<t>Thanks for taking a look and giving me some guidance. [$]x[$] is given at the initial wealth of the agent in dollars, is it correct that this will be the conditional mean of the stock price, [$]S_T[$], as you suggest? Did you perhaps intend that the conditional mean is [$]s[$].If that was your in...

<t>I'm trying to follow the arguments an author makes in an article and I'm struggling to follow the derivation of an expectation.The scenario: the mid price of a stock evolves according to [$]dS_{u} = \sigma dW_{u}[$] with initial value [$]S_t=s[$] and with [$]W_t[$] being given as a standard one-d...

<t>Agree with Dominic. Most (decent) execution algos are built targeting specific benchmarks against which to measure market impact. Almgren and Chriss pushed this subject area forward in this paper. If you follow the maths in this you are going the in right direction. Other useful sources can be fo...

more clearly I'm trying to address the question: a barrier shift of x% is equivalent to what size call spread? (am thinking specifically of a upside didgital liability. pricing a call spread that ends at the real barrier level)

How does shifting a barrier on a digital liability differ to alternatively pricing the liability with a option spead?For instance, does a 2% barrier shift equate to a 4% call spread? Or is the relationship not linear?

<t>Hello,As I understand it, for a given set of underlyings with corresponding correlations, vols, forwards etc, a Himalaya call that locks the best return at each observation, will be cheaper than both the equivalent straight asian call, which is tun cheaper than the Himalaya that locks the worst a...

Thank you Waiter. So essentially a copula is a particular method for combining multiple distributions, and one can apply differents parameters to this combination methodology in order to define it's characteristics (am thinking Skew T, Gaussian etc)?

Thank you, I know, I used it before I posted and found a lot of questions and answers about Copulae, almost exclusively presupposing a knowledge of what one was....hence my original question. Sorry, I should have made it clear that I had run a search and was still none-the-wiser.

<t>As used in finance, what is a copula, why does it help me price multi-asset options and what do they have to do with correlation and skew? "Layman" level answers only I'm afraid....just trying to get a idea of how what these "do" in practice and why they are used in some circumstances and not oth...

http://www.dadd.comgood, but it costs

Hi,Does anyone have good source of termsheets/information on recently issued hybrid products? If not, would anyone be kind enough to send me any that thay have come across and kept?Thanks,HaE

<t>I saw the Exorcist directors cut at a screening during the Edinburgh festival a couple of years ago. Although I didn't think it was overly scary (maybe because we had had an introduction from Mark Kermode - now that's scary), I agree with LP about the issues it raises. They make me more uncomfort...

Sage,How many quants do you know?How many quants do you know well enough to know whether they have ever "bought a single share" in their life?"He who establishes his argument by noise and command shows that his reason is weak." - Montaigne

<t>Clarion, Have to agree. Why Sven - who's not afraid to test things out in the oh-so-many "two-halfs-two-games" friendlys that we've had recently - has not tried Cole (A) in front of Bridge beggars belief. With Lampard, Gerrard and Beckham making up the rest of the midfield we would be half way to...

fais20,Given that it was a Quant Analyst that recommended the course, I'm sure that Sage will have no qualms in totally ignoring the recommendation!Sage goes to war on quantitative analysis!