who are the best known lawyers / firms (NYC) for drafting and reviewing IB employment contracts with guarantee, etc ?Thanks in advance ....

Can someone provide a good educational reference on characteristic functions and Fourier transforms for someone with decent probability background but little education in complex numbers?Thanks

<t>I read numerous postings on this forum about these different packages. We are investigating the possibility of buyng vs building a derivatives valuation system and I would like to get feedback.Principally we are interested in using the system for valuing equity exotics and structured products, so...

<t>Hey Guys, I appreciate the responses.Jonathan, thanks for the reply on the DefaultLeg. I should have written ExpectedDefaultLossesInPeriod(i) which is what I intended, which should equate to the EL(i) - EL(i-1). I appreciate that heads up.Quoted, you are absolutely correct about what I was asking...

Jonathan, thx for your help! Last one I promise ...On the default leg, do you use DL = SUM(1 to N) ExpectedDefaultLosses(i) * DiscountFactor(i) orDL = SUM(1 to N) ExpectedDefaultLosses(i) * [DiscountFactor(i-1)+ DiscountFactor(i)]/2?Rgds

<t>Hi Jonathan81, thanks very much for your reply. The 1st method sounds easiest so that is the one I will go with. Your insight is much appreciated.Actually I have a small related question, if you have just 1 more minute. Obviously with semi-analytic methods for single tranche pricing we have the p...

<t>Hello all, apologies for the dumb question, but for some reason I don't quite understand the official interpretation of base correlation.Let's say I know the base correlation for 0-3, 0-7, and 0-10, and I also know the BE spread for 0-3 and 3-7. How do I calculate the BE spread of 7-10? And if it...

<t>Has anyone read Gatheral's presentation "A parsimonius arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives"?This seems like a relatively simple model that fits pretty well barring deep downside strikes for very short maturities. I am wond...

actually the error is operator error ....apologies for the confusion ... the code is fine and I need a napthx for reply

<t>Hello ... I was doing some very preliminary work pricing partial time barrier options. I started using Haug's book but I keep get an error. So I implemented code from a paper "Pricing Arithmetic Average Reset Options with Control Variates" by Liao and Wang, but I get a similar error.I am not tryi...

Well, thanks to all for the suggestions. Definitely prompted a few thoughts. Hopefully we will not turn out to be short term capital demolishers. If anyone else has any lingering thoughts, let me know.Thanks again and rgds

Seriously, I know it's kind of corny, but does anyone have any good suggestions? I've heard some things like "Capital Markets Solutions Group" or "Risk Architecture Group." I would be curious about these and any names like them.Rgds

<t>Hey, I need some feedback regarding what I should name my group. We are a team of about 10 individuals that are responsible for derivatives strategies, both for hedging and relval. We are not only strategists but only a few of us are traders. We are not hard-core quants but we do know basic stoch...

<t>Hey, I need some feedback regarding what I should name my group. We are a team of about 10 individuals that are responsible for derivatives strategies, both for hedging and relval. We are not only strategists but only a few of us are traders. We are not hard-core quants but we do know basic stoch...

<t>thanks Madmax for your feedback ... importance sampling is a good idea ... i originally put it to the side since the option is so path-dependent that the "important" region is not clear. I will investigate this a bit further to see if there might be any benefits.Do you agree with my earlier claim...