<t>I think that's the whole point, it is not free, it is open source.They are not a charity, they have a business. My experience is that you struggle with any object object model or API in this industry if you did not design it yourself.A least you don't have to pay for the license to have the right...

<t>Write the price of the call as the expectation of the payoff, hence the integral against a density, derive with respect with the spot, switch integral and derivation, play a bit with the derivative to change the variable, don't mix up the sign, integrate by part, and voila, you see that the delta...

For big exotic books, local vol ...

<t>Ok, so if the company cannot pay if the sovereign paper defaults it just means that the risks are correlated. But the CDS hedges you against the company default. If it is written in local currency then you have a funny contingent FX risk which you may proxy hedge with a sovereign CDS, but you are...

But you are not exposed to sovereign risk when you hold the automaker paper. Just the automaker risk.

<t>'In spirit', yes, I do agree, MC and trees compute an expectation under some adequate measure, whereas FD blindly integrate a PDE. But numerically a tree is just an explicit scheme. When you choose what to use in your toolbox to actually get the number, MC and trees belong to quite different fami...

Trees are included in the FD familly

? The formula only cares about the forward, so why do you care about the shape of the forward curve ?

<t>I have never been a big fan of centered estimators for vols or correls tradingwise. It is not linked to any hedging strategy wheareas the uncentered one are. If a stock is up 1% everyday on a given period, the centered vol estimator for daily vol will be 0, but I can tell you you felt the pain if...

And he was on the sell side, not managing money.LTCM was not a fraud but overconfidence and overleverage.

Because put-call parity tels you that puts and calls are essentially the same thing (gamma-wise, not talking about divs, repo, ...), you can transform one into the other with a static transformation. If they are the same thing, they have to be priced with the same vol.

Or at least a hint of the direction we could investigate ?

ATMF should be same since the price is linear in vol, it is otherwise convex, so Jensen gives you the answer

<t>stocks : leverage effect + higher probability of negative jumps (which leads to both weaker price and higher vol)indices : same + correlation skew I am more an index guy but fixed strike vol dynamic with spot is far from obvious. Especially when skews are steep, you can underrealise the skew on d...

What is IVF ? Given Hull's point, it seems to be the integration of the payoff against the terminal distribution implied from the vanilla market, is this correct ?