Seems like you don't know how to read. Did you actually bother to look at the product specification in the original document?Nice picture, btw.

<t>As someone who has had this "product" suddenly foisted on their desk, I have to ask:1) Who the hell thought this garbage up?and 2) Do they really trade this shit? Liquidly?I mean, god love the Brazilians, but this product is utter nonsense. It's a bureaucrat's wet dream. I was watching Brazil the...

I'm guessing the case you mean is when you have a vanilla swap market CSA'd in a different currency. As far as curve building goes, you'll have to calibrate your XCCY basis swap market and vanilla swap market together to generate the discount and Libor curves.

<t>While there is indeed a theoretical distinction between the forward curves for different funding settings (eg, that Fujii paper mentions the forward curve will be different when using XCCY basis swaps for funding, but then turns around and says in practice it's not much different from the OIS cas...

Note : the K_i terms in the equation are the option rebate values and I always calculate the continuation values using sub-simulations.

<t> Frankly I'm a little surprised there hasn't been more written on this topic. As a market practitioner, I consider being able to calculate both upper and lower bounds on callable Bermudans a tremendous advantage, especially for situations where the product is so exotic there is no clear set of re...

<t>Hi Mark,I recently found this paper and am now to implement it in a LMM framework for pricing callable derivatives - I noticed from a recent article you wrote with Christopher Beveridge that you've been able to incorporate this method into the valuation of path-dependent IR derivatives - very enc...

<t>I think the answer is: not much. Many stoch vol models include parameters which control smile and skew separately, and we can often play with these to get an arbitrary correlation number (say zero) for roughly the same smile shape. Here I´m thinking of a "simple" (driftless, const parameters) sto...

get rich or die tryin´

<t>QuoteWho cares? Move on. Have a life.Yes, but I want to be a complete and excellent quant, you see.And there´s nothing - absolutely nothing - wrong with bullshit if it´sinteresting bullshit, if it´s a ring of truth and wisdom bullshit, full ofsound and fury, quantifying nothing... Hidey ho!(btw, ...

<t>A recent post by an illustrious member of Wilmott described a harrowing story of intellectual fortitude in the face of an impossible deadline. And it got me thinking (usually a dangerous prospect, but nevertheless!): I would love to hear more stories like this. I have been amused and enlightened ...

Quote Do you have a reference to that paper? thx.It´s available on his NYU page here

<t>QuoteBTW which methods are u using for baskets? I´m currently testing out a Riemann manifold approach (similar approachto an Avellaneda paper from a few years back, but with time-dependencyin the vols) to get an asymptotic expression for basket volatility, using local vol MC to test the results. ...