<t>Hi all,Reading job offers I wander what exactly “strong C++ skills” means? Being fluent in OO programming is enough or you need to know much more? Design Patterns? Something else? What is your experience on it? I’m asking because I’m working as Quant in Investment Bank and want to move to more QA...

M. Rutkowski, M. Musiela, "Martingale Methods in Financial Modelling", Springer-Verlag, Berlin, 1997.

Hi,This is one of the best program in Warsaw, but unfortunately prof. Rutkowski right now is teaching at University of New South Wales, Sydney, Australia. KA

Hi,This is one of the best program in Warsaw, but unfortunately prof. Rutkowski right now is teaching at University of New South Wales, Sydney, Australia. KA

Hi All,Is there any connection between volatilities of n-mth forward LIBOR rate and n/2-mth ?? For example If you've got Caps with semi-annually payments quotation, how to price Caps with quarterly payments?? TIA,Konrad

If HW and lognormal ain't matter, why CRANs prices are different....?

If HW and lognormal ain't matter, why CRANs prices are different....?

If HW and lognormal ain't matter, why CRANs prices are different....?

<t>Hi, Unfortunately I can not help you cause I didn’t implement short-term interest rate model. I’m pricing CRANs using BGM model with Longstaff-Schwartz algorithm (only for pricing option). You can try this reference “A practitioner’s guide to pricing and hedging callable LIBOR exotics in forward ...

<t>Hi,I rather doubt that Gaussian models (including HW) are good enough to price such instrument. IMHO lognormal models are much better.Range Accrual Notes can be replicated by digital options (as U will see at Pat's paper). Gaussian models generate sloping Black’s imply volatility curve (even cali...

Is there any difference between pricing Synthetic and Cash-Flow CDOs?

And how I can find it ...?

Hi guys,Does anyone have idea how to check if your model price Callable Range Accrual Notes, or other LIBOR exotics well? Is there any Bloomberg or Reuters site where you can check market quotations? I doubt it? So how can you verify your model? Any idea?Konrad