hello, I was wondering if you could tell me what are the top software to price energy derivatives, I'm only interested in the valuation part not the middle or back office nor trade interface. This to price all types of power & gas derivatives (Storage, Swing, Swaptions, Tempflex......) I already...

<r><URL url="http://www.financialsense.com/Experts/2009/Shelp.htmlhttp://www.amazon.com/exec/obidos/ASIN/0470480025/financialsenseon"><LINK_TEXT text="http://www.financialsense.com/Experts/2 ... ialsenseon">http://www.financialsense.com/Experts/2009/Shelp.htmlhttp://www.amazon.com/exec/obidos/ASIN/0...

<r>Ronald Shelp, Fallen Giant: The Amazing Story of Hank Greenberg and the History of AIG and a fantastic interview on the financial sense podcast:<URL url="http://www.financialsense.com/Experts/2009/Shelp.htmlhttp://www.amazon.com/exec/obidos/ASIN/0470480025/financialsenseon"><LINK_TEXT text="http:...

<r>Hi,stress test is still a soft science with a lot to be done. You can find many article about extreme value theory, the master on this is certainly Paul Embrechts. you can google his name and look at all nice article about EVT on the web site <URL url="http://www.math.ethz.ch">http://www.math.eth...

<r>Hi,stress test is still a soft science with a lot to be done. You can find many article about extreme value theory, the master on this is certainly Paul Embrechts. you can google his name and look at all nice article about EVT on the web site <URL url="http://www.math.ethz.ch">http://www.math.eth...

the collector seems to think he's Jekyll & HydeSee his web site http://www.espenhaug.com/ he's really fantastic in writting financial articles when he gets nervous.

Thank you very much for your help

<t>Hello,from the forum I see that there are formulas to convert the delta strike into numerical (e.g 1.2356).It looks it's already explained in the collector's formulas edited in Wilmott mag march (2004?) but I can't find it.Could you help me and tell where I could find this ressource or direclty t...

thank you for your help.for the correlation I think my shortcut will be to use the correlation between USD-CHF and USD-AUD whatever is the moneyness or the time to expiry. We will see where it goes.

excuse me , there's a typo:I know the implied vol for USD-CHF and USD-AUD and I want to deduce the implied vol for AUD-CHF

<t>Hello,I'm looking for a method to calculate the implied volatility for FX options which are not quoted.For example I know the implied vol for USD-CHF and AUD-CHF and I want to deduce the implied vol for AUD-CHF.I think that I could use the formula vol AUD-CHF = vol USD-CHF + vol USD-AUD + 2* corr...