Hi,As you know, Bruno Dupire formula for local volatility for Equities indexes still works since we are in flat risk free rates, but Did Anyone know how to deal with Local volatility model in the presence of stochastic interest rates?Thanks

Thanks

thank u Defund,Basically, the option call is on a Guaranteed dynamic monetary Fund (Not a Hedge Fund)?thank you

<t>Hi,Assume we have to price an option on Fund using Monte Carlo method.My question : is'it right to take the dynamic of the Fund lognormal (under the risk neutral Probability)? if not what is then the market standars to price this option using Monte Carlo simulations? and what volatility one shoul...

<t>Hi,I have read the paper of Carol Alexandre 2 months ago, the method of minimum variance hedge is in theory quite interesting but it seems to be computationally too expensive.But I heard that some desks used another way to deal with the issue of incompletness of the market: but realy i didn't und...

Derivative Securities and Difference MethodsSeries : Springer Finance Zhu, You-lan, Wu, Xiaonan, Chern, I-Liang2004, XVIII, 513 p. 92 illus., HardcoverISBN: 0-387-20842-9 Table Of contentsSample OneSample Two

that's right

Hello Can you suggest me any subject about CDO’s and correlation product for a PHD thesis?Thanks