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by battant
March 11th, 2005, 3:39 pm
Forum: Student Forum
Topic: Need help with CDS
Replies: 8
Views: 157539

Need help with CDS

Can you try at [email protected] one again.
by battant
March 10th, 2005, 8:44 pm
Forum: Student Forum
Topic: Need help with CDS
Replies: 8
Views: 157539

Need help with CDS

<r>Hi Baydar,If it's possible, I'm interessed by your thesis on CDS. Can you send me it at <EMAIL email="battant1@tiscali.fr">battant1@tiscali.fr</EMAIL> ?Indeed, I'm trying to compare different approach of retrieving market spread with the markets (bonds, convertibles, CDO and CDS) or with models.T...
by battant
March 10th, 2005, 8:02 pm
Forum: Student Forum
Topic: jarrow turnbull model
Replies: 3
Views: 157293

jarrow turnbull model

Thank you for your help's proposition.If it's possible, can you send me the text on this adresses : [email protected]'ll be very gratefull
by battant
March 7th, 2005, 4:39 pm
Forum: Technical Forum
Topic: hull white model
Replies: 0
Views: 157175

hull white model

I try to implement in VBA this model but I have a recursely problem to find the B and the Gdoes someone own a VBA worksheet ?thanks in advance
by battant
March 7th, 2005, 4:29 pm
Forum: Student Forum
Topic: jarrow turnbull model
Replies: 3
Views: 157293

jarrow turnbull model

<t>I try to implement this model on VBA language.But I haven't the full text : Pricing Derivatives on Financial Securities Subject to Credit Risk", Journal of Finance, Vol. L, No. 1, Cornell University, and Queen's University (Canada) (Mar-1995), pp. 53-85.Can I have some help, ie a spreadsheet vba ...
by battant
September 1st, 2004, 9:45 am
Forum: Book And Research Paper Forum
Topic: Excel Add-in Development in C/C++
Replies: 37
Views: 183155

Excel Add-in Development in C/C++

What's your problem ?You don't understand what I mean.In fact, this macro has for goal to make a link between your macro and your dll.So, I think (normally) that it can help youIf you want further explanations, don't hesitate
by battant
August 31st, 2004, 9:10 pm
Forum: Book And Research Paper Forum
Topic: Excel Add-in Development in C/C++
Replies: 37
Views: 183155

Excel Add-in Development in C/C++

<t>I haven't this book but for your problem, you can used a code like that :Sub auto_open() dllInstalled = False Dim strFromPath, strToPath As String strFromPath = Application.ActiveWorkbook.Path & " & blabla.Current path" strToPath = Application.Path & " & blabla "_ FileCopy strFrom...
by battant
August 17th, 2004, 8:14 pm
Forum: Student Forum
Topic: A stat question
Replies: 2
Views: 178287

A stat question

hi,for the variance of the portfolio, the response is : sum of the variance + 2*Covariancefor the delta method, it's used , under given conditions , for calculate the Value at Risk. ANother method is delta gamma method
by battant
August 16th, 2004, 7:10 pm
Forum: Programming and Software Forum
Topic: Excel crashing due to Bloomberg links
Replies: 13
Views: 181542

Excel crashing due to Bloomberg links

In order to have not this problem , you can open (before your files) the files of demonstration of Bloombergs.I hope this might help you
by battant
August 13th, 2004, 11:13 pm
Forum: Technical Forum
Topic: CDS on a convertible bond
Replies: 1
Views: 179086

CDS on a convertible bond

<t>My question is how to calculate the spread of a CDS.Indeed it's easy to calculate a spread of a CDS with a merton's model. But this model is a strike barrier option on the debt by share.And in the real world, the CDS are used with convertible bonds or classical bonds.So, how can I calculate the s...
by battant
August 13th, 2004, 9:18 pm
Forum: General Forum
Topic: Value at Risk for portfolios with linear and non-linear products
Replies: 8
Views: 182793

Value at Risk for portfolios with linear and non-linear products

<t>if you sum up the different Var, you are under the conditions that the correlations are equal to one and so it's a conservatism approach.So you can use different methods in order to construct your total VaR : - use the historical correlation between your assets- use the theory of correlation brea...