the next morning..

<t>carolpeople use RRs as a means of capturing the slope of the smile surface.it simple is used to make arguments such as....in currency pair x/Yputs on x are priced at an implied vol that is 1% higher than calls on x.in this light, it is unclear to me wht are you aiming at with your argumentcordial...

<t>NotesEUR C/USD Put, k=1.60Physical Deliveryhello to alli am new to FX so i was wondering if you could help me with the following:1.when pricing RKOs (i.e client buys 5year month EUR/USD Call, k=1.60, continuous up & out=1.62)2 different types of vol are relevant: a. the 5 year fwd vol (retrie...

<t>Imagine we are pricing an interest rate derivative that depends on 2 different ratesi.e we pay 5yr CMS as long as 3mL<7%Imagine we price this option on a tree that is described with a short rate model.If we are calibrating to the 3monthLibor column (i.e implied vol of caps on 3m libor), and try t...

<t>some great movies: 1.Royal Tannenbaums2.High Fidelity3.The Sting4.A Quiet American5.The Taylor of Paname6.The Thomas Crown AffairAlso, on my flight back from London to the StatesAmericanm Airlines was playing a British film. Thetittle was 'Sweet Revenge'. I know there are a fewmovies with this na...

<t>Hello all.A brief question about an operator that i havenot seen before.I have found references in the literature of thefollowing form : arg max{Objective function}.From the context it appears that it might be the setof parameters that max the objective function.Is this indeed the case or there i...

<t>How are caps quoted in the market?if today was 12/31/03 thena 5y x 1y cap is a forward starting cap(starting in 5 years ..so 12/31/08) ona series of 4 quarterly reset caplets?Is the underlying reference rate always3mos libor?Can someone give me some background inthe institiutional aspects of plai...

<t>Hello all.I have been looking into a number of Merton models for pricing credit.The premise of the approach is that equity vol affects credit spreads.It appears that there exist time-regimes and firm-specific fundamentalcharacteristics where this link is stronger and others where this linkis weak...

More and more people make the distinction between Dependence structure and Correlation.Could somebody provide an intuitive as well asa more formal discussion of the distinction?Thank you all in advance,Odiseas

<t>Hello all.I have never been "academically" introduced to the concept ofcopulae, but it appears that they are used extensivelyin credit modeling efforts.I was wondering if someone might be able to offer abrief discussion of they use in a credit modeling framework(concept,strengths, weaknesses).In ...

<t>Hello everyone.I was wondering if you are aware of any referencesto "implementable" versions of Merton's model forextraction of default probabilities?In a related sense, are you aware if Merton typemodels do well in predicting spread movements in the short term?From some incomplete experiments, K...