<t>It's all in the 1st book Almost civil war, anarchy, money printing, breakdown of civil society. I'm paraphrasing, but these quotes just stuck with me:- better a prostitute in the family than dead children (ie, that was the only way to prevent your family from starving)- a middle aged man, bachelo...

<t>A bit longer than the 20 pages you are requesting, but I can really recommend the factual "When Money Dies: The Nightmare of the Weimar Hyper-Inflation" by Adam Fergusson. I read it in less than a day.For a more personal account of how 1 family lived through the ensuing economic collapse, "Little...

<t>Pleasure.Yes - the ISK devaluation will affect your sample skewness and kurtosis estimates. In my experience, there is no one right or wrong way to handle such circumstances. The data is what it is, but how representative it is of the future is unknown. You might wish to calculate the skew/kurtos...

<t>Quick follow-up: I recall from the literature review for my research, that several researchers found that skewness and kurtosis are present in daily currency returns, but decay to (almost) 0 and 3 respectively over 1- to 6-months (depending on the currency pair). Consequently one can justify usin...

<r>Lunch is a good idea - make sure the traders pay Welcome, glad you are finding the site useful - it's been enormously helpful for me.If you have the time (which I realise may be limited when writing a thesis), I would suggest using the GARCH or AR-GARCH model and the GBM. Reason being: as you hav...

<t>I understand from several FXO traders that one generally needs to account for the actual time remaining - in hours - when maturities are shorter than 1 week. I would suggest pricing some options - across a wide range of deltas and vols - to quantify the price differences when using 24- and 30-hou...

Hi,You may need to add the full path of both notepad and your simple.cpp file, eg, something like: C:\WINDOWS\notepad.exe C:\simple.cppHope this helps

Hi,Have you seen http://www.damianobrigo.it/basketkli.pdf?The authors find an analytical (approximation to the) price of a basket option with time-depedant vols and continuous dividend (ie, foreign interest rate).

Hi,Can you build quantlib into a .lib file, and then link your dll against that?Otherwise you *could* (though you may not want to) ship the quantlib dll's with your dll ...

Hi,You may find the information about creating/using static libraries at http://msdn.microsoft.com/en-us/library/ms235627.aspx very useful. There's a similar article for using dll's.

Hi,Have you tried www.lbma.org.uk?You may have to search for the exact answers you want.

Depends what you want to do professionally ... for fund management it seems *the* qualification to have.

Hi,Does this fragment"while (retval.weekday() == 1 || retval.weekday() == 7 "refer to weekends of Saturdays and Sundays?If so, and if your code will be used in the Middle East, you may need to allow a flexible definition of the weekend days, eg, Friday and Saturday.

<r>Hi,If you can get hold of it, "Understanding Sam" by Sang Baum Kang and Mark Klein is quite good - it's at <URL url="http://www.eprm.com/public/showPage.html?page=erisk_archive&edition=2005-09"><LINK_TEXT text="http://www.eprm.com/public/showPage.htm ... on=2005-09">http://www.eprm.com/public...

<t>Hi,Yes, I would say you should ... because typically the vol of longer-dated futures contracts tends to be lower than shorter-dated futures contracts (by vol, I mean both ATM option vols as well as historic vol of futures contracts). I have seen this for natural gas futures (and nat gas futures o...