Crash protection requires (I think) the use of EVT technics to forecast extreme quantiles !

I'm surprised that so few people are interested in dcc !There is no R/s+ version of DCC unforutnately

I think there are many bugs only the basic garch seems to work, just run the demo, you'll get a bug within 3s...I'm sure he's work is very good but I don't understant why it doen't work !

baskhi cao and chen 1997 or bates 96 gave the foundation of the svj which an extension of the heston sv model as every one knows. Duffie Pan and Sigleton is another piece of cake !

hey all, I 'm reading the post, maybe I'm out, but technically, you use BS not as a model but as a function to infer IV from the HW model, Sofiane.

hey all, I 'm reading the post, maybe I'm out, but technically, you use BS not as a model but as a function to infer IV from the HW model, Sofiane.

As far as I rememeber you can see the paper of ritchken and tervor 1999, Jo Finance, there are some anwers.

<t>I think the US phd is more profitable since usually student who get their phd from good universities is us have better publications while in other countries (ex. france) it take them more time to access top reviews. Also in Us doctoral program, there is 2years studies + 2 years for the dissertati...

<t>Dear all,I'm to holidays very far and 4 days before the d-day I have a pb :Eviews 3.1 and Gauss Version 3.2.38 are not compatible with my Windows XP version=> it means no new paper for this summer => no new conference next year etc..I need help ! I think I must add some files downloadable to wind...

<t>Well I did a phd but forgot to marry and buy a sport car Amercian usually say : you earn money in the US and come spend it in Paris, note that the reverse is more complicated BUT if you like writing a paper in august for meeting the deadline of a call for paper instead of being in a sunny country...

Just find the job that maximize your utility, this is the only rational decision you can take !

<t>Hey Aytek, here people think that a real quant (in terms of virility) should not waste its time doing a phd. Doctoral studies have no value for banks, the optimal degree is the master, each additional year of study is a negative return, all the more if you have some publications ! I hope i'm not ...

I think that a phd open doors elsewhere than in france where it closes the doors twice even with publications.

I think you can carry out a good thesis even without the support of your supervisor but unfortunately, it will be more difficult for the first year of your carrer to find a suitable position. I know what i'm talking about

Dear all, very naive question, who did the last ranking (by category) of exotic options, I know that Rubinstein did one in 1990. Thanks a lot.