<r>The SFE has listed flat/base options on futures for each of the NEM regions SA1, NSW1, QLD1, VIC1 in the Australian market, see for examplehttp://d-cyphatrade.com.au/market_options#ANfor prices.The options are on calendar year strips of the underlying futures contract, so for example, if you buy ...

Can someone point me to a pdf somewhere on the web of Lieu 1990 "Option Pricing with Futures-Style Margining" Journal of Futures Markets, 10 Thanks,Tony

<t>Hi AlanThanks for the reply and pointing out what I wrote was confusing, I think it was plain wrong. So here's my attempt to write it clearly.I want to calculate VaR using historic sampling. For swaps/forwards/spot we create the return for each underlying from day t to day t+1 in the past over th...

<t>Hi,Suppose I want to calculate VaR using historical returns and prices with a portfolio that has options.What volatility should I use for the option valuations?? Should I use the implied volatility from the same day that the foward/spot and interest rate were taken??ie..my time series I am sampli...

<r>Hi,I am interested in learning what data is available on Reuters and Bloomberg (I don't have access to either) for Swaptions and Caps/Floor on Australian interest rates. What is available? Swaptions * ATM vols (what maturities and tenors are available?) * Non ATM prices (unsure of what would be a...

<t>Hi,I have seen in Mercurio & Brigo's book that there is a double integral solution to the price of a swaption when using the G2++ model, I am aware that they also give a mapping from their G2++ model to the 2 factor Hull White model. But can someone point out to me any papers/books that devel...

Thanks for that secret2.Cheers,Tony

<t>Hi,I am trying to implement Brigo and Mercurio's G2++ model and want to reproduce the results they have on p167 (In the 3rd column of the table),for this I need the zero curve. The zero curve they used in the example is only given as a chart - Figure 1.1 (if I have missed it as a table in the tex...

<r>Hi,There is an approximation to the standard deviation of the error in P&L when delta hedging a call or put in the Black Scholes world that is a function of how many times you rehedge and vegahttp://<URL url="http://www.ederman.com/new/docs/risk-non_continuous_hedge.pdfIs"><LINK_TEXT text="ww...

<t>Anyone seen this book yetNumerical Solutions of Time-Dependent Advection-Diffusion-Reaction Equationsby Willem Hundsdorfer, Jan G. VerwerHardcover: 500 pages ; Dimensions (in inches): 1.25 x 9.25 x 6.25 Publisher: Springer Verlag; (November 15, 2003) ISBN: 3540034404If so...what are your thoughts...

QuoteOriginally posted by: Waxman100HiDoes anyone know how to differentiate with respect to t of:Y(t)=exp^[-a*ln(1-bt)]Any help appreciated!!Do you know the "chain rule"? I suggest you have a look at it.

QuoteOriginally posted by: mjno, my book of course (which isn't out yet)What are the details of the book? is there a table of contents somewhere and expected time when it will be released??CheersTony

<t>QuoteOriginally posted by: nthanachexactly Johnny, I'm very new on this areadH = - dC + delta dS .....................3dC = C_sdS + 0.5C_ss(ds)^2 + C_tdt..............4substitute dC into eq.3 and lets delta equal to CsrHdt = -0.5C_ssW^2S^2dt - C_tdt .......................5Could u please explain ...

<t>I am looking in "Mathematical Methods for Foreign Exchange" by Alexander Lipton, p 377. I have a question about the derivation of one of the boundary conditions, he says that for v -> infinity we need to have all the terms proportional to v to disappear,C_t - .5vS^2C_SS - epsilon rho v S C_Sv - ....

<t>QuoteOriginally posted by: dgn2I recently have found the need for scientific computing, but do not really have access to any prototyping tools (like Matlab) in my current position. FORTRAN appears to have some of the functionality and it is on our SUN boxes but I have no idea how to use it (and i...