I think, from memory, yes....

<t>Do you want to estimate using the historical volatility or do you want to get to the market levels for the spread options? If you just want an estimate of the spread volatility then, if you have a dollar product (which guess is what you are after) then you could enter USSW2 Index USSW10 Index HS,...

What information do you have??

<t>harmanOn a serious note, walk into the programme office at Warwick and organise a meeting with Anthony Neuberger. If you can convince him you are clever enough and will work hard enough (especially with references from your current course) then I would not have thought that there would be a probl...

Where are you based????

seanster - What do you want to learn about??

<t>"What I wanted to know was whether all options, including knock-out, asian, etc., can be perfectly hedged in the BS world?"You have already answered this question yourself. Using a Black Scholes Model in a Black Scholes World the hedge will be perfect - it follows necessarily from your assumption...

How about checking using the normal BS equation to generate bounds on the value of the derivative?

<r>QuoteI know how vanilla european options are hedged - using delta-neutral hedging.Really?What about vega?QuoteThe only problem is the calculation of the delta of the non-standard derivative, but this can be done approximately using Monte Carlo vauation.Again Really???????What about discontinuous ...

It is because the BS assumptions are not true!! This is the "real world"

C++ is generally the choice because the system development started in that! It is currently a self perpertuating argument.I guess the sort of important courses involve numerical solutions to PDEs in general (not just financial PDEs).

<t>If you have some knowledge of Matlab and C, then you have the a knowledge base of that really doesn't include any object orientated programming. I think it is this you need to address.Cemil's post is probably correct in that you should look at C++ first of all as there is evident similarity betwe...

Look for an article from Pelsser on the mathematical foundations of convexity correction, from memory this contains what you are after.

<r>If you assume a BS WorldThen if you are vega neutral, then you are gamma neutral by definition when you have plain vanilla options. This is very simple to see if you take the BS forms of a call option, with its vega and gamma.BS Vega and Gamma:<URL url="http://en.wikipedia.org/wiki/Greeks_%28fina...

Ondin,(This is a rhetorical question)What does the Eurodollar futures price imply about the forward 3 month interest rate? - this basically gives you the solution to the fairly simple problem.