<t>QuoteOriginally posted by: bigbenny2010QuoteOriginally posted by: quantmehQuoteOriginally posted by: bigbenny2010what I mean "quant trading" is automatique trading (High freq. or Middle freq). Maybe the word is confusing, sorry for misleading.QuoteOriginally posted by: HansiSo the only non-quant ...

Is it a long-short strategy or just long-only?

pls see the attachment for the copy of "Changes of Numeraire, Changes of Probability Measure and Option Pricing"

<t>QuoteOriginally posted by: CuchulainnYou mean in general or FDM in particular? I have done two barriers and is it OK except we know that Crank Nicolson can produce a spurious spike at the barrier but we use a robuster marching scheme. Below is an early article on barriers that you might be intere...

Thanks a lot ppauper! You made my day

Hi I am looking for the following article:Kunitomo, Ikeda (1992). "Pricing Options with Curved Boundaries." Mathematical Finance, Vol. 2, No. 4, pp. 275Many thanks.

Just to bring this topic to life, any progress in skew swap replication recently?Thanks.

If you could take a little effort to search the forum, you would find this.

no. I mean by locking in the implied vol spread wrt moneyness (or strike), you are actually trading the corr skew. Maybe that is overkill.

Is there any way to trade the correlation skew there?Just a thought.

Does the corr skew exist in the equity dispersion trading as well?

<t>QuoteOriginally posted by: JabbabEl Karoui, N. & Quenez, M.C. (1995) Dynamic programming and the pricing of contingent claims in incomplete markets, SIAM Journal of Control and Optimization, Vol 33, No 1, 29--66. What is your opinion about it ?check out the paper here. Also give a 30sec wait....

Hope this could be of some help. *Edit: If you dont see the attached file, try on this. Wait for 30 sec before the "download" signal turns up.

I guess at this time most students are just finishing their finals and taking the short break before the summer school starts. It would be great if you could come back again in the fall.