<t>Hi,I think the way to think about it is to remember that for the equity part of the CB to pay off, the company will almost certianly be around. I.E. if the equity part pays off, equity value is above zero, i.e. company is not bankrupt, or the CB is not in default.The cash bit is different in the ...

<t>Hi,"Quants" do a number of things. Certianly 15 years ago the role was much more limited and Quants were largely involved in regressions for mutual funds etc. The derivatives business certianly added a big change to all that, and many are now involved in pricing derivative type structures. For a ...

<t>Hi,I think the usuall way to fix this is to view this as a composite. If is easiest to model initially by making your PnL reporting currency to be the same as Currency 1. Then use all the "usual" Black and Scholes parameters, except that the volatility of the XYZ stock is now a composite vol of t...

<t>Hi,I sort of like the Rebonato book (I have the earlier edition one):Modern Pricing of Interest-Rate Derivatives:The LIBOR Market Model and Beyondmethod of explaining things. Mr. Rebonato starts by explaining how the interest rate curve move and how they are correlated to each other, and in parti...

<t>Hi,I was just wondering if that there is some sort of link between Stock price and Credit spreads of a company. Is there a way of modelling this in a convertible bond model. I think someone somewhere mentioned 1 1/2 or 2 1/2 factor convertible bond models. I suppose the factors are:1) Equity move...

<t>I was wondering if anyone has had any experience with trend detection on time series. Efficient market hypothesis means that these trends do not exist. However some must be out there because quite a few hedge funds rely on this. Would Hurst Exponents or Hendeson filters do the trick? Or are there...

<r>I think there is some code publised in Numerical Recipies in C (and now C++). The C book is here for free <URL url="http://www.library.cornell.edu/nr/nr_index.cgior">http://www.library.cornell.edu/nr/nr_index.cgior</URL> you can buy one. The C++ one is only available via book shops. There is also...

For Quadratic Programming Software on a Linux system I have used OOQP http://www.cs.wisc.edu/~swright/ooqp/ with some success. I think it does the sort of stuff you are looking for.