May I have a copy too? chenjie328@gmail.comMany thanks!

<r>Hey, eqderivMay I ask for a copy? <EMAIL email="chenjie328@gmail.comMany">chenjie328@gmail.comMany</EMAIL> thanksQuoteOriginally posted by: eqderivI have quite a few resources on Barrier Options, other exotic options and swaps/swaptions (I think). If you give me your e-mail address by secure mess...

I wonder if anybody could provide me this paper. Thank you very much for sharing

"Americans (or Bermudans which are exercised more frequently than once per period) are a pain because on cancellation, one has to catch up on all the accruals." from PatPat, would you please show some detail how you deal with the American Swaption? How to handel the accrual? Many thanks

<t>Hi, guysI am implementing the call option formula by numerical integration from Andersen’s paper “Volatile Volatility”. My result does not make sense. So there must be something wrong with my implementation. I am not quite if it is because the error in the formulas I derived or because of my impl...

Here is the paper.

In this paper (pit's corrected version), equation (5), in the integral, it is (exp(-iw+0.5))*ln(&(0)/k) or exp((-iw+0.5)*(ln(&(0)/k))). I am confusing about it. Anybody could help me out?

<t>Hi, I am planning to implement Pitergarg’s term structure stochastic vol model base on his paper “Time to Smile”. I wonder if anybody has implemented the model? How is the calibration speed of this model? Let’s say, for a 5 years fx deal, how long will it take? Any advice and suggestion with resp...

<t>I have a question about the using of Excel and VBA.Let’s say in cell A1 and A2, I input 1 and 2. Then I input formula “=SUM(A1+A2)” to cell A3.I would like to write a VBA code to have the following functionality:Once I change the formula in A3, let’s say I input 4 to cell A3, the color of the cel...

<t>Hi, I am compiling a c++ lib, and i get the following messege:: fatal error C1001: INTERNAL COMPILER ERROR (compiler file 'E:\8168\vc98\p2\src\P2\ehexcept.c', line 577) Please choose the Technical Support command on the Visual C++ Help menu, or open the Technical Support help file for more inform...

<t>I am working on Double average rate options. Double average rate options are options where the payoff depends on both the average rate and the average strike at a number of predetermined dates during the life of the option. The average dates for the average rate and average strike may be differen...

who can tell me how to generate Libor rate path under the libor market model?

<t>I have a question of how to price a special interest rate swap (timing delay payment for the floating rate payment)For the vanilla interest rate swap, the payment frequency is the same as the reset frequency. Now we consider the situation where the payment frequency is less than the reset frequen...

<t>I have a question of how to price a special interest rate swap (timing delay payment for the floating rate payment)For the vanilla interest rate swap, the payment frequency is the same as the reset frequency. Now we consider the situation where the payment frequency is less than the reset frequen...

I have an interview from CIBC (Toronto), Vetting group. Can anybody give me some advice? I want to know more about the the vetting and everything related to it. Thanks a lot.