<t>I am trying to come up with a methodlogy to book Quanto Binary Options, using call spreads (C(K-d)-C(k))/d. My question is how do you come up with a "robust" methodlogy for the diferrence of the two strikes used in the calls (i.e. d). I was thinking of using the daily 1 standard deviation, but is...

Is the exposure on Public or Private sector?

<t>Well apparently as of today it's Italy. So here is a nice scenario for Hollywood: Italy is in trouble combined with GR, PT and IR so we have almost 2 trillion debt, which more than 70% is secured by US banks through CDS. US banks for once more are in big trouble, combined with the US debt...thus ...

<t>"They could privatize EUR 300 Billion in assets disposals which is GDP neutral", that is an interesting statement. Just a question, what is the real market value of these assets? You have to take into account that you are dealing with a country that did not adopt "free market" at any point. The b...

<t>Regulated Market! I do not understand how this is going to work!Let' assume that 2 parties want to arrange a transaction (something exotic fitting some risk needs), how can regulation stop these two parties sign this contract Except if the governments are going to take control of everything even ...

<t>I totally agree with Elio! Especially about point on the margins, it is already happening for majors, for the downstream businesses!I have also heard a lot about a commodity bubble, I do not think I will agree with that, as the fundamentals show that the priceswill remain high! Furthermore as com...

<t>Elio could you please justify your answer?Have you seen what is going on? Commodities are big and a wide asset class (metals, energy, agric. ect).I believe in commodities you have more opportunities, especially after deregulation. Currently Hedge Funds and IBs are entering the market.Just think t...

I am interested in a Static hedging strategy for American options. Does anyone have any references?Thank you

Thank you very much gjlipman. Your commnet is very helpful.

<t>I have been offered a position as Quantitative Analyst in a big energy company. I am very much interested in the energy markets, and the role seems very well suited since it includes several tasks such as valuation and hedging (mainly for the purpose of real assets as well as structured products ...

Can someone give me some hint on this please? I would real appreciate it!

<t>Having read the paper by Das, "The Surprice Element: Jumps in Interest Rates", I am concerned about the following; the paper prposes a mean-reverting jump diffusio process for the interest rates, and finds the characteristic function which is used to derive the closed-form solution for moments of...

Anyone?

<t>I am using the Least Squares Monte Carlo method by Longstaff and Schwartz (2001) to price American Options. When estimating the contnuation value by regression at a specific time-step, what happens if the degrees of freedom (number of coefficients need to be estimated) is larger than the observab...

<t>I have just started my job hunting, as i am very close in submitting my PhD in Energy Derivatives Pricing. My main interest is to work as a derivatives structurer. However I recieved a phone call from a head hunter, who said that a bank would like to consider me for a Market risk equity and fund ...