<t>As I have understood it there are two types of areas when it comes to structuring:1. Structurer close to trading:- May have the following tasks: pricing, risk analysis and modelling, model testing, hedge optimization etc - Should have a good knowledge about the models, risk in products etc 2. Str...

<t>Thx John!Do you have any suggestions on which head hunter to contact? I have a feeling that most of them won’t run crazy for someone that is coming from a small (and not so famous) house? Even if you are brilliant in what you do and have had large responsibility etc.. Or should I contact the firm...

<t>Eiriamjh, gave an good answer on what structureres do.The tasks includes:- price up indications to Sales- to be the connection between Sales and Trading- discuss the risk, price and hedge cost in complex deals so the trader don¡¦t take unreasonable hedge cost or tries to steal margin as they easi...

<t>HiI have some question concerning GARCH(1,1) model to predict the volatility for a swap rate. The reason is to study the spread in the predicted volatility term structure against implied volatility term structure for swaptions.1. Is there something special that I should take in aspect when modell...

Suggestions? Someone?

<t>Hi,I have some questions on GARCH(1,1)1) If I want to forecast future volatility with GARCH, which start value should I use? I am working with a 3M swaption with a 2 year swap rate as underlying and want to estimate the future volatility for the next 63 trading days. Should I use yesterdays impli...

<t>Matt,Thanks for your answer.I will take a look on FIGARCH.Regarding the forecast horizon, I want to compare the implied vol term structure and the GARCH term structure for both foreign exchange rate and interest rate as underlying for options. For foreign exchange rate I am interested in 90 days ...

<t>One other thing.Matthew C Roberts, if you are reading this. In one post you are suggesting to take the return series*100 to get a better estimation. When I am using the scale the parameters a1 and b1 have the sum quite close to 1 (unstationary). Can you give a "good" explanation in this? I have n...

<t>Hi!I have a question concerning volatility forecasting.If I use GARCH(1,1), h(t)=a0+a1*u(t-1)^2+b1*h(t-1). In the estimation part of a0, a1 and b1, I have read that the global surface (a0,a1,b1) is vary flat but locally its not which make the optimizing part vary difficult. I have also heard that...

<t>Hi,I have a question about scenario simulation of the short interest rate. I have monthly data over 10 years for the 3 month and 9 month LIBOR, which I have taken the logarithm of, and want to create future scenarios for the rates.I have used a multivariate AR(1) process, with eigenvalue decompos...

<t>Hi,I have problem with a maximum likelihood estimation where I want to estimate the parameters in a CIR model. Do anyone see what I have done wrong in my calculations (in Excel) below.Have r(t+1) = r(t) + a(b-r(t))*∆t+c*(∆t*r(t))^0,5*z(t), z(t) - N(0,1)1) Take out 2600 daily observations for the ...

<t>I am a student in financial mathematics (quite new in the area). I would appreciate some guidelines or answers to my following problem.I want to calculate on an equity swap where the floating rate, payments dates and maturity date are decided. My problem is to take out an optimized portfolio cont...