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by zzbool
July 31st, 2006, 5:35 pm
Forum: Programming and Software Forum
Topic: NumeriX Users?
Replies: 4
Views: 102079

NumeriX Users?

PaperCut & JohnLaw,PM me, and we'll talk on numerix librairies. Regards.
by zzbool
May 20th, 2006, 5:23 am
Forum: Programming and Software Forum
Topic: xlwplus
Replies: 151
Views: 152747

xlwplus

I'm going to try it this sunday. I'll let you know my feeling about it.Regards.
by zzbool
February 26th, 2006, 4:30 pm
Forum: Student Forum
Topic: A question on volatility surface
Replies: 15
Views: 120857

A question on volatility surface

Thanks Alan !I'll post it tomorrow when I'll get the informations needed from Bloomberg.Regards.
by zzbool
February 26th, 2006, 2:01 pm
Forum: Student Forum
Topic: A question on volatility surface
Replies: 15
Views: 120857

A question on volatility surface

So, apine & alan, from your experience it's not practically possible for a call & a put with same strike and expiry to have different implied volatilities ?
by zzbool
February 25th, 2006, 6:10 pm
Forum: Student Forum
Topic: A question on volatility surface
Replies: 15
Views: 120857

A question on volatility surface

<t>I do agree with you, tibbar & apine, from a theoritical point of view. But I came to this question, when looking at listed options traded on the DJ EuroStoxx 50 index. I observed that for a put and a call with the same expiry & the same strike, the implied volatility was different (using ...
by zzbool
February 24th, 2006, 1:06 pm
Forum: Student Forum
Topic: A question on volatility surface
Replies: 15
Views: 120857

A question on volatility surface

<t>Hello,Since, in the equity world, the implied volatility is different for a call than for a put (same strike), I was wondering if one should have a call implied volatility surface to calibrate to when it's for pricing an exotic call option (the same holding for a put). Or is it possible from both...
by zzbool
September 27th, 2005, 9:19 pm
Forum: Book And Research Paper Forum
Topic: smile dynamics from Bergomi
Replies: 4
Views: 136393

smile dynamics from Bergomi

Hi Money,Could you send me the Risk paper by Bergomi ?My email address is zzbool@yahoo.frThanks in advance !!Regards.
by zzbool
August 25th, 2005, 6:28 pm
Forum: Programming and Software Forum
Topic: Contract definition language
Replies: 13
Views: 139601

Contract definition language

by zzbool
August 25th, 2005, 6:28 pm
Forum: Programming and Software Forum
Topic: Contract definition language
Replies: 13
Views: 139601

Contract definition language

<t>Roman,another attempt of Contract definition language which has been successful and perhaps more robust than LeXiFi, is the ADEP language developped by Reech which focuses on three building blocks :- instrument definition (payoff, dates, cash flow calendar, ...)- model definition (stochastic vola...
by zzbool
August 5th, 2005, 11:22 am
Forum: General Forum
Topic: What are good books to start learning C++?
Replies: 41
Views: 143905

What are good books to start learning C++?

Steven Prata "C++ primer" is a superb work with everything you need, Eckel's books are very good as well.
by zzbool
August 2nd, 2005, 3:39 pm
Forum: Technical Forum
Topic: software for structured products
Replies: 6
Views: 141106

software for structured products

try Numerix (very good software and very sound team of quants and developers), LeXiFi is another alternative.
by zzbool
August 1st, 2005, 2:25 pm
Forum: Technical Forum
Topic: structured product
Replies: 9
Views: 141409

structured product

It looks like a moutain range option (Everest type). Here's a link to a useful website : http://www.global-derivatives.com. Search for Everest.Regards.
by zzbool
July 31st, 2005, 10:32 am
Forum: Technical Forum
Topic: Vol of Vol
Replies: 8
Views: 142883

Vol of Vol

<t>Hi erstwhile,could you describe in more depth how :- you can calculate the realised vol of realised vol from historical data- you can calculate implied vol of realised vol from the prices of options on volatility or varianceDo you have pdf papers or useful reference showing how to do this ?Thanks...
by zzbool
February 24th, 2005, 3:24 pm
Forum: Technical Forum
Topic: How to convert the price of CDX HY indices to spreads
Replies: 2
Views: 165246

How to convert the price of CDX HY indices to spreads

Hi,I'm currently looking for a way to convert the prices of CDX HY indices which are expressed in terms of bond prices to spreads (which you need to price the CDS on those index). Anyone could help me and explain how to do that ?I really need your help !Regards.
by zzbool
February 21st, 2005, 10:35 am
Forum: Technical Forum
Topic: garmen-kohlhagen
Replies: 12
Views: 164300

garmen-kohlhagen

Hi huopainen,Would you kindly send me that Excel VBA code to estimate implied vol based on RR/butterflies/ATM broker quotes ?My email is zzbool@yahoo.frThanks a ton !!Regards,zzbool.