<t>In South Africa, there is fairly little corporate debt. Hence ratings and credit spreads are a complete mystery. Historically the corporates have raised money by outright borrowing rather than debt issue. There is a big swing now to convertible bond issues (you should include that in your analysi...

<t>I've got a great idea. Why don't you submit your book for publication, get it accepted, and then tell them, sorry no, I don't want to publish? And then please scan and post here the letter of acceptance from the publisher. Then we will start to take you seriously. And you get to keep your intelle...

I you are using the uniform random number generator in microsoft (=rand() or rnd()), that may be one of your major problems. IT SUCKS. Use pseudo random numbers, such as Sobol sequences, instead. There is free stuff on the internet for Sobol. Quantlib and BRODA aretwo examples.

<t>there is a thread about this already on this forum, I think "short rebate in convertible bonds" or something like that. Essentially, you can prove (it isn't so easy, and it is true for all models, not just cbs) that you can plug in the cost of borrowing stock as a dividend yield into your model a...

<t>QuoteOriginally posted by: jamesxuNobody mentioned the implied tree(also called implied volatility function, local volatility model).Some people told me that the implied tree is a popular model among traders for valuing exotic options. Is that tree?Any comments about the implied tree?Implied tree...

<t>To add some comments: a VaR limit is a limit which 'should' be exceeded occasionally. For example, one should expect a 95% VaR limit to be breached about once a month. Such a breach in itself should not be seen as a major problem (although often it is). But two other problems can arise1. the loss...

<t>In my opinion, especially if you coming from a software background and are going to be continuing programming stuff, is to become the master of the Crank-Nicholson method. Some might laugh at how specific I am being here, but I think it is better to be a genius at something than master of everyth...

<t>As you seem to be yourself aware, you are on muddy groud. Normally the cosine type formula you have quoted is used to find implied correlations, given all three volatilities. Even this is a bit dubious because1. of the skew2. correlation per se is a dubious concept.So, as far as I am aware, your ...

<t>I was initially going to post that you are in the wrong forum, but perhaps not. It might be a matter of opinion.Your implementations are not exactly the same. You have IF conditions which are computationally completely different. Their only common feature is that they are uncommented. Your if con...

<t>How can it be hoped to cover this material with "little math and statistics knowledge" in "one week"? To do a proper job, more like an undergraduate degree in a (serious) maths subject (you know, maths/applied maths/physics) and a year. Unfortunately, it is common to see courses which are less am...

Drezner;s method is actually problematic and has some 'patches' of inputs where the results are demonstably well off. For a nice survery and better methods, go to Alan Genz' webpage at the University of Washington.

QuoteOriginally posted by: nsandeI think I got it.N's real name has to be Bogdanov.Regards,NiclasNo. There are still genuine academics who believe that the Bs are not necessarily B.S.

<t>QuoteOriginally posted by: NLet me see if I have this correct --You AVt, Graeme, Diestel, Dunford and Schwartz, John B. Conway, Edmunds and Evans, Halmos, Akhiezer and Glazman, and Lindenstrauss and Tzafriri think that banach space is simply a linear vector space???No. We are asserting that a Ban...

<t>er ... mkay .... Let's see....Diestel, Dunford and Schwartz, John B. Conway, Edmunds and Evans, Halmos, Akhiezer and Glazman, and Lindenstrauss and Tzafriri are in my corner on this one. Don't know who is in your corner. Of course, if needed I'll rope some other WMDs in from the university librar...

<t>QuoteFirst, banach space is not a linear vector space unless the p-norm is 2 (Hilbert Space). Banach space is not a complete vector space (unless it's also a hilbert space) since all points are not accessable. I can only imagine that your post has somehow been mucked up. A Banach space by definit...