Thank you Alan. But I'm not sure how it is the same thing: Are you sure we'll make 10 at T, since getting the bond at T for 100 is equivalent to getting the bonc right now at 90: so not profit here, afaik

Hi,I must admit I am still surprised regarding the random realisation of a sure profit in the case "Hedge with actual volatility" ... does anyone could propose a natural explanation ? Many thanks.

Sorry but what's the problem ? It has been posted in the "Student forum".

Hi,I have a question regarding the paper "Time To Smile" (Piterbarg, Risk May 2005): how do we get that the realized volatility is and not Any unsaid approximation ? Am I missing sthg ?Thanks.SgtPepper

Hi, is the unconditional stability guaranteed while dealing with a non-uniform mesh ? Thanks !

Thanks MJPL,please allow me to insist, but what should I take into account between a condition on the Spot such as and a condition on x = log(S) such as ? Thanks again.

Hi,could you please detail what you mean with "zero-flux conditions on the space boundaries" ? Does it mean that for x = 0 and for x = 1 ? Is there any justification ? Many thanks.SgtPepper

<t>Dear Paul, I'm currently reading this paper, and there is something I do not understand: it's located in the part 6 when you derive the Delta so as to minimize the variance, just focusing on the last two terms of equation (3)... but indeed "m" itself depends on Delta, right ? So what is the reaso...

Thanks to both of you. I just started tackling this problem thanks to the so called "shooting method". Cheers. SgtP.

Thanks ppauper, maybe I'm missing the point, but do we agree that your method just allow me to swap from a non linear 2nd order ode to a nonlinear first order ode ?

Hi,do you have any idea regarding how I should try to solve the following non linear boundary value problem:x(0)=X, x(T)=0, and for any t in ]0;T[Many thanks !SgtPepper

<t> Dear all,do you think there is any problem while trying to use simultaneously antithetic variables and Sobol techniques (since one can view antithetic variable technique as a way to "sobolize" the generated random numbers) ? Have you ever tried to combine those two techniques ? Was it successful...

Thanks for your quick answer Phaedo; could you be so kind so as to send me the copy of the conference slides ? It would be very useful to me. Thks.

Hi all, could anyone help me to get the following paper: "Rational Pricing of Options on Realized Volatility". Thanks folks.SgtPepper