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## Search found 35 matches

November 14th, 2010, 12:11 am
Forum: Technical Forum
Topic: What is deemed as high negative correlation?
Replies: 11
Views: 25209

### What is deemed as high negative correlation?

<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...
November 12th, 2010, 6:39 am
Forum: Technical Forum
Topic: What is deemed as high negative correlation?
Replies: 11
Views: 25209

### What is deemed as high negative correlation?

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!
November 9th, 2010, 12:04 am
Forum: Technical Forum
Topic: Cap/Floor Vol for pricing
Replies: 7
Views: 24761

### Cap/Floor Vol for pricing

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!
October 13th, 2009, 11:20 am
Forum: General Forum
Topic: Barrier options
Replies: 22
Views: 195467

### Barrier options

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
October 13th, 2009, 11:18 am
Forum: General Forum
Topic: Barrier options
Replies: 22
Views: 195467

### Barrier options

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
October 13th, 2009, 11:18 am
Forum: General Forum
Topic: Barrier options
Replies: 22
Views: 195467

### Barrier options

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
October 13th, 2009, 11:18 am
Forum: General Forum
Topic: Barrier options
Replies: 22
Views: 195467

### Barrier options

October 13th, 2009, 11:17 am
Forum: General Forum
Topic: Barrier options
Replies: 22
Views: 195467

### Barrier options

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
October 13th, 2009, 11:16 am
Forum: General Forum
Topic: Barrier options
Replies: 22
Views: 195467

### Barrier options

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
October 13th, 2009, 11:15 am
Forum: General Forum
Topic: Barrier options
Replies: 22
Views: 195467

### Barrier options

hi
October 13th, 2009, 10:50 am
Forum: Technical Forum
Topic: Articles/resources on barrier option risk analysis
Replies: 4
Views: 190837

### Articles/resources on barrier option risk analysis

hi, can you email that article to me toonhsfeza@yahoo.com
March 12th, 2009, 11:23 am
Forum: General Forum
Topic: Bootstapping
Replies: 1
Views: 41690

### Bootstapping

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?
September 22nd, 2008, 10:07 am
Forum: Technical Forum
Topic: Commodity Option on Futures - deriving the formula
Replies: 18
Views: 53429

### Commodity Option on Futures - deriving the formula

<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(...
August 7th, 2008, 1:51 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is CPPI?
Replies: 13
Views: 145135

### What is CPPI?

Hi all,Any good articles or book I can read on CPPI as the company I am is doing these stuff now
July 3rd, 2008, 8:05 am
Forum: General Forum
Topic: local volatility versus implied volatility
Replies: 2
Views: 51513

### local volatility versus implied volatility

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

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