PRDC is kind of yen carry trade using rates diff in jpy and usd for example. If usdjpy appreciate there's more chance dealers call this structure. So dealers are long vega at high strike usdjpy.

<t>I am afraid we can only use PDE scheme to price 'path-dependent' claims only in a simplified situation. Is it doable to use PDE in case there's more than 3 dimensions?In 1F BGM or HJM world, yes I think we can add one more state variable which represents a path depedency to price callable options...

<t>So in practice, traders first choose the 'beta' parameter, and this is more stable than other three parameters required for your calibration. 'beta' is important as it decides the backbone of vol-surface dynamics. If you have a wrong beta, then even when you have a very good quality calibration, ...

<t>Let's say you pay x% coupon as long as index (e.g. LIBOR) remains in the pre-specified range. For sake of understanding you can replicate this payoff by entering underlying swap + digital floorlet (lower barrier) + digital caplet (upper barrier). Of course, this should be daily digital which is d...

Most of time, dealers are buying high striked 'daily digital caplets or floorlets' which is settled on every coupon date in exchange of higher cpn, and as you know digitals are risk reversal products.

<t>This is what I did not know, just curious what if his or her first job is out of states after getting advanced degree from US, is this still applicable for this quota?one more question is how long does it take to get a work permit after getting married to US citizenship holder? No one is giving m...

<t>Many times interviews for derivatives and exotic trading start with binary option.Pricing and greeks of this most basic exotics should be revisited before having an interview.Also typically impacts of all the parameters of short-rate models for the pricing of IR derivertives,and sometimes it goes...

Barclays has its derivatives trading team in Singapore, and I think Deutsche has its credit trading team there as well.

<t>Hi! knockwoodSorry for late reply.Yes, having Ph.D is an advantage.I've seen a few former students with Ph.D or some finished Ph.D coursework but did not complete it.As long as I know, in the job market some department is looking foronly Ph.D holders as potential employer. So it works.But why don...

<t>I am currently in NYU math fin.Last year, among the 17-18 (ours is a relatively small size) all graduatessecured full time jobs before graduation (maybe except one student, I am not quite sure)As long as I remember, 3 went for Merrill, 2 went for Goldman, 1 citigroup, some for other i-bankand som...