Florian, the G1 parameters are no problem. Of the remaining params, one can calibrate only a subset of the parameters to Heston's option formula.So, two parameters namely Eq-IR correlation and Vol-IR correlation remain uncalibrated to market data. That's the problem.

<t>I have the following problem regarding Equity-IR hybrid correlation and I would greatly appreciate any input/insight Instrument to price: a long-term equity option with stochastic IR. Model : We have Heston for EQ and a one-factor normal model for IR (G1 as in Brigo-Mercurio; to be specific). So,...

I would like to know if and how this forum has helped people with their careers . I am sure it has and would like to have suggestions about how to use this forum optimally. best wishes

hi eric..... would like to ask you about certain things. would it be OK to "pm" you?best wishes

i have a question for you, exotiq (or any other experienced quant): is game theory used for any practical modelling and simulation by the finance industry?thank you

hmm.....no reply....what can i say?

hi guys and gals..... would appreciate if you could provide some info regarding the current hiring scene for quants at the entry position. would also appreciate if you could provide some estimate for the future (in 1-2 years' time) scene.thanks and regards

<t>yeah..aaron...me too....i also expected something abouth the king of prussia..i am a big fan actually. anyways.....ended up learning about friedrich hayek...and yes, i did not know about hayek....how many of guys heard about leo kleinrock?...just trying to say that there are ppl with different ba...

<t>the original problem is definitely asinine...however if you say that N pounds are spent by using 10 pence and 20 pence, this problem does transform to the bunny problem; discussed recently in this section.nodoubts, for proving this is fibonacci, you may want to try induction. this is the second t...

<t>guys....thanks for the SERIOUS replies. sorry for the delay in following up......i have a few questions: 1. Arnheim--> you said quants do not make much money. what ranege are you talking about? [is anything less than 200K peanuts for you? ]2. Rob--> can you elaborate on the scope for model valida...

just wanted to add that my dissertation involves a lot of modelling using game theory.thanks

<t>hi guys and gals....i will not waste your time and state my problem rightaway: my qualifications: 1. undergrad in enginnering from India's top school2. doing ph. d. in comp. sc. from an OK school in US3. zero or next to zero knowledge about finance at this point but taking a fin. math. course thi...

<t>guys i am a new member and was kinda browsing through the forums....came accross this bunny problem. i think it is quite simple actually. Question: possible solutions of x and y from x+2y=nAnswer: ceil(n+1/2) i.e.if n is even, possible combinations are (n/2)+1if n is odd, possible combinations ar...