<t>Question ... in Espen Haug's article Asian Pyramid Power [and by the way, here I am referring to the version that appears in the text "Models on Models", not sure if this agrees with other printed versions or the lecture], I am looking at the expression for E[A^2] in the middle of pg 184. I would...

<t>Would like to get some thoughts regarding how a Ph.D. in OR (top 5 school) would be received by a bank for front office structuring or trading job, or by a fund for a trading job, versus some of the other more common educational backgrounds seen. Lots of physicists and mathematicians in quant der...

<t>Thanks for your patience.My implementation is almost done. Actually I took a look at some of Kou's results in his various papers, and I seem to be able to match his values out to 7 or 8 decimals. That was encouraging.However, all of these tests were done with n1 = n2. He has one option value in h...

<t>Thanks to you both, and Alan, thanks very much to you for being willing to lend a few minutes of your time.I need to do some more review before posting anything. My results do not make sense for long-dated options; the formulas blow up for T bigger than a few years.spursfan, perhaps this is what ...

I have coded it up and would like to test my implementation on various parameter sets.Does anyone have an implementation and a few free minutes to spend calculating a series of option prices and posting the results, or checking results that I can post?Let me know.Rgds and thanks

<t>I mostly come home from work now exhausted but unable to sleep due to work-related stress, which further perpetuates the cycle. Like many shops, my current employer is having a rough go, and we are short-staffed, stressed out, and curious about our future and about how bad this market will ultima...

Thanks

Can anyone point me to any literature detailing analytic solutions for SVJJ with time-dependent (piecewise constant) parameters?

<t>acasimiro,i think i just used Hull for this one, although brigo and mercurio cover this too.i think the main idea to get this one right is:1. computing short rate drift requires taking the derivative of instantaneous forward rates from initial zero curve. these are sensitive to interpolation type...

<t>Question on Volatility Skews:1. Roger Lee's moment formula parameterizes the slope of the vol skew in the deep tails as a function of the number finite moments of the underlying.2. Kou's double exponential jump diffusion model has an analytically tractable pricer for vanilla options and seems to ...

Question ... Does anyone know of any literature which discusses how to compute (under GBM) the joint density of S(T) and the average of S over [t1, t2] where t1,t2 <= T ?

I don't know if that particular formula is right but I implemented using the formula in Wilmott's PWOQF (if I recall correctly the partials were all given in terms of IVs rather than call prices) and returned all vanilla values correctly (deterministic IR).

Hey esve and alan for the replies.esve, Thanks for that. Any links where I can find the paper? I was not a Wilmott subscriber in 2003. Thanks

<t>Hi Alan,It is hard to imagine anyone could have summed up the problem better than you did. In fact, I did a less robust variation of what you describe below already and here is what I found. The skew does matter. Stochastic vol models produce different answers than GBM models almost irrespective ...

<t>In considering the value of an Asian call of the form max(0, AVG - X), there is much literature out there on how to compute prices.Many of the approximations in the literature compute an approximate value of the Asian call by, conditional on a volatility for the stock price, calculating the momen...