two of the most heinous regimes this side of StalinDo you have a heinous-meter? What does it read for Uzbekistan?

<t>I don't think its accurate to say that closed form greeks for barriers are not useful- it depends on why you are looking at them. From a theortical persepctive, it is useful. It will really help you to understand barrier options and particularly how they compare to plain vanilla counterparts. The...

Can you explain your logic for the way you use Monte carlo - Doen't this assume that you can only exercise at expiry, unlike the discrete method?

<t>Warwick is highly regarded for maths/mathematical finance. Imperial for MSc mathematical finance is also very good but I'm not aware of rankings as such. Global-derivatives.com is a useful source of information for MSC math fin programmes so you should get some useful info from there. You need to...

for a wedding cake structure with n levels, whats the best way to price this- is it asn double knockouts?

I know quite a few people who have been in this position, and gone both directions. Without fail, the ones who appreciated that life is short and when it's over it'll be your family/friends not your boss that remembers the contribution you made, are much more happy...

<t>was hoping someone could offer some guidance with something I was thinking about, relating to VaR but without getting into the pros/cons of VaR etc...Can VaR coherntly capture the risk of an illiquid digital near expiry? What I'm getting at is lets just say a few days before expiry the digital is...

<t>I am a bit confused about the single risk factor point aswell - I wasn't quite sure what is meant by" b]mostly a single risk factor" Can you elaborate a little by what you mean with mostly a single risk factor or give an example of an asset with multiple risk factors where it would be suitable to...

thanks for usefuls tips...

<t>This could be a really big project so I would suggest thinking about the path you want to take - I think the first thing youd need to think about is which countries your going to chose - This is probably made more difficult by the fact that you know in advance which markets are more dependant etc...

You should perhaps think about utility... I studied engineering too.

what level are your students?

Risk management and financial engineering by cuthbertson and nitzsche explains this stuff..

<t>The delta in BS doesn't tell you about how much spot/cash to use to hedge fullstop. Delta is a function of underlying. Obviously, underlying changes throughout your holding period, so does your delta. Therefore you must rebalance in order to continue your delta hedge (which is not a static hedge)...

if there was a difference, it would be closed instantly by arbitrageurs...