<t>Hi,as in message title, or more precisely I'm interested in approximation of asset price. Let's assume that one has function to price cash-or-nothing one touch digital option. So price of No Touch cash or nothing would be NoTouch = Payoff - OneTouchOption.And now let's consider a asset-or-nothing...

<t>Hi,I wonder about the difference in counterparty risk interpretation between considering a CIRS (roller coaster, with period principal exchange) as it is, or as a combination of few independent FX Forward contracts?Shouldn't estimation of the risk with AddOn methodology to a CIRS contract give le...

Yep, that helps.I was considering exectly something like this.thanks

Hi,what exactly mean the "cherry picking" according to a company that is going to bust?rgds,Matt

Does no-one has any comments? Any piece of information is better that none.Rgds,Matt

I'm still looking for your help...rgds,Matt

<t>I'm working on some corridor option hedging. I wonder about any kind of relationship between Corridor Option (knock out, knock in) and same type of Window Corridor Option (with the same maturity, strike, etc), which barriers are till (or since) some time point before maturity.Any information woul...

my email is: helgus1@wp.plCaccoas, have you the "static hegding exotic options" or commonly availble "static hegding standard options"??regards,Matt

unfortunatly I can't access that article. Could you email it to me??rgds,Matt

<t>Hi,I'm working out the problem of static hadging of such double barrier option:One of the barriers is monitored through whole lifetime of the option. Second one is observed only at expiration date. Both barriers luckily are of the same type, I mean in or out.My job is to hadge such an option stat...

thx rcohen. I wasn't aware of that page and data. I found it useful

thx jomniI'm still looking for more...

<t>Does anyone know what type of service have one have in order to get access to credit spreads for different standings?? I heard that for Reuters 3000Xtra such data is avaible after purchasing additional services, but unfortunatly I don't know which exactly.I will be grateful for any information ab...

<t>Thanks Aaronbut now I'm confused. I want to understand work of Umberto Cherubini "Pricing Swap Credit Risk with Copulas". There he writes: "...we assume to observe the term structure of default intensities and take the worst case scenario concerning the loss given default figure Lgd=1 ", that is ...

Hi EveryoneCould Enybody help me how to obtain a credit curve (default intensities) from Credit Default Swap prices? I would be grateful for any reference or explanation.