superstars - thank you

Thanks for the help and feedback James.

hey admin - any news on getting the past attachments back & accessible?  or even new attachments accessible for later use?

Hi James, The past attachments will be back a little later, it's still on our list. Attachments in PM have just been activated, can you let us know if you still have issues with that? it's telling me .zip, .xlsm and .txt file types are not supported for attachment in private message mode Thanks for...

Hi James,

The past attachments will be back a little later, it's still on our list.

Attachments in PM have just been activated, can you let us know if you still have issues with that?

it's telling me .zip, .xlsm and .txt file types are not supported for attachment in private message mode

Hi, new look website doesn't allow me to see past attachments I have uploaded, nor allow me to use attachments in private messages

Unless I am missing something, appears a significant drop in flexibility of the forums

Best,
James

<t>In equity-linked derivs, i would agree with OP's statement: warrants are debt instruments (like notes) but they have an initial value similar to that of an OTC option. I will take premium from & post collateral to option purchaser if they do it with me OTC; my discount rate is linked to the c...

<t>PCA the covariance matrix for all n assetsCalculate the variance of being long your single asset, A, vs being short the basket of the other assets, B [this is really a covariance now]Divide this by sqrt(variance of A x variance of B)this should reveal the correlation of A vs BPCA just makes the s...

QuoteOriginally posted by: list1Sorry for might be naive question. Assume we get a local volatility surface. What does it mean to 1) test, 2) verify and 3) validate it quantitatively?I wouldn't say that was a naive question; it's certainly a list1 question though.

simulate many paths & ensure your local vol MC manages to recover the European option prices / vols that were used to construct the LV surface from the IV surfacethat is one of the easiest ways to validate it - and it that doesn't work, you have bugs somewhere!

<t>Using this (free) platform to pursue your own personal financial motivation is not what I define as good."General Forum: This is the forum for general quantitative finance banter. ""Off Topic: All work and no play makes Jack a dull boy. Post non quant messages here. Anything (legal) goes... "it's...

Is the Wilmott forum really the most appropriate place to solicit for business opportunities? This thread is one of a number that indicate focus on quantitative issues is being diluted by threads more focused on personal promotion.

and that is why I don't get on with pure mathematicians. Thankfully, I don't often encounter them in structuring!here's a function to interpolate factorial numbers - Gamma Function - I am pretty sure it is a tricky one to evaluate though!

Black-Scholes options are not actually *true* closed-form. Still need numerical techniques to approximate the cumulative normal distribution.

<t>Hi Daniel, see attached for NDX implied df & forward for Dec16 expiry as of 13th Nov 15 closeSpot on close was 4502.137, time to expiry 1.093yrs (Act365) so on that basis, would take the OIS discount rate to be 1.05% and the implied div yield 1.37% (= q where F = S.exp((r_OIS-q).T) )this char...