<t>The question is a little bit more complicated due to the fact that it concerns modelling transaction costs with software where the decision taken by the software system whether to recommend trade in certian position/portfolio depends on the transaction costs that might be incurred. Thus the aim o...

<t>Dear all,please, provide some clues on realistic functions that could be used for modelling transaction costs in portfolio optimization problems. For sure the transaction costs function is not linear due to the fact that brokerage comission depends on either traded volume or traded investment cas...

<t>Hi to everybody,does anybody know where I could find a guide or general description of convensions about how bond coupon dates are determined - I mean which date - the maturity or issue one is taken as a basis for determining the bond coupon dates, etc. Are there any differences in this respect a...

<t>Dear All,When I came to pricing a convertible bond I tried to accomplish that with a trinomial recombining tree.I am pricing the convertible bond by integrating the stock price in the trinomial recombining tree for the risk free interest rate.However, in each node after the second tree level I ha...

Dear All,I need some insights on cross currency spread option pricing.I shall be very thankful if you could offer me some papers on the matter.Thank you in advance.

Thank you all,the cited papers seem to be of great help.Regards

Dear all,Any suggestions on cross currency swaption pricing shall be highly appreciated.In addition, could you, please, cite some sources of information on the topic above.Thanks

<t>Technical analysis is compatible with the weak form of market efficiency. There is some evidence that the market exhibits at least semi-strong efficiency. However, TA remains a powerful tool of "art" analysis of herd behaviour. It seems that traders in presence of important news behave quite irra...

<t>Hi guys,could you give me, please, some insights on Bermudan Bond Option Valuation.If I have a callable bond that is callable at a discrete number of dates (let's say 6 - e.g. we have a callable bond schedule)how should I account for the option value at the different call dates no matterwhether i...

<t>Dear all,could you give me, please, some insights on Bermudan Bond Option Valuation.If I have a callable bond that is callable at a discrete number of dates (let's say 6 - e.g. we have a callable bond schedule)how should I account for the option value at the different call dates no matterwhether ...