<t>Thanks spacemonkey. Can you please elaborate/ show the mathematical proof on how z = 0.707... x + 0.707... y is another standard normal random variable made from equal parts x and y, and not 1/2?I am trying to prove here 2 equity data has high correlation, however it is not stated what high is, s...

Is there a general acceptable number to be seen as high negative correlation between market values? Is -0.8 or -0.9 consider "high negative correlation"?, If not what number is considered high? Tq!

Hi, wondering if anyone can help me out on a basic question:If I can only get 3M reference index market caplet vol data, is it okay to use that to price at 6M cap? If not, and if 6M reference index market caplet vol data is not available, what can I do? Appreciate the advice, thanks!

hi just want to check whther is it possible for the gamma/vega for the barrier option become +ve/-ve for the short position & otherwise

hi just want to check whther is it possible for the gamma/vega for the barrier option become +ve/-ve for the short position & otherwise

hi just want to check whther is it possible for the gamma/vega for the barrier option become +ve/-ve for the short position & otherwise

hi just want to check whther is it possible for the gamma/vega for the barrier option become +ve/-ve for the short position & otherwise

hi just want to check whther is it possible for the gamma/vega for the barrier option become +ve/-ve for the short position & otherwise

hi

hi, can you email that article to me toonhsfeza@yahoo.com

Hi,Trying to validate zero curve in a system. Using linear interpolation - however I am having a huge difference at the last vertices the other the difference is small.Is this acceptable and why does this happen?

<t>(i) Basic Black-Black Scholes - assumption no dividend paidC = SN(d1) -Xe^(-rt)N(d2)(ii) assumption with dividend paying on stockC = Se^(-qt)N(d1) -Xe^(-rt)N(d2), where q is the dividend yield(iii) for commodity option on futures, we note the text book is substituting the above formula where S=F(...

Hi all,Any good articles or book I can read on CPPI as the company I am is doing these stuff now

Hi all,Need help to understand the difference between local volatility and implied volatility. When do we use either of this volatility?