.

NOeh eh eh lol

<t>Hi All,the apparition on CPPI Options came first wtih the need from some client to have minimum participation rate, stragiuht protection curve on CPPIs, etc.Basically, the CPPI Option advantage is that, building a simple structure = Zero Coupon + Call Option on CPPI, you get the exact pay off of ...

<t>Appart from model assumptions and calibration your underlying, the CPPI gap risk is simply the probability that the cushion become negative (wich is normally impossible because as CPPI structurers, investment banks prevent from it). As the cushion is calculated as :CPPI Net Asset Value-Zero Coupo...

Pls send it to me too :emmanuelbenchimol@hotmail.com

yes please upload it, would be better

That's true, but you should better use a stochastic or jump model in your monte carlo simulation.local vol models bring problems as soon as they are used in forward sensitive products, because they don't restitute the forward vol surface...

That's true, but you should better use a stochastic or jump model in your monte carlo simulation.local vol models bring problems as soon as they are used in forward sensitive products, because they don't restitute the forward vol surface...

That's true, but you should better use a stochastic or jump model in your monte carlo simulation.local vol models bring problems as soon as they are used in forward sensitive products, because they don't restitute the forward vol surface...

That's true, but you should better use a stochastic or jump model in your monte carlo simulation.local vol models bring problems as soon as they are used in forward sensitive products, because they don't restitute the forward vol surface...

That's true, but you should better use a stochastic or jump model in your monte carlo simulation.local vol models bring problems as soon as they are used in forward sensitive products, because they don't restitute the forward vol surface...

Soes someone has ever delat with the use of Cap arb with structural models ?if yes, does someone has ever priced EDS with structural models ?Rgds

I think you won't get anything for free from rating agencies...unfortunately,but if you build the model by yourself, you should find out your historical using correlation and cds spread historical (for very liquid names, Itraxx DJI)

I think you won't get anything for free from rating agencies...unfortunately,but if you build the model by yourself, you should find out your historical using correlation and cds spread historical (for very liquid names, Itraxx DJI)

Hi,have you got the paper ?and now, if we had stochastic vol (let's say simple brownian motion, such as HW 1987). Is there a closed form ?