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by xavier73
June 14th, 2022, 12:02 pm
Forum: Programming and Software Forum
Topic: Top pricing softwares for energy derivatives
Replies: 0
Views: 1398

Top pricing softwares for energy derivatives

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...
by xavier73
February 7th, 2010, 8:35 am
Forum: Book And Research Paper Forum
Topic: Book on AIG ?
Replies: 4
Views: 33947

Book on AIG ?

<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...
by xavier73
February 7th, 2010, 8:25 am
Forum: Book And Research Paper Forum
Topic: Book on AIG ?
Replies: 4
Views: 33947

Book on AIG ?

<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:...
by xavier73
November 4th, 2007, 10:42 am
Forum: Technical Forum
Topic: Hi, I need some paper about stress test
Replies: 5
Views: 64651

Hi, I need some paper about stress test

<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...
by xavier73
November 4th, 2007, 10:41 am
Forum: Technical Forum
Topic: Hi, I need some paper about stress test
Replies: 5
Views: 64651

Hi, I need some paper about stress test

<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...
by xavier73
March 9th, 2005, 8:43 am
Forum: General Forum
Topic: convert delta strike into a numerical
Replies: 5
Views: 165375

convert delta strike into a numerical

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.
by xavier73
February 14th, 2005, 1:07 pm
Forum: General Forum
Topic: convert delta strike into a numerical
Replies: 5
Views: 165375

convert delta strike into a numerical

Thank you very much for your help
by xavier73
February 10th, 2005, 2:12 pm
Forum: General Forum
Topic: convert delta strike into a numerical
Replies: 5
Views: 165375

convert delta strike into a numerical

<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...
by xavier73
June 29th, 2004, 10:20 am
Forum: General Forum
Topic: Implied volatility for FX cross rates
Replies: 6
Views: 186586

Implied volatility for FX cross rates

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.
by xavier73
June 25th, 2004, 11:30 am
Forum: General Forum
Topic: Implied volatility for FX cross rates
Replies: 6
Views: 186586

Implied volatility for FX cross rates

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
by xavier73
June 25th, 2004, 11:18 am
Forum: General Forum
Topic: Implied volatility for FX cross rates
Replies: 6
Views: 186586

Implied volatility for FX cross rates

<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...