<t>Hi guys, Does anyone know any specifics of the methodology used by bloomberg in its OVSN function to price reverse convertible notes? The PDF description of the function says this:The price is calculated with a Montecarlo multi-dimensional Black-Scholes model with marketimplied volatilities and h...

<t>Hello everyone. I am trying to get ahold of this paper from the Journal of Derivatives:Raymar, S. B. and M. J. Zwecher. “Monte Carlo Estimation of American Call Options on the Maximum of Several Stocks.” The Journal of Derivatives 5 (Fall, 1997), 7-24.My university does not have access back to 19...

<t>I am trying to come up with a static hedge for a double barrier option. I've gone through the famous Carr, Ellis Gupta (1998) paper, the Derman, Ergener and Kani (1994) GS Research Note and others, but they stop short of providing a specific hedge for double barriers, although they always give yo...

Thanks ppauper. Here's my attempt with n=0(r^2)y'' + ry' = 0s^2 + s = 0 , so s=0. s= -1y= c1*exp(-r) + c2*exp(0) = c1exp(-r) + c2I'm trying to use the standard formula for homogeneous, second order PDEs. Is this an incorrect approach?Thanks again!

Try www.tickdata.com.For futures intraday data, try www.theifm.org

<t>Hi gals and guys,I was wondering if someone could help me with the following ODE question:Show that if n belongs to Z the only solutios of the differential equation(r^2)F''(r) + rF'(r) - (n^2)F(r) =0 which are twice differentiable when r>0, are given by linear combinations of r^n and r^-n and 1 a...

<t>Hello, allI have pulled an all-nighter today trying to solve a take home due today at noon (EST). It's my last assignment before I graduate as a master (whatever that means). Can anyone help me answer this question for a beer (if you are located in the Northestern U.S. or London, I travel there r...

Thanks a lot, Alan. I did not intend to relate it to the Poisson Process but your explanation follows smoothly.Blade Runner rules!

Hello, fellow Wilmotters. Is someone familiar with reliability analysis? If so, can you help me give a proof of the following equation:For t >= 0F should have a bar on top, meaning that F bar = 1 - F(t)any ideas?thanks!

Remember that for every pure "quant" job in the financial sector, there are many other supporting jobs that may not have the glamour but are equally important: operations, sales, etc. Are you interested in those sorts of profiles too?

<t>QuoteOriginally posted by: jawabeanQuoteOriginally posted by: pb273even if it is more of a police system. The key idea is not to take the police-system of the US personally. what do u mean?! it's nothing like a police state, imho. there's no cameras on every street in usa, and the privacy is a bi...

It was pure and basic stats, as you said. Var X: Ex^2 - (Ex)^2Ex^2 cannot be determined directly. Thanks for your input.

<t>Hello, fellow Wilmotters. I was wondering if any of you guys are familiar with Bayesian Decision Theory. The book we are using in class is Berger's Statistical Decision Theory and Bayesian Analysis, which in some examples does not describe all steps. In page 12 (example 4), it says the following:...

<r>I'd be surprised if it has not filled up yet. Usually, the H1-B cap gets filled weeks after the start of the U.S. Fiscal Year (October). If by any chance you intend to work in a non-profit or academic organization, then you should not worry about the issue: there is no cap for these types of empl...

Thanks a lot guys. These references have been really useful for my assignment