<t>Hi there,For emerging mkt IRD options, 1) Other than ATM vols, are there liquid market for the off ATM ones ? if no, how does trader know whatis the level of the skew or use any model (E.g. SABR) to calibrate ?2) HOw to build the vol. surface in such case. How to take into account wide bid-ask sp...

<t>Hi,On credit + rate hybrids1) How to price them ? How does credit-rate correlation affect the pricing in what way ?2) What are the common models to price them ? (I heard sth. like defaultable HJM model). Any detail3) What are the risk profiles for these products ?Does anyone have any good resourc...

<r> questions:1) On credit exotics like extendable CDS/CLN, say a product like a Bermudean callable note linked to a credit with a tenor. But the note can be extended by issuers. It says that 1st order risk in pricing is the default probaility till 1st exericse date and the option value of the exten...

Hi there,Looking for this old paper back on 2004, anyone still keep it ?Calamaro, Jean Paul & Tarek Nassar" , 2004, "The path to floating Credit Spread products", DB Global Market Research

<t>Hi there, Merry X'mas and happy new year 2012. 1) I understand though the impact of implied vol/var get less and less when time-to-maturity approaches zero. (MtM dominated by realized vol/var). Nevertheless,there may not have enough short-dated maturity high/low strlkes option how to do replicati...

<t>Hi there, Merry X'mas and happy new year 2012. 1) I understand though the impact of implied vol/var get less and less when time-to-maturity approaches zero. (MtM dominated by realized vol/var). Nevertheless,there may not have enough short-dated maturity high/low strlkes option how to do replicati...

<r>Thanks, mateIn this slide:-<URL url="http://www.cmap.polytechnique.fr/~euroschoolmathfi10/Joint%20dynamics%20Asymptotics%20-%20Reghai%20Natixis.pdfIt"><LINK_TEXT text="http://www.cmap.polytechnique.fr/~euros ... ixis.pdfIt">http://www.cmap.polytechnique.fr/~euroschoolmathfi10/Joint%20dynamics%20A...

<t>Hi,thx for the explanation but i don't see it...>>>E[dX1 dX4] => What you need to calculate ....>>>Multiplying we get...>>>E[dX1dX2] x E[dX2 dX4] = rho1 rho3 (dt)^2>>>since...E[dX^2] = dt(1) Why is E[dX1dX2] x E[dX2 dX4] = E[dX1 dX4] X E[dX2 ^ 2] ?(2) Even if yes, we should get E[dX1 dX4] x dt = ...

hi mate,sorry i don't understand , can you explain in detail ?thx

Multi-asset stochastic vol (heston, SABR), calibration issues, rate-credit hybrids... etc. will be interesting.

Hello,thx for the explanation. but i really can't understand....In the paper you refer, which page can i find the vol_vol correlation derivation ? thx,

Yes, it should be:-Maturity =Summation [ |Vega(i)| * Sqrt(T(i) ]---------------------------------------Summation [ |Vega(i)| / Sqrt(T(i) ]|vega(i)| means absolute value. So anyone can help ?

<t>Hi folks,I heard there is a method called "alpha-parameterization" to define vol/vol and stock/vol. correlations for mulit underlying Heston model.Let S = stock, V= volatilityCorr( S(i) V(j) ) = Corr( S(j) V(j) ) * Corr( S(i) S(j) ) ******************************** (1)Corr( V(i) V(j) ) = Corr( S(...

<t>Hi there,For structuered equity products with early termination possibility, I heard one way to compute the effective maturity is :-T_Maturity =Summation |Vega(i)| * Sqrt(T(i)---------------------------------------Summation |Vega(i)| / Sqrt(T(i)Can somebody explain me the inituition of this formu...

<t>Hi folks,1) why lookback option is particularly sensitive to dividends modeling ? What other products have similar behaviour ?2) Assume a payoff max[S(T)/ min(S(t)) - K, 0] where min(s(t) is the initial min. of the stock price over the in-period why this products display negative stochastic vol. ...