<t>QuoteOriginally posted by: QuantOptionprobably not exactly what you're after, but could still provide some useful info:The Trade Lifecycle: Behind the Scenes of the Trading ProcessThanks for your suggestion but this book covers extremely trivial stuff and is not exactly what I want as you have st...

<t>Can anyone recommend books on deal processing / flow for various derivative products (e.g. forward, swap, option, etc.)?I want to understand what positions will generate after capturing a deal into the treasury system and how different booking methods would lead to different positions being gener...

QuoteOriginally posted by: ancastThe procedure is described in details (also with examples) in my book on FX options that will be out in July, published by Wiley.What's the name of your book?

If you work in the strike space, then the variable "a" can be calculated explicitly since the strike would be known.Once you've constructed the vol surface in the strike space, converting to delta space should be straight forward.

<t>I am interseted in finding out dynamic of FX implied volatility surface. In particular, I want to know how the skewness of the implied vol surface changes over time. The question I would like to answer is that whether a 1% shift in the ATM vol would result in a 1% parrallel shift of the entire vo...

Two approaches in modelling the asset price process are regression model and stochastic model. What would be the major differences and pros and cons on risk management between the two approaches?Can regression model be used as a risk management tool (such as headging and derivative pricing)?

Thanks very much for your guys suggestions . . . Now I understand how the AR method works!

Does anyone know where I can find explanation of acceptance-rejection sampling?I know the procedure but I cannot understand why it works. Thanks!

Does anyone know which is a more efficient way to generate multivariate normal random numbers in Matlab: by the function "mvnrnd()" or Cholesky decomposition?

<t>QuoteOriginally posted by: janickgAnyone here familiar with this distribution? I know that Matlab doesn't have strong support for multivariate distributions, but I need to work with the bivariate normal distribution. My approach is 1. I have specified the pdf.2. I need to calculate probabilities ...

What do NP and PWOQF stand for?

<t>I just came up with an idea . . . not sure if it works . . .You can fit an 11 order polynomial, say a11*x^11 + a10*x^10 + . . . + a1*x = y.For x = 1 and y = 100%, the polynomial becomes: a11 + a10 + . . . + a1 = 100.For x = 2 and y = 40.63%, the polynomial becomes: a11*2^11 + a10*2^19 + . . . + a...

I guess you might have to stick with the old method . . . fitting a high order polynomial . . . There is a curve fitting tool in Matlab which is very easy to use . . .

Just a reminder . . . With the spline method, because you are fitting a cubic equation every 3 points, therefore you will end up with 5 equations representing your 11 points . . .

<t>Try plotting the points on Excel (graph type: XY Scatter) . . . Then right click the points on the graph and click "Add Trendline" . . . You data looks like it's an expoenential decay . . . so try fitting an exponential function . . . then under "Option" page in the "Add Trendline" window, check ...