Thanks anyway...

<t>Hello guys, I'm asked to set up a simple valuation system to check prices (we don't have positions..) for vanilla products (swaps, calls, puts and collars) on LME metals. The aim is only to identificate very cheap or expensive quotes from counterparts and to produce very indicative numbers oursel...

...just to add: in don't know about the statistical properties of the regression with the lambda.... Does the parameter estimates are statistically consistents or not..... anybody can help ? ThanksGF

<t>Hello, i'm studying a bit the subject of stat arbitrage, and i was wondering if anybody of you knows/uses the concept above for trading... what i mean is: in the classical Engle-Granger framework you fit a regression among non stationary regressors (prices), if residuals are stationary you have c...

...probably the question is really silly, no answer is more than an answer....

<t>Hello guys,sorry in advance if same question has been posted already, from a quick search seems not. I use Heston-type model to quote cliquets on a regular basis (several maturities). The question is: how to define a proper bid-ask spread ? I mean, i get a mid price and a I have to quote an offer...

<t>Hi guys, sorry to jump into an old post, but i would like to know your point of view on this. I'm trading equity derivatives and we would like to add some cliquet type products (potentially without local floor but with global floor, for example annual performance collared to -100%, +5%, sum floor...

QuoteOriginally posted by: IcecloudS. Das' book for starters...Thanks. Can you give me the full title ?GF

Hello guyscan anybody suggest a good book on structuring interest rates derivatives ? I mean, not a quant book, more a recipes book on using existing pricing models and live examples of trades (and how to hedge them). Thanks a lot in advanceGammaflat

<t>Basically this one of Brigo and Morini is a somewhat different algorithm. It is similar in spirit to the cascade calibration of brigo and mercurio, but takes into account that some of the maturities are missing, rather than making some usual replacement. It seems it can avoid the problems of nega...

<t>Hi Jim, i arrive pretty late on this issue. I'm currently evaluating Calypso ED + Developer unit. The idea is to integrate Calypso to ORC Trader (used for vanilla products), in order to have a unique data maintainance, and to develop exotic multiasset products in Calypso. We are a relatively smal...

Huau !! Can I have a copy too.... many thanks.Gammaflatinfo@exoticderivatives.com

<t>Sorry to jump in this thread pretty late, i would just post some thoughts and have your comments.I know about cointegration from the forum and I have 2 questions:- i understand that a cointegrated linear comb of variables is stationary I(0): i think we speak about a second-order stationarity. If ...

thanks daveangel i'll think about it. have a nice day.GF

<t>Hello guys,I was considering hedging a quanto option on a basket of indeces, and I don't understand fully the process.I already went throught the other threads in the forum, but seems to me that more the pricing has been considered (in case I missed the right one, please send me to it). Let's tak...