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by quantworm
July 13th, 2007, 3:53 pm
Forum: General Forum
Topic: Bermudan Swaption
Replies: 0
Views: 68960

Bermudan Swaption

Anyone has Matlab code for pricing a Bermudan Swaption on interest rate swap? Many thanks
by quantworm
April 4th, 2007, 12:59 pm
Forum: Student Forum
Topic: Dollar delta, dollar gamma, dollar vega, dollar theta
Replies: 0
Views: 77690

Dollar delta, dollar gamma, dollar vega, dollar theta

Anyone could tell me how to get the dollar gamma? Thanks
by quantworm
May 30th, 2006, 2:05 pm
Forum: Careers Forum
Topic: quant salary info
Replies: 0
Views: 103635

quant salary info

<t>I am collecting the compensation you guys make, and then send the info back to whom send me the info. I think if people really put true compensation, we will figure out what is "fair value" you are suppose to make.the format isquant experience(Years), Company, Region, title, base salary, Bonusfor...
by quantworm
February 16th, 2006, 2:17 pm
Forum: Careers Forum
Topic: Derivatives Strategist - How much am I worth?
Replies: 29
Views: 123972

Derivatives Strategist - How much am I worth?

<t>QuoteOriginally posted by: TraderJoeQuoteOriginally posted by: quantwormI am not a smart guy like you(who CAN price a derivative...), so this is why I pick it up this level question which you asked. Do I have to get the permit from you to answer "your question which is not to me"? Unfortunately, ...
by quantworm
February 15th, 2006, 5:44 pm
Forum: Careers Forum
Topic: Derivatives Strategist - How much am I worth?
Replies: 29
Views: 123972

Derivatives Strategist - How much am I worth?

I am not a smart guy like you(who CAN price a derivative...), so this is why I pick it up this level question which you asked. Do I have to get the permit from you to answer "your question which is not to me"? Unfortunately, there is no such rule in the forum.
by quantworm
February 14th, 2006, 8:25 pm
Forum: Careers Forum
Topic: Derivatives Strategist - How much am I worth?
Replies: 29
Views: 123972

Derivatives Strategist - How much am I worth?

>>What the %$?! do you know? You've never priced a derivative in your life.Nothing special to price a derivative, even you did price a one, you never know your price is right one. WHAT kind of job you are doing? Just Cheating for money!
by quantworm
February 6th, 2006, 5:03 pm
Forum: Technical Forum
Topic: exotic option pricing
Replies: 7
Views: 121223

exotic option pricing

r(t) is the return of underlying. Not the price.so r(t) where t=1,2,..,12 are i.i.dCould you write down the integral with autocorrelation.Many thanks
by quantworm
February 6th, 2006, 1:23 pm
Forum: Student Forum
Topic: exotic option pricing
Replies: 5
Views: 120623

exotic option pricing

No Monte Carlo, is it possible to get a closed form solution?
by quantworm
February 6th, 2006, 1:22 pm
Forum: Technical Forum
Topic: exotic option pricing
Replies: 7
Views: 121223

exotic option pricing

<t>Correlation comes from the fact that put(i) is conditioned on r(i-1), + autocorrelation. Now do all the integrals. I do not get it. Can yo explain more in detail? or could you write a formula here?My understanding is:r(t) where t=1,2,...,12 are i.i.d N(a,b)does the autocorrelation come from the v...
by quantworm
February 3rd, 2006, 3:13 pm
Forum: Student Forum
Topic: exotic option pricing
Replies: 5
Views: 120623

exotic option pricing

payoff = max( (max(X,-1)+max(Y,-1)+max(Z,-1) ), 0) where X, Y,Z are i.i.d (N(a,b))any hints? Thanks
by quantworm
February 3rd, 2006, 2:11 pm
Forum: Technical Forum
Topic: exotic option pricing
Replies: 7
Views: 121223

exotic option pricing

Only one undelying , let's assume it is S&P500. And for r(i), should be corrected by r(t) where t=1 2,...,12 12 months.thanks
by quantworm
February 2nd, 2006, 11:16 pm
Forum: Technical Forum
Topic: CDS Tranche Trading
Replies: 10
Views: 123064

CDS Tranche Trading

please send me a copy @ mike_4_go@yahoo.comThanks a lot
by quantworm
February 2nd, 2006, 9:31 pm
Forum: Student Forum
Topic: Good reasons for CDO business
Replies: 2
Views: 120196

Good reasons for CDO business

Anyone give me some explanation on good reasons to do CDOs?1. Arbitrage2. risk based capital3. risk transfer....escpecially, why do we can save some risk based capital when doing CDOs? Thanks
by quantworm
February 2nd, 2006, 7:38 pm
Forum: Technical Forum
Topic: exotic option pricing
Replies: 7
Views: 121223

exotic option pricing

the payoff curve isA= sum(max(3%-r(i),0)) i = 1 to 12payoff= max(36%-A,0)any idea to price it? ( No Monte carlo)Thanks
by quantworm
January 17th, 2006, 2:00 pm
Forum: Technical Forum
Topic: USD swap curve vs US gov strip curve(I39)
Replies: 9
Views: 130239

USD swap curve vs US gov strip curve(I39)

Johnself,I still do not get it. For calibrate the swap, what curve should I use? You mentioned the "landmarks", what is that?cksh2005,what does GC stand for? And why repo spread cause a big spread between the swap rate and treasury rate?Thanks a lot