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by cosmologist
June 25th, 2016, 12:09 pm
Forum: General Forum
Topic: Bookies on Brexit
Replies: 42
Views: 3891

Bookies on Brexit

<t>Congratulations to Brits. Brave choice. Fortune favors the brave and the risk takers tend to get a bigger return. As simple as that.In my view, the leave brigade just put a stop to endless exploitation of their country.Angela Merkel, The lady with a dream of a Peace Nobel (that is my view) , ensu...
by cosmologist
September 19th, 2015, 7:34 pm
Forum: Off Topic
Topic: GBP/USD rate in London for retail(visitor) please.
Replies: 2
Views: 1417

GBP/USD rate in London for retail(visitor) please.

<t>A help needed. Someone travelling to UK wants to Know whether it is a good idea to carry USD so that he can convert to GBP in the local market. The other choice is to convert to GBP in his country where GBP/USD spread (BID/ASK) is unbelievably wide.So, what is the current GBP/USD rate in the reta...
by cosmologist
September 19th, 2015, 7:30 pm
Forum: General Forum
Topic: GBP/USD exchange rate in London for retail please.
Replies: 0
Views: 2225

GBP/USD exchange rate in London for retail please.

Moved the topic to "Off Topic". Thanks
by cosmologist
September 2nd, 2015, 4:40 pm
Forum: Book And Research Paper Forum
Topic: Best Books on Stochastic Calculus
Replies: 11
Views: 7223

Best Books on Stochastic Calculus

<t>BerndSchmitz, Shreve, the genius, wrote the finest two volumes of pure maths(applied to finance) I have ever come across. People those who have gone through the books with seriousness, including the problems, would probably agree with me.I am looking for solutions to the problems mentioned in bot...
by cosmologist
July 4th, 2015, 5:47 pm
Forum: Technical Forum
Topic: bloomberg FX stoc local vol model
Replies: 16
Views: 13766

bloomberg FX stoc local vol model

MAy be I can.
by cosmologist
May 6th, 2015, 6:48 am
Forum: Numerical Methods Forum
Topic: The Nelson-Ramaswamy Method
Replies: 17
Views: 6149

The Nelson-Ramaswamy Method

<t>QuoteOriginally posted by: CuchulainnThe lack of smoothness is payoff influences accuracy.Take a cash-or-nothing futures put S = 100, K = 80, Q (G) = 10, T = 0.75, r = 0.06, q = r, s = 0.35; P = 2.6710.Stress NT = 500. Tian P = 6.85896. CRR P = 2.20454Tian with Thomee?Wahlbin (Heston/Zhao) with s...
by cosmologist
December 2nd, 2014, 7:19 pm
Forum: Trading Forum
Topic: FX swaps
Replies: 3
Views: 7318

FX swaps

<t>Hi Jeremy,You said" Obviously, you don't execute 2 deals, and dealer will quote you the difference between the spot and forward (actually, it can be 2 forwards, so the diff between leg#1 and leg#2)."What about the Spot and the forward leg of the deal. there is a spot transaction in which currenci...
by cosmologist
December 2nd, 2014, 6:49 pm
Forum: General Forum
Topic: Exact mechanics of an FX Swap
Replies: 7
Views: 21021

Exact mechanics of an FX Swap

<t>May be if one of you come back here: I have a question which might look trivial but I need a discussion. FX Swap valuation is often stated as NPV of Near leg + NPV of Far Leg. This is ,I guess, to take into account the forward-forward swaps. My question is in the case of a six month swap when 4 m...
by cosmologist
February 2nd, 2014, 12:26 pm
Forum: Careers Forum
Topic: Calypso or Murex?
Replies: 23
Views: 20298

Calypso or Murex?

<t>QuoteOriginally posted by: katastrofaI would say Murex too, they seem to be a dominant player in their market. Prepare yourself to be hated by most people in the banking sector though, Murex is a stinking pile of crap.iF MUREX is so bad, then why Murex has the maximum number of clients? This is p...
by cosmologist
October 20th, 2013, 2:48 pm
Forum: Technical Forum
Topic: bloomberg FX stoc local vol model
Replies: 16
Views: 13766

bloomberg FX stoc local vol model

The bigger question is "How to send the paper to you?". This puzzle needs a model to be solved, it seems. By the way, attaching the paper here will not be a good idea or is it ok? Not sure let me know.
by cosmologist
October 20th, 2013, 8:18 am
Forum: Technical Forum
Topic: Basis swaps valuation
Replies: 16
Views: 10492

Basis swaps valuation

<t>JohnyEnglish, If you come back to this post and read David's post then read this one ,too.All that David said is correct. You need to have a book which will give you the changes that has happened ON THE vanilla construction method.BUT, i have a little doubt that you have not got a good book on Va...
by cosmologist
July 23rd, 2013, 7:39 am
Forum: Technical Forum
Topic: Deterministic Ito and other deterministic methods for stochastic processes
Replies: 41
Views: 13106

Deterministic Ito and other deterministic methods for stochastic processes

Amin,When I unzipped the file the document comes out corrupted, one pager with half to be seen.Can you please check?thanks No worries, got it from googledocs. I guess, the interested ones will get it from google doc cheers.
by cosmologist
May 20th, 2011, 12:59 pm
Forum: Technical Forum
Topic: Given that calibration is nonsense, what is the solution to making markets on Exotics
Replies: 87
Views: 29936

Given that calibration is nonsense, what is the solution to making markets on Exotics

<r>QuoteOriginally posted by: frenchXThat's a very interesting topic. At the moment I'm reading a review about superhedging by Davis Hobson. That's nice since you don't take care of the model but the superhedging price will be SO HUGE than no one will enter the contract.When you are pricing exotics ...
by cosmologist
February 24th, 2011, 9:07 am
Forum: Numerical Methods Forum
Topic: Replication methods for Exotic Options
Replies: 1
Views: 23006

Replication methods for Exotic Options

Research Paper references needed for the above method. Anyone has tried doing the Dr. Mark Joshi's method.
by cosmologist
January 20th, 2011, 6:14 pm
Forum: Technical Forum
Topic: Calculating instaneous forward rate
Replies: 13
Views: 25261

Calculating instaneous forward rate

Why not pick up a good book and read it. These are standard questions and texts are there. Read and so some stuff on excel to have a feeling of it.
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