<r>The first one is exactly the same as the EULER method in <URL url="http://www.columbia.edu/~ww2040/LaplaceInversionJoC95.pdfThe"><LINK_TEXT text="http://www.columbia.edu/~ww2040/Laplace ... C95.pdfThe">http://www.columbia.edu/~ww2040/LaplaceInversionJoC95.pdfThe</LINK_TEXT></URL> second is from <...

Here you go, it seems that Peter den Iseger's method can handle discontinuities much better though.

<r>I used the Abate-Whitt method(s) and had no problem inverting transforms of absolutely continuous and discrete distributions, not sure if it works for a mixture of the two though..You can find some useful papers here: <URL url="http://www.columbia.edu/~ww2040/abate.html">http://www.columbia.edu/~...

Thanks for the advice. I've decided to go with the job (I've already accepted the offer anyway) as I think I'll learn much faster in that environment, but I'll talk to the professor to see if I can defer the phd for a few years, just to keep my options open.

Yes, I was told I could be spending a large proportion of time coding (this is actually something I'm likely to enjoy, to an extend), but I'm assured that I'll be learning more about model building, in other words this is definitely not a developer job.

We haven't agreed on a topic yet, but I guess it will fall in the general category of derivative pricing & hedging, possibly with a bias towards computational methods. The professor is an expert in stochastic optimization, so maybe I will have a flavor of that in my PhD too.

<t>it's a front office role, hopefully i'll be working with some experienced quants on model development, i'm prepared to do a lot of coding to start with, but I do hope to participate in the "brainstorming" when i'm a bit more experienced, not sure if a phd would speed up the transition though..the...

<t>Hi all,I recently found myself in this awkward situation: just a few days ago I got an email from a professor saying that he's interested in taking me on as a phd student, the school/department is definitely one of the best and I'm currently doing masters there, the phd topic will be something on...

Hi Mark, any update on the progress with the sequel? Really looking forward to it, hope it will be published soon!

<r>I'm wondering if anyone has the following papers:Calamaro, J-P., T. Nassar, K. Thakkar, and J. Tierney, 2004, "Trading Index Tranche Products: The First Steps", Quantitative Credit Strategy, Deutsche Bank.Gibson, M.S., M. Shchetkovskiy and A. Kakodkar, 2004, "Basket Default Swap Valuation", Credi...

Lemma 11.1 in http://www.statslab.cam.ac.uk/%7Errw1/oc/L11.pdfBTW does anyone know how to write X_t = W_t | W_T in the form of dX_t = (W_T / T) dt + ... ?

OK then to recover the value of the option in unit cash, you need to value the premium leg consistently with the specification of the spread dynamics, is that where the problem is?

<t>Can't we get around this dependency problem between loss and spread by considering everything relative to the loss? I guess my point is, instead of postulating the dynamics of X_t and Y_t separately and worrying about their dependence structure, if we are only interested in X_t / Y_t, or more gen...

<r>I guess a better question is, where exactly does the argument in <URL url="http://www.schonbucher.de/papers/cdsoptions.pdf">http://www.schonbucher.de/papers/cdsoptions.pdf</URL> break down for tranche options, if we replace the default time tau by the stopping time at which the tranche is complet...

<t>So for the spread dynamics, do you basically mean that lognormal is unrealistic? I'm just thinking, since there is nothing wrong with the change of numeraire argument, can't we just use the value of the premium leg as numeraire, and reduce the problem to modelling spread movement only? then we ca...