Thanks Alan!I was hoping to find a reasonable analytical approximation, but in principle I think your method would work just as fine in practise (as 1D integrals are quick and easy).Great!

<t>Hi,I am interested in computing the correlation between X and log(1 + c exp(X)) for X being a N(a,b^2) random variable. c is a constant and > 1 (but not very much larger than 1).I thought this would be reasonably simple by expanding the log bit around x=a but I only seem to end up with something ...

I can't download the paper (link broken). Is it only me?

Dear all,I want to compute the expected value of 1/X where X is normally distributed with mean a and variance b^2.Any ideas are highly appreciated!

Many thanks, this was exactly what I wanted!

<t>Dear all,For education purposes (I want my students to delta-hedge an option using historical and implied volatility) I need a sample of historical stock prices as well as implied volatility for ATM options (preferable 30 days to expiry). It could be on any stock (or index) and (preferably) daily...

I'm thinking of buying gold put options (strike, say 950) with April 2010 expiry on my personal account.I believe it's a bubble that will burst soon.Stupid?Will I get rich?Ideas?

<t>Many thanks for your prompt reply! I listed some descriptions of the products below to make sure that I understand the constructions. Do you agree?Callable snowballCoupons: C_i = C_{i-1} + (X-market rate). Floored at zero. Capped?Callable: The issuer may terminate at (some) coupon dates.Forward s...

<t>Dear all,I'm interested in examples of exotic interest rate derivatives that are "smile/forward smile sensitive". Basically I mean an exotic ird for which you would feel that there is a need to use a more complex model than say a standard or CEV-type extended LMM.A Bermudan swaption for example s...

<t>QuoteOriginally posted by: untwiggedAfter you get to step 6, whilst still in the debugger, if you go tools->references, and find your DLL, and add it, does that all work ok? Does the output window show your DLL loaded then?Many thanks for your help! It actually works now, I simply needed to ignor...

<t>QuoteOriginally posted by: untwiggedThe "Debugging information for 'EXCEL.EXE' ..." message is fine, that means you do not have the source to Excel on your machine. You are only interested in debugging the dllAre you sure you are building in Debug mode? When you start debugging, if you look at th...

<t>Many thanks for your help!Let me tell you what I have done (warning that this post is a bit long). I have tried several ways due to sources found through google etc, but the main denominator is that I do not manage to debug any of them.I attach a zipped folder containing the following project whi...

<t>Dear all,I have for some years created excel add-ins using VC++6 on a 32 bits XP machine (I do not know much about dlls though, basically following a by-heart learned recipe). I have now bought a new machine which has 64 bits Vista and also upgraded to vs 2008.Unfortunately I have now problems wi...

<t>Unfortunately it seems like xlw does not support my machine specifications, I can not even run the xlw installer.Is anyone aware of a tutorial on how to build xl dlls for 64 bit vista using vs2008? I am now basically tired of "short cuts" and would consider doing this properly from scratch, howev...

<t>QuoteOriginally posted by: daveangeli think you have a rogue version of your DLL lurking about which is getting loadedMany thanks for your help.I do however not really understand what to do. I have created a brand new project and I have no dll with the same name lurking around somewhere. Any idea...