<t>The terms 'dual' and 'duality' are used in many contexts with different meanings. In this case, I believe 'duality' is to be understood in the context of optimization. Pricing of American or Bermudan options can be restated as an optimal stopping problem, i.e. finding an exercise strategy that ma...

<t>For exotics, the main points in a "perfect" yield curve model are:1. Multi-factor dynamics2. Volatility smile modeliing for vanillas3. Correct autocorrelation structure4. Arbitrage-free dynamics5. Consistency with models for vanillasThis must be balanced againsta. Quick and accurate calibrationb....

<t>QuoteOriginally posted by: NikeI use ATM swaption vols and I assume that for pricing CMS swap with no optionalities (simple swap: receiving 30year CMS and paying Euribor+spread for 15 years) this shouldn't be too wrong, since for 5 year CMS observed within 10 years the adjustment works pretty wel...

<t>An obvious difficulty in using convexity adjustment formulas for CMS products is how to incorporate volatility smile (i.e. which volatility is to be used. ATM volatility ? Some smile-adjusted volatility ?). CMS caplets (floorlets) can replicated by a string of cash settled swaptions with the same...

<t>The problem has also been studied in the context of optimization subject to chance constraints. Such problems lead to calculation of multivariate integrals over regions specified by linear-affine constraints. Such problems are notoriously intractable. A couple of hungarian scientist have tried to...

<t>The problem seems to be related to Hilbert matrices (a Hilbert matrices being a matrix with entries a_ij = 1/(i+j-1). Hilbert matrices are known to be positive-definite, but very ill-conditioned. The proof of semi-definiteness is a corrollary of the following general theorem (f I remember it corr...

<t>QuoteOriginally posted by: rishisharmawhere can I look for this paper I tried the searc on the site as well as google or could you give the title of the paper and let me know whether decision variables like coupon rate , term to maturity nd yield are correct parameters for the modelling.You didn'...

Graduate student to Stavros Zenios : "Is Zenios a common name in Cyprus" (Stavros is from Cyprus)Stavros : "In my family, yes!"

Dudes, you're doing homework here, aren't you?

Out of curiosity, does the potential benefits of posting the same question on two forums outweigh the drawbacks, i.e. the risk of getting banned, the disgrace and the need for changing name ?

<t>A possible use of Fortran written code is the vast number of numerical algorithms written in Fortran, e.g. for optimization, linear algebra etc. The f2c converter can be used for converting Fortran code into C code that is hardly readable but likely to compile on a number of C compilers.It is of ...

<t>If you haven't done a search on this forum yet (and were too lazy to do the same on Google using sensible search terms) you might be able to find some hints on Barclays website for inflation-linked products. Most of the site has restricted access, but you might be interested in the conference par...

<t>nmaughan,why are you so keen on analytical formalae for the greeks ? Analytical formulae might admittedly be better for getting overview of the behaviour of greeks over a large interval, or when underlyings change, but e.g. for interest rate options analytical delta is computed with respect to ch...

<t>Mandelbrot was not eligible for the Fields medal, since it is a criteria that the medallist be at most 40 years old (or the medal should be awarded for work carried out or published before the age of 40). Of course, this is a relaxation of Albert Einsteins claim that a genius should be proven as ...

<t>A cancellable swap can be structured as a standard swap and a bermuda swaption (such that the embedded swaps in the bermudan cancels the flow on the plain swap). Pricing of Bermudan swaptions is discussed in many threads on this forum, in particular those that deal with BGM/Libor Market models. <...