There are some references here: http://www.geocities.com/anan2999/

<t>May be it's a problem of notation but I don't see where is dependence on Z (or equivalently Y) in your last expression. In general, it should be Proba(X-Z>0) = where fxz(x,z) - joint density function.If you model your CMS rates as lognormal, then defining x'=X(T)/X(0), y'=Y(T)/Y(0), you'll get fx...

Now even my 2006 messages have disappeared. Administrator, can you help please?Thanks,Olya.

QuotePre-2006 Private Messages have been archived. Access to these will be made available shortly. Have Pre-2006 Private Messages been made available again? I still can't see mine

<t>QuoteOriginally posted by: OdusseusWell, London pubs are mostly populated by Brits!I wouldn't say this about pubs at Canary Wharf or City.Needaclue,For a detailed New York vs London comparison look here:Topic Title: salary for a quant w 2-3 years experienceCreated On Sun Feb 13, 05 07:39 PM There...

What was this "simple Bermudan structure" and Bloomberg's figure? I'd be interested to compare with what I can get with our models.

QuoteOriginally posted by: CuchulainnQuoteThe langauge that has an accent almost as strong and easy to recognize as the French one Ya panimiaoeh en znaioeh ? Pravda?Pravda

QuoteOriginally posted by: CuchulainnOlya,What's your first language?The langauge that has an accent almost as strong and easy to recognize as the French one (Probably I should add that we also have as strong mathematics school as French not to be mistaken with Italian ).

QuoteOriginally posted by: DCFCQF may be the only profession where a strong French accent is an advantage.I'll print this in capital letters and put it in a frame on my desk

<t>QuoteOriginally posted by: migalleyQuoteOriginally posted by: INFIDELWhat I'm worried about is the likelihood that a 99.99% VaR is extremely precise but entirely inaccurate.Do financial firms actually ever go for such precision when dealing with VaR???What I've seen being used: 99% VaR based on 3...

<t>It is maximum Expected utility. I wonder how would you use Solver to find it...It should be not so complicated to find analytic solution in this case. For 2 assets when one of them is risk-free and assuming power utility function (U(w)=w^p/p) the answer is: c=(mu-r)/(sigma^2*(1-p)), where c is a ...

What exactly are you interested in: quants, structures, traders or sales? Have you already had interview with them or just plan to apply?

<t>Bjork's "Arbitrage Theory in Continuous Time" (1998), Chapter 14 is an introduction to stochastic optimal control.P.14.7 is about Mutual Fund Theorems and considers cases with n assets (with and without risk free one).It is based on Merton (1971) work - he did it in case of more than 2 assets too...

<t>QuoteOriginally posted by: gcA Russian bank is using the Spectrum for their pricing ??? Wow!!!! gcIt wasn't Russian who said he was using Spectrum. And most matematically oriented Russians don't work for Russian banks anyway (There you should have other skills to do well).It's a pity I studied on...

What does this "redeemer" feature exactly mean for PRDs?What is it used for?Thanks,Olya.