<t>When you're at barrier - epsilon (knock-up), an american digital is almost worth the discounted rebate since there's a very small probability that the underlying doesn't cross the barrier once.For a european barrier, if you simplify saying (r-q) ~= 0, then you have about 50% chance to be above th...

<t>Thanks for the answers (erstwhile, I read your previous posts about large options and digitals and found them very informative).What do you mean though when you speak of windfall gain ? Are you talking about the gap risk, which if we're still talking of this good old american digital and assuming...

<t>I'm with you on that, CS for digitals.But barrier shifting doesn't solve any hedging problem for them ; using that KI digital at 100 :- if you shift to 98, you'll have to hedge your exploding greeks without any sort of protection- if you shift to 102, you won't have that problem but you'll be und...

Barrier shifting doesn't work for pure digitals : to use your example, you won't be able to replicate your payoff when the spot is at 98 (think in terms of diffusion and dirichlet conditions).

I can't find a concrete figure for calculating the barrier shift to be applied to an option ; there only seems to be grandma formulas such as "shift 4 everytime", "shift (B-K)/5".How is it done in practice ? Figure out the minimum gamma to be allowed for the option and shift accordingly ?

10M yen for a junior out of school (PhD/DEA).

<t>QuoteOriginally posted by: DCFCI'm not an expert on Japanese immigratoin law, but I strongly suspect you simply can't legally stay more than 6 months without applying for a more long term visa.If they start this, then you need to look for an exit strategy.Just to add that there is the shortest wo...

Qu'est-ce que tu entends par DEA de l'Ensae ? Cohabilité par l'Ensae ?Jeanblanc est justement prof à Evry, c'est pour ça que je me posais la question de la visibilité.

Je fais remonter le thread pour avoir des avis supplémentaires sur les 3ème cycles non P6/P7 : MLV, Evry, MASEF, MMME - est-ce qu'il y a vraiment une hiérarchie entre eux ou est-ce qu'ils sont tous à peu près du même niveau de réputation ?

<t>QuoteOriginally posted by: tigerbillQuoteOriginally posted by: pi314Go to Tokyo daigaku, in mathematics departement, no problem because this is the most prestigious school in Japan....unfortunately many of its courses are taught in Japanese language...Do you mind if I ask you what the point of do...

15/20M, including the bonus, doesn't seem out of the picture for me ; I'd be wary of any offer for less than 10M base salary.

I wasn't in an IB at that time, so your income bracket won't be the same as mine You can consider 20-25% a good approximation for the income tax if you earn 2k man, then add an additional 5-10% for the local taxes (which you won't pay the first year).

Compensation is on par with what you can find in London or NY.Living cost is what you make of it : live like an expat and suffer, but I've found it cheaper than London and sometimes even Paris when I lived there.

<t>QuoteOriginally posted by: bbmatGeist,I strongly disagree with your post from Dec. 18. It absolutely does not reflect reality in many ways and I am wondering whether you informed us of your experience in Japan sometimes during the 70s. Here some corrections:(snip)I mean, lets be honest here for a...

<t>I'm in Paris at the moment, and it's quite clear what to do if you want to go into trading (DESS203) or in a quant role (P6/P7).What I'm not so sure of is - which one to choose if you want to be a structurer ? Are the most quantitative degrees (the latter ones) a prerequisite, or are those lighte...