<t>I see... and thank you for the answer.There is however another issue :In your paper dealing with corridor variance swaps, you've considered corridors on future prices. How can we extend your results when the range is applied to the spot (which is the case for traded corridors on equities) and rat...

<t>Very nice... And what about the numerical implementation of such an approach ? I guess it is based on some Dynamic Progamming (and HJB equation and....) I have another question : why do ITO33 minimize the variance when other risk measures seem more appropriate ? is it for some"tractability" reaso...

<t>Peter,Do you know if someone has extended your work for corridor VOLATILITY swaps paying :sqrt(Var_In/Nb_In) * Nb_In/Nb_Total * Nominalwhere Var_In is the variance within the corridor (as defined in your paper "Corridor Variance Swaps")Nb_In : number of observations within the corridorNb_Total : ...

I am also looking for the paper...islington seems to have it.Islington, could you please post it.

Hi,Do you know if there closed formulas for calls on down-and-out calls ?Thanks a lot

I would write it : Kirill IlinskiThe paper's title is, I think, "Pricing Credit from Equity Options"

Actually, the model has been implemented within our decision-making system. Unfortunately, it is too integrated to be delivered without the whole package !

<t>Yes, I know this paper and even tried it. Results are encouraging but not sufficient from my point of view. Hull’s paper simply “extrapolates” the leverage/elasticity relationship of Merton’s model but without any arbitrage / relative-value justifications.That’s why I am looking for Ilinski’s pap...

I am presently working on relationships between credit spreads and volatility skew.Bibliography on the subject is very limited.Any one knows how to get papers written by Kirill Ilinski of JP Morgan? speciallyto the one titled "Pricing Credit from Equity Options" (2003) ?

<t>Hi All,Is there an appropriate way to choose the call strike of a risk reversal?Actually, my purpose is simply to play the ATM vol and the skew as purely as possible. The modified risk reversal is constructed in such a way that it has zero gamma. The stock is used in order to get a zero delta.RR ...

<t>DoubleSix,Do you mean that the vol correction should be different at each node? Even a flat vol will thus induce a grid with a variable local vol...Could someone please send me a copy of the paper mentioned above:Andersen, L. B. G and Brotherton-Ratcliffe, R. (1998). Theequity option volatility s...

Eh guys… no answer to my silly interrogations????

<t>Forde,Thank you for your answer. But my n is variable (I should use n_t = Gamma_p(,Vp)/Gamma_c(t,Vc)). The portfolio is adjusted dynamically in order to keep zero gamma at each t ??!!In fact the P&L variation is:dPL = - Gamma_p * S^2 * (sigma_t^2 - Vp^2) * dt + n_t * Gamma_c * S^2 * (sigma_t^...

<t>I agree that the P&L of delta hedging at constant vol is Int_0^T 0.5*Gamma(v0) *S^2 *(sigma_t^2-V0^2)Where sigma_t is the realized vol, V0 is the constant implied vol.The implied vol is such that the P&L has a zero expectation (but under which probability, the risk-neutral one?)What seems...

Forde,I am interested in the paper you mentioned below (proving the vega P&L when the hedge is done at the current implied vol).What is the title of the paper ? Is it available somewhere ?Thanks a lot