People seem to be more responsive on other "phorums", right?If someone picks it up, chichi and I have discussed it in the 5 last posts of this thread and did not get to a satisfying answer yet.

<t>* Coming back a little to "Options on CPPI". I'd say that some structurer/sales teams label "option on cppi" a CPPI with a min exposure in the risky asset, or a simple call on the CPPI. But a call on a cppi more or less comes back to the same pay off as the CPPI if the underlying trading rules ar...

If someone has these, I'd like to have it too. Thanks.yann.renoux@nyu.edu

sothule -- and did NYU get back to you ?

Indeed, we "taught" a class. talking about newbies...Yann

<t>Going back to the vega risk, in a way, as the CPPI rebalances when the gap hits releveraging/deleveraging triggers, the vol of the underlying might be a problem.Put it this way, with a multiplier of 5 (usual these days on the street), you get a crash size of 20%, now say you estimate the vol of t...

<t>Let's throw things on one post and then talk about it:* Features: Crash size, guarantee level, initial equity exposure, Relev/Delev-raging triggers, fixed/floating floor, contingent/non-contingent/leverage fees* Risk: crash risk, vol risk in the way that a too volatile underlying will rebalance t...

<t>I guess it depends on the terms and conditions of the products you're trading. If you cannot trade at the NAV but your algo is bound to reflect it, then you take on the transaction costs, but usually your fees reflect them. Indeed for MF/HF, usually the bid/ask spread from NAV is fixed, so I woul...

<t>Well as per the transaction costs, it depends how you run you algorithm, and it depends on legal issues as per the redemption/subscription notice to the fund. Indeed, usually the weights used are t-1, meaning when you notice a change in weights to occur at t, you need the fill of the price to do ...

<t>I know what you want to compute, and maybe I can explain a bit on the "weird" prices.Say your CPPI starts at 100 and guarantees 100 (which is a common feature of the CPPIs out there in the market), and your option is floored at 100 (as per your example). Hence you supposingly cannot have CPPI_T<C...

<t>I've seen several products priced with usual log normal dynamics to model HF returns, and some ended up loosing a lot of money.Just because CPPI is ultra sensitive to down/up jumps whith the dynamic rebalancing component, and completely path dependant, you need to add jumps in your pricing method...

<t>To get the understanding :- Bertand and Prigent, "OBPI vs CPPI"- Boulier and Kanniganti, "Expected performance and risk of various Portfolio insurance strategies".- Merton's paper (mentionned in Boulier)- Brennan and Schwarz's "PRICING OF EQUITY-LINKED LIFE INSURANCE POLICIES WITH AN ASSET VALUE ...

<t>Hi,Dr. Carr is effectively writing something on CPPIs, but not on options on CPPIs. As far I know, he's trying to release Prigent's approach on vol (they had Heston).But let me also point something on MC.If your underlyings are funds (MF or HF) as it is the case in most CPPI's on the market, you'...