Hi guys,Just a simple question on market-making. In his "dynamic hedging", Taleb says that there exists "a first order negative autocorrelationof market price changes, reflecting the positive edge of market-makers"What "positive edge" is he refering to ??Thanks a lot

<t>Hi guys,I just read a paper on how FX swaps are used in speculative attacks against pegged exchange rate regimes.Let's take the example of the HKD, which has long been pegged to the USD.If the basic equation spot + swap = forward prevails, which has to be the case in the absence of arbitrage oppo...

Hi again,My mistake. I apologize. Here are the correct files.Frichetti

Hi guys,Sorry for not answering sooner, I've been really busy. Hard to say why those PDF files disappeared from the site in the first place,but hey they're back !!!Enjoy.Frichetti

Hi guys,Don't know if this can be of any help, but take a look at this, that's all I have...

<t>So let me see if I got it right :A tree will always be a better solution when it comes to pricing an american-style option or is this because of the especially longmaturity I deal with here ?Are those models (Geske, Whaley-Barone Adesi...) just attempts to find closed-form solutions to the pricin...

<t>Hi guys,I have to price an american call with a very long maturity (10 years). Nevermind the unferlying for the moment, I just want to find a general method.I don't need the best price ever calculated, but still it has to be a very good approximation. Which pricing tool should I preferably use ?A...

<t>Does that mean that I can use any tools available for short-term products to price a 10-year american call ? Without any specific adjustments ? Is an algorithm like Newton-Raphson efficient for such options ?Which method would you recommend and where are the vol benchmarks to be found ??Thanks a ...

Hi Guys,I tried to download that RiskDoctor thing "Woulda Coulda Shoulda" but it does not work. "URL cannot be retrieved", they say.Could anyone post the PDF directly on the thread, or send it to me ??Thanks

<t>Hi guys,Are all traditional valuation models still valid when it comes to pricing an option with a very long maturity ?Suppose I want to price an option on a commodity with 10 years of maturity. I'm just interested in the concept since I amaware that anything can happen in 10 years and somehow, i...

You should have them now provided I used the correct left hand...

I believe so !! Just tell me how to do it because I've got two left hands today !!

I got those papers guys. Give me your email adresses and I'll send them to you...Frichetti

<t>Hi,Just one question concerning a paragraph in Taleb's "Dynamic Hedging" :Referring to Cash products and commoditized instruments, Taleb says : "Cash products allow traders to completely offset the risk of their trades and avoid the necessity of warehousing contracts for any length of time. What ...

Even if you trust your system, don't you have to check out how it computes those fantastic prices you use to make millions of USD ???