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by woodsdevil
June 1st, 2023, 12:31 am
Forum: Technical Forum
Topic: Absence of long-dated bond repo market: why ?
Replies: 0
Views: 8600

Absence of long-dated bond repo market: why ?

In practice, across government bonds and corporate bonds, we know that the repo market is pretty short-dated, up to 1Y at most.  Do you know why there is no long-dated bond repo market altogether ? From this, the next question is this: what if we wanted to do a long-dated bond forward for instance, ...
by woodsdevil
May 29th, 2023, 9:53 am
Forum: General Forum
Topic: CMT forward formula accounting for repo
Replies: 0
Views: 8599

CMT forward formula accounting for repo

Given a bond price, we can infer its corresponding bond yield using standard formula, which depends only on the bond price.  But how does it work for CMT forwards ?  A CMT fixing is basically closely related to the yield of a bond that will be observed at some future date. A CMT forward is basically...
by woodsdevil
May 29th, 2023, 9:52 am
Forum: Technical Forum
Topic: CMT forward formula
Replies: 1
Views: 3415

CMT forward formula

Given a bond price, we can infer its corresponding bond yield using standard formula, which depends only on the bond price.  But how does it work for CMT forwards ?  A CMT fixing is basically closely related to the yield of a bond that will be observed at some future date. A CMT forward is basically...
by woodsdevil
April 11th, 2022, 12:12 am
Forum: Technical Forum
Topic: Two-factor Interest Rates model: intuitive parameters ?
Replies: 16
Views: 10617

Re: Two-factor Interest Rates model: intuitive parameters ?

Thanks for your reply.  I'm basically after a parametrisation where for instance the instantaneous correlation is driven by one parameter, e.g. <dr(t), df(t,+inf)> = rho.dt, and the mean reversion speed help to control only the mean reversion speed of the short rate and the long-short spread separat...
by woodsdevil
April 10th, 2022, 7:59 am
Forum: Technical Forum
Topic: Two-factor Interest Rates model: intuitive parameters ?
Replies: 16
Views: 10617

Two-factor Interest Rates model: intuitive parameters ?

Hi. If one posits the usual two-factor model as either: df(t, T) = (...)dt + exp(-mrs1*(T-t))*sigma1*dW1 + exp(-mrs2*(T-t))*sigma2*dW2 or dr(t) = (theta + u - lambda1*r(t))*dt + sigma1*dW1 u is another correlated OU process where we assume <dW1, dW2> = rho.dt then both representations are of course ...
by woodsdevil
April 10th, 2022, 7:58 am
Forum: General Forum
Topic: Two-factor Interest Rates model: intuitive parameters ?
Replies: 0
Views: 4081

Two-factor Interest Rates model: intuitive parameters ?

Hi. If one posits the usual two-factor model as either: df(t, T) = (...)dt + exp(-mrs1*(T-t))*sigma1*dW1 + exp(-mrs2*(T-t))*sigma2*dW2 or dr(t) = (theta + u - lambda1*r(t))*dt + sigma1*dW1 u is another correlated OU process where we assume <dW1, dW2> = rho.dt then both representations are of course ...
by woodsdevil
February 2nd, 2020, 5:07 am
Forum: Numerical Methods Forum
Topic: Simulate any Copula in MC
Replies: 0
Views: 9291

Simulate any Copula in MC

Hi. Suppose that you know the joint distribution of N variables {Xi}, i.e. the Copula function as well as the individual marginals, i.e. Fi(alpha) = P(Xi < alpha), and C(a1,a2,..,an) = P(X1<a1,...,Xn<an). The Copula can be anything that is a valid Copula of course, but definitely not necessarily Gau...
by woodsdevil
March 8th, 2016, 10:22 am
Forum: Technical Forum
Topic: SABR with mean reversion speed - approximations ?
Replies: 2
Views: 2429

SABR with mean reversion speed - approximations ?

Hi,Is there analytical approximations to the pricing of vanilla European options on SABR extended with mean reversion speed ? By that I mean SABR where the vol process is exp(OU). Thanks!
by woodsdevil
September 6th, 2015, 7:21 am
Forum: General Forum
Topic: Brexit ?
Replies: 7
Views: 4175

Brexit ?

Hi,What do you think is the likelihood of a Brexit really happening ? Please be objective, and I'm not interested by flame or any political manifesto...Thanks!
by woodsdevil
September 5th, 2015, 7:35 am
Forum: General Forum
Topic: Risk entropy
Replies: 1
Views: 2870

Risk entropy

<t>Hi,Is there any good technique out there to understand a trading book risks ? i.e. trying to detect bad and/or obscure risks in a trading book ? In particular, in risk-management, one always runs all sorts of single-factor scenarios, like for instance FX spot ladder where only one currency is bei...
by woodsdevil
August 30th, 2015, 8:28 am
Forum: Technical Forum
Topic: Pegged currency modelling
Replies: 2
Views: 3602

Pegged currency modelling

Yeah I saw, but it wasn't particularly useful, so I'm tempting my luck again :-)Thanks anyway.
by woodsdevil
August 30th, 2015, 8:20 am
Forum: Technical Forum
Topic: Pegged currency modelling
Replies: 2
Views: 3602

Pegged currency modelling

Hi,Does anyone have any modelling documentation or experience on pegged currency modelling ?Thanks,
by woodsdevil
August 29th, 2015, 11:28 am
Forum: Book And Research Paper Forum
Topic: Pegged currency modelling
Replies: 0
Views: 4781

Pegged currency modelling

Hi,Can anyone recommend good papers on pegged currency modelling please ?Particularly interested in versions where taking into account jump on FX vol as well as FX spot.Thanks!
by woodsdevil
March 21st, 2015, 3:26 pm
Forum: Technical Forum
Topic: best option model in the absence of existing options surface
Replies: 6
Views: 4756

best option model in the absence of existing options surface

<t>The way I would approach this is through historical hedging simulation. After all, vol is supposed to represent the cost of delta-hedging an option. So I would start by running hedging simulation pricing the option for a given ATM vol to begin with and optimise that to find the one that gives me ...
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