Anyone has Matlab code for pricing a Bermudan Swaption on interest rate swap? Many thanks

Anyone could tell me how to get the dollar gamma? Thanks

<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...

<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, ...

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.

>>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!

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

No Monte Carlo, is it possible to get a closed form solution?

<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...

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

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

please send me a copy @ mike_4_go@yahoo.comThanks a lot

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

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

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