<r>Hi Alan,I found this... which is along the lines of what I am thinking...<URL url="http://www.fe.ualg.pt/conf/mvm/pdf/DelBrio_Niguez_Perote.pdfThanks"><LINK_TEXT text="www.fe.ualg.pt/conf/mvm/pdf/DelBrio_Nig ... .pdfThanks">www.fe.ualg.pt/conf/mvm/pdf/DelBrio_Niguez_Perote.pdfThanks</LINK_TEXT></...

<t>Hi,I'm looking at using the Gram-Charlier or Edgeworth series to parametrise an almost Gaussian distribution.When applying it to N-dimensions (say 2 dimensions here). How would the expansion work so that it maintains its orthogonal function properties? Ideally, I'd like to overlay a copula functi...

Generally discount each leg off your funding levels.If no CSA then that would be the level at which you can borrow or lend.If you say have a zero threshold CSA with collateral returning an Overnight Index Rate then use an OIS curve for discounting.

<t>Hi,The following gives the right answer but does it make mathematical sense:If I use a central difference perturbation on the outcomes.It gives me the following: -Bump 0.001Bump Up +Bump/2 Underlying_____Probability___Payout * Probability0.0005________0.0625______01.0005________0.25________02.000...

I'd be up for a drink. Where/when?

<t>Hi lenni,I'm guessing slightly here but I thought I would give it a stab.1) Generally banks are short index-index correlation. When pricing most options (particularly basket) banks are going to be short correlation. To be safer on the pricing they will bump up the correlation so that the price ca...

The course got me to where I wanted to be. Having said that its coming up to 11 in Tokyo and this PRD model is beginning to annoy me!

I like your explaination exotiq, as the first moment or the mean is the expected return. Therefore risk then becomes the possibility that an investment's actual return will be different from the expected. The possibility then is measured using probability.

I was thinking of something more generic. May be something like:Risk is the uncertainty on a state or exposure that can change with time.

Hi,Does anyone have a general definition for risk?John

I found this with googlehttp://www.delphiforfun.org/Programs/easter.htm

<t>From what I hear all the large houses that fall under US GAAP are taking this very seriously and are in discusion with the regulators and auditors about the implimentation of adherence to the rules. This looks tricky!The idea behind the rules is the any financial vehicle should be fully transpare...

If you use a function of historical correlation to price the basket then the historical correlations are market observable.

<t>In the real world you take you $1,000 and place a spread bet on you internet account - $100 dollars a point with a stop at $90 with a spread betting company. Then because your sure its such a sure thing you, down at the bar you tell your friends what a great idea your trade is and what a sure thi...

Have a look at Neftci's book "An Introduction to the Mathematics of Financial Derivatives." It has a good, from the ground up approach with plenty of description.