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by ada
February 27th, 2006, 9:49 pm
Forum: General Forum
Topic: forward exchange rate
Replies: 3
Views: 117058

forward exchange rate

<t>Hi there,Are there any market conventions on forecasting forward exchange rates? On Bloomberg FRD, only forward exchange rates within 5 years are available, and i have to forecast FX rates for 6 years to 10 years. Already google, but seems little info there. Any hints or thoughts are welcomed her...
by ada
January 27th, 2006, 12:39 pm
Forum: General Forum
Topic: Pricing a new bond with asset swap rate
Replies: 1
Views: 122370

Pricing a new bond with asset swap rate

I am interesting to compute a new bond price with calculated asset swap spread and given cpn. Read a tread here about converting asset swap spread to yield spread by dividing duration. Is this the correct way to do? Thank you in advance for any hint here. Rgs
by ada
January 18th, 2006, 8:09 am
Forum: Technical Forum
Topic: ASW and Z spreads
Replies: 15
Views: 219374

ASW and Z spreads

<t>QuoteOriginally posted by: sankar2Z Spread is the constant spread to the Zero Swap curve that one has to apply so that the discounted value of cashflows will equal present dirty price of Bond. ASW ( Gross Spread in Bloomberg) equals discrepancy between the bonds market price and its implied value...
by ada
June 2nd, 2005, 10:12 am
Forum: Student Forum
Topic: Heston (1993) on DAX
Replies: 0
Views: 146681

Heston (1993) on DAX

Hi, Are there any paper implementing Heston model on DAX to provide the parameters value? Need to read one for comparation.My data is from 2002 to 2004My calibrations are V1=0.04V2=0.04lambda=2eta=0.39rho=-0.6but does not seem good. Thanks!
by ada
May 26th, 2005, 2:17 pm
Forum: Student Forum
Topic: Is the implied tree model reasonable?
Replies: 2
Views: 147803

Is the implied tree model reasonable?

<t>Thanks for your reply. You are right the implied tree model usually corresponding to only local volatility. Derman and Kani (1998) extended the restrict assumption of deterministic volatility and develop a pricing model with stochastic volatility that fits current option prices. There is a good p...
by ada
May 24th, 2005, 5:47 pm
Forum: Student Forum
Topic: Is the implied tree model reasonable?
Replies: 2
Views: 147803

Is the implied tree model reasonable?

<t>I am playing around with implied tree model using backward induction methodolgy to calibrate stock prices with option prices given. The implied risk-neutral probability density functions can be calculated from option prices. The theory is taken from Breeden and Litezenberger (1978): get the secon...
by ada
May 17th, 2005, 5:34 pm
Forum: General Forum
Topic: DAX option settlement price
Replies: 0
Views: 148452

DAX option settlement price

Hey, I got some data of DAX option using settlement prices. What settlement prices here mean? Option prices?Thx a lot.
by ada
April 26th, 2005, 8:05 am
Forum: General Forum
Topic: Stochastic Volatility Calibration
Replies: 0
Views: 151023

Stochastic Volatility Calibration

<t>Hey there, I need to implement model-free implied volatility of Jones and Neuberger (2000) for my paper. As a newbie at Matlab programming, i have little ideas on how to deal with my data. Help would be very appreciated if someone could give me some tips. Even more appreciated if someone share wi...
by ada
April 26th, 2005, 8:04 am
Forum: Programming and Software Forum
Topic: Stochastic Volatility Calibration
Replies: 1
Views: 151312

Stochastic Volatility Calibration

<t>Hey there, I need to implement model-free implied volatility of Jones and Neuberger (2000) for my paper. As a newbie at Matlab programming, i have little ideas on how to deal with my data. Help would be very appreciated if someone could give me some tips. Even more appreciated if someone share wi...