Does anyone have a copy of this paper (or could point me to a link)?Option pricing: a non-stochastic approach. London Business School IFA Working Paper, 1990.It talks about the pricing of "Mileage options".Thanks in advance.

<t>As far as I know, once you have officially left your previous job (defined as you no longer get paid), your H1b status ends. The best thing is for your new employer to file the H1 petition before you leave your old job. You don't have to wait until it gets approved and the H1 status is maintained...

<t>If one wants to stay in quant research or trading roles forever, CFA is absolutely useless. It is highly unlikely that the person who is going to give you a job has CFA himself/herself. If you have a PhD, that should be enough for quant related or sophisticated trading jobs. Other knowledge could...

<t>Replying to the original topic, I think there are a few types of people:1) The "older" generation - those who started their career in academia, work in IBs for a few years, and then go back to academia (probably) for good. Lot's of "big names" e.g. Derman, Lane Hughston, Francis Longstaff. Marco ...

<r>QuoteOriginally posted by: dejDo you know some good papers that explain the methodology usually used and its implementation (in the 2 factor case)?Or that present some results that I can consider as good targets....An example of a 2-factor Gaussian HJM implementation (albeit a bit old)Frank Heitm...

A convertible bond.to price it properly, one has to model credit, interest rate and equity. The maturity is often relatively long, and it is common to have call/put/parisian barrier features.

<t>To my knowledge, most structurers in HK are not ex-quants. Some may have PhDs in Physics, app math etc but probably most don't have front office quant experience. Exotic structures sell quite well in Asia and there is a high demand for good structurers. While on paper your experience may not be t...

<t>I think it's popularity comes from its ability to have an exact fit to caplet vols. In other models (other than BGM), the vol function do you really have any physical significance, so traders find it hard to relate movements in market cap/swaption vols to movements in Hull and White vol for examp...

<t>A paper by Berestycki, Busca and Florent, "Computing the implied volatility in stochastic volatility models", (2004), claims different results compared to that published by Hagan et al. (see the remark at the end of section 6.3) although both start from the same problem. Does anyone have any comm...

<t>For the short rate to be Markovian, the often cited result from Carverhill (1992 or 1994) is for forward rate vol of the formv(t,T) = g(t)h(T)It is sometimes claimed that it also works for the multi-factor case, i.e. as long asv_i(t,T) = g_i (t) h_i (T)then the short rate is Markovian. Is this co...

<t>Agreed with the observation. We often hear traders retiring early (to enjoy life...) but seldom hear quants doing that. I suppose people would leave when they found that there is more "life" outside the trading floor. My theory is, if one's net worth is greater than 10 times his/her annual net in...

<t>Section 11.2 (p.427) discusses the quanto CMS. I used to think that the (more or less) correct way is to proceed as in section 11.2.3, i.e. by applying a quanto adjustment to each CMS adjusted foreign rate, and then sum all the individual legs. Why do we need to involve the G2++ model / MC (and a...

<t>Thanks everyone for their input. In fact my question is, with American Monte Carlo, whether a good exercise strategy could be found for this particular product. I know that some products work better than others when we apply this technique, and just wonder whether any exercise strategy found by A...

<t>quite a few houses are showing structure notes that pay a coupon C such that each coupon = previous coupon + X% - LIBOR, and the whole note is multi-callable.Should one use American Monte Carlo techniques applied to some interest rate models to price it, or is there any special trick that could b...