Find the analytical solution in:http://www.wilmott.com/pdfs/020310_skachkov.pdf

<t>"... there are two good things in life, freedom of thought and freedom of action.In France you get freedom of action: you can do what you like and nobody bothers, but you must think like everybody else. In Germany you must do what everybody else does, but you may think as you choose. They’re both...

<t>QuoteOriginally posted by: aptenodyteDoes anyone know how to calculate the correlation of two portfolios directly from the covariance matrix?i.e. if I have a CAPM model r(i) = B(i)*mkt+e(i) which gives me cov matrix C when B(i) and sigma(i) are known or estimatedhow would I calculate the correlat...

<r>Couple of days ago I downloaded the paper M.Richter&C.Sorensen "Stochastic Volatility and Seasonality in Commodity Futures and Options : The Case of Soybeans", 2000. This is a generalization of a Schwartz (1997) model <URL url="http://www.nek.lu.se/ryde/wsef/Richter.pdf">http://www.nek.lu.se/...

Watched 10 series Idiot, 2003 (dir. Vladimir Bortko, Myshkin- Evgeny Mironov). Definitely the best movie after Dostoevsky and might be better than the novel. English subtitles has nothing to do with Dostoevsky's language, but if you read (reread) the novel first - you will enjoy it.

The Piano is among my favorite films: the actors, Nyman's music and the permanent rain - everything is outstanding, The Piano Teacher is better than the book, The Pianist is made to win awards - too politically correct.

I cannot see any problems. The similarity between quantos and options on stocks with dividends would hold for barrier options.

You got it

Hey guys, did you really take a look at the paper?The only conclusion that can be made from their analysis is that the random generator they used is very bad.

also 9/10, and ed gein again

Quote I recommend Nabokov's preface to English edition of "Lolita" for discussion of relative advantages of Russian and English. There hardly ever was anyone more qualified to judge that then him.You mean Russian edition, don't you?Originally Lolita was written in English.

QuoteContemplating a career change, zerdna? It's not so easy If zerdna has an experience in relations with clients it shouldn't be a problem - pussycats instead of fat cats.

<r>QuoteOriginally posted by: FDAXHunterWell, I deal more with 6 sigma moves than 6 sigma people, but I personally think that all this MBA bullshit is totally opposed to doing clean, efficient business. For one thing, I completely agree with you that their good points are common sense anyway and the...

<r>I mean "Derivatives" that is always on my desk. PWQF is the extension of this book. If you want to learn about the methods of PDE solutions the differences are not important. Sorry, I don't remember what is in 'Mathematics for financial derivatives' For more systematic approach follow elan's reco...

The immortal classic isH.S. Carslaw & J.C. Jaeger, Codduction of Heat in Solids.for American options see also J. Crank, Free and Moving Boundary Problems.In Finance PW is the best.