The UK DMO have some stuff on this. Look for anything by Deacon & Derry. May not quite do it for you but worth a look perhaps.Mark

"A hedge is something a dog pi**es in."

Have a look on Tom Ho's website. http://www.thomasho.com/mainpages/homepage.aspT

Try Richard Flavell (2002), Swaps and Other Derivatives. It's a Wiley book and I think it qualifies for a discount if you are a member of the Wilmott Book Club.T

<r>Use R which is a statistical package that can be downloaded for free from the web. (<URL url="http://www.r-project.org/">http://www.r-project.org/</URL>) It is closely related to S+. It's not quite as user friendly as S+ (fewer menus) but there is plenty of documentation to help and a very active...

For another application see discussions on filtered historical simulation as used by Barone-Adesi et al. I think there is literature on the glorimundi website. I can did out the references to published papers if you are interested.T

<t>Some people wouldn't use futures at. Why?1. Futures-cash basis.2. Problem of recovery of cash rates used for fixings from the futures part of the curve.3. Problem of dealing with gaps and overlaps in the futures.And be careful with those fancy spline methods. However there is another school of th...

I'm a bit late to this but read the late great Stephen Jay Gould's "The Mismeasure of Man". If after reading it you still believe that the Intelligence Quotient actually measures anything then be my guest.

Have you looked at Warwick?T

<t>By exploiting the structure of particular financial instruments it is possible to derive the discount curve. This technique is often used in the construction of a swap curve. The value of a new swap is zero. By equating the fixed and floating sides of the swap it is possible to solve for the rele...

"How are you?Mustn't grumble.Have another piece of apple crumble."ABC "The Look of Love".T

<t>I think its a twist on It's A Wonderful Life, itself a twist on A Christmas Carol. But, hey, I don't know what any of them are about either. I find the best way to enjoy it is not to think too hard and simply wallow in the magnificence of the cover of Tears for Fear's "Mad World" that closes the ...

For what it's worth:Donnie DarkoWhen Harry Met SallyThe Life of BrianRoman HolidayDelicattessenArsenic and Old LaceNorth by NorthwestThe Killing FieldsThe Royal TenenbaumsThe Scent of Green PapayaT

<t>Read your column into an array. You will have to dimension the array by the size of the column. You can use dynamic arrays if the size of the column is likely to alter. Then use a For Next loop to spool through the array. Use an IF statement to search for your "string" and carry out the action (r...

Contacted Wiley on the number given in the magazine but they claim not to know anything about these offers. What is going on here?T