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

Barrier options

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

Barrier options

hi
by lynn
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
by lynn
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?
by lynn
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(...
by lynn
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
by lynn
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?
GZIP: On