<t>The way you would usually price a European swaption is by assuming that the underlying "spot" swap rate is lognormal and use BS. In your case, the underlying swap rate is a forward starting swap that can be written as a weighted average of two spot swap rates S_1 and S_2 (the 9m rate and the 9m+5...

You missed the squirrel part....that's my sensitive side.Anyway.....

Great reference N...I believe that you are thinking about "The Final Countdown"....excellent movie !

Here is a question:What do people mean by "instantaneous volatility" when the term is used in the context of vols that are bootsrapped from the implied vols ???Thankszq

<t>Sometimes "asset swap packages" include the swap and the bond transaction. If the bonds dirty price is not 100% and the swap's notional equals the face amount of the bond (so that the structured leg of the swap replicates the coupon cashflows on the bond) then the swap will not have 0 NPV. This i...

<t>For the first (assuming that the range of integration allows it) you can set x=(sin y)^2. Then you are left with factor*(sin y)^3*(cos y)^17. Write (sin y)^3 as (sin y)^2 * (sin y) and use (sin y)^2 = 1 - (cos y)^2. Now all you have are two terms that look like (sin y) (cos y)^n, which you just i...

<t>TARN stands for TARGET ACCUMULATION REDEMPTION NOTE.Very popular nowadays. In short, if the sum of the coupons received on the note reaches a "lifetime cap", the note redeems at par. Very popular is the inverse floater version of this instrument. Example: Say Lifetime cap = 12.5% and one gets a n...

I work in a bar at night....you know....to make ends meet.... After a few drinks, things are getting clearer and +s have turned into -s giving the limit as:(9/2)log(3)-6log(2)

ok, I propose(9/2) log(3) -3 +2 log(2)

The multiple of log 3 should be obtained from going from1/(x+y+z) to log(x+y+1) to (x+2) log(x+2) to u^2/2 log(u) where u=3so it should be 9/2

The limit equals the integral of 1/(x+y+z) over the cube 0< x,y,z<1. Use iterated integration and the usual primitives for the functions of the form u^n log(u) (e.g. log(u) --> u log(u)-u etc)....i ran out of napkins....

Not just that, but at a given point in time not too long ago, the bund was 114.58 while EUR/USD was 1.1458.... (possibly different numbers but you get the point)I am publishing a paper about this relationship and how to profit massively from it.

ok. that's a start.What about quant work in those high tech HF compared to quant in an IB ? How about prop trading ? pros and cons ? I am more interested in personal experiences than a technical definition of the difference!

Working for an Investment Bank vs working for a Hedge Fund ?Not very precise, but I am interested in your thoughts/personal experience.

<t>E.T.......phone home......E.T. telefono a la casa...... E.T. appel maison.....rayon = french for radius (there is a chocolate bar called "rayon" as well, but that's another story)You guys don't agree with the definition of a half circle. For Beavis it includes the "diameter" while for rod+ (e.g. ...