Hi PaperCutThanks for taking the time to answer but I am not sure that the link you provide enables to solve the problem since N(a*X) and N(b*X) are not normal distributions. I might be missing something. Would you mind elaborating a little bit more ?ThanksNicolas

<t>Hi all,I have been trying to solve or at least simplify the following expression but without any success so farI (a, b) = E [ N (a * X) N ( b * X) ] where a and b are real numbers, X is a standard gaussian variable with zero mean and unit variance and N is the standard cumulative distribution fun...

Thanks !

HelloDid anyone by chance receive Phaedo's paper ? ;-)ThanksNicolas

That is a pity !

Hi,I am interested as well, I have been looking actively for it on the web but I could not get it. So if you make it, please send it to me as well. Many thanks. Nicolas

I would be interested as well if you could send it to me ;-)Many thanks !Nicolas

Many thanks koubliac .. I understand quite better now ;-)Thanks a lot againNico

<t>Hi all,I read in an article that the Asset Swap Spread could be defined as the sum of three components: the borrow cost, the funding spread and the tax adjustment.I have tried to find the exact definitions of the three components but I did not find anything.Could someone give me succint explanati...

Received your email. Many thanks again.Nicolas

Ok thanks

I am working on it ... thanks

Antonio, Thanks again for your help.I really need to have a look at this article ;-)Nicolas.

<t>Hi Antonio,Thanks for your reply. I actually try to value a variance gamma swap in a continuous framework. With respect to my previous mail i realised that i made a mistake in my calculus. I actually end up with a term of type: integral of S_t. log(S_t). r_t . dt ... that i do not know what to do...

<t>Hi all,I am naively trying to derive a pseudo close solution for a Gamma Variance Swap based on the same idea of static replication used for standard Variance Swaps when we suppose that the underlying is lognormal. At one point, I end up with a term E[0_int_T {vol_t^2.S_t^2dt}] which i do not kno...