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by las
November 17th, 2011, 9:47 am
Forum: Technical Forum
Topic: aggregate interest rate swaps for faster risks
Replies: 4
Views: 16813

aggregate interest rate swaps for faster risks

What is the best way to aggregate interest rate swap positions into fewer calculations and still get correct portfolio risks?
by las
December 11th, 2008, 11:44 pm
Forum: Technical Forum
Topic: What is Jamshidian Trick?
Replies: 9
Views: 200068

What is Jamshidian Trick?

I think you mean this article.An Exact Bond Option FormulaFarshid Jamshidian Volume: 44 Issue: 11989
by las
November 26th, 2008, 11:04 pm
Forum: Trading Forum
Topic: US Libor
Replies: 6
Views: 47053

US Libor

That seems to describe the BBA Libor, but I am interesting in the contribution time in NYC.
by las
November 26th, 2008, 6:35 am
Forum: Trading Forum
Topic: US Libor
Replies: 6
Views: 47053

US Libor

Where do I find a document describing how the contribution to LIBOR in the US? I tried to look at the FED web page but did not have much luck.las
by las
October 28th, 2008, 8:40 am
Forum: Technical Forum
Topic: variance swaps and dividends
Replies: 0
Views: 47063

variance swaps and dividends

What is the best way to treat dividends with Variance Swaps?Do you need a jump model for short term (discrete) and then change your interest rate longer term?las
by las
September 29th, 2008, 7:06 am
Forum: Student Forum
Topic: filtering of signal processes
Replies: 0
Views: 47724

filtering of signal processes

<t>Hi,What are the applications of filtering in finance? By filtering I mean an observation process is a filtered signal process, filtering the probability space.It seems like the Kalman-Bucy filter is a celebrated examples, that is in widespread use in real-world problems of filtering, an alternati...
by las
September 22nd, 2008, 4:25 am
Forum: Student Forum
Topic: Can anyone explain this?
Replies: 7
Views: 49616

Can anyone explain this?

Thank you for spotting that. I corrected the formula now.
by las
September 22nd, 2008, 2:28 am
Forum: Student Forum
Topic: elegant Black Scholes proof
Replies: 9
Views: 53639

elegant Black Scholes proof

@ Paul: I would like to get from sde to the closed form solution for a call option.
by las
September 22nd, 2008, 2:16 am
Forum: Student Forum
Topic: elegant Black Scholes proof
Replies: 9
Views: 53639

elegant Black Scholes proof

An elegant derivation using the martingale approach, please.@ paullee123 That reference looks great, thanks.@ Gmike2000 I am happy that we all live in la la Land since 30 years now... at least until the current credit crunch.
by las
September 19th, 2008, 5:02 am
Forum: Student Forum
Topic: elegant Black Scholes proof
Replies: 9
Views: 53639

elegant Black Scholes proof

What is the most elegant Black Scholes proof that you have seen from martingale theory?Thankslas
by las
September 18th, 2008, 3:15 am
Forum: Student Forum
Topic: Can anyone explain this?
Replies: 7
Views: 49616

Can anyone explain this?

In the equation below how do I get from the left side to the right side of the equality sign?Is the related to the diffusion equation?Thanks in advancelas
by las
September 28th, 2007, 6:51 am
Forum: Student Forum
Topic: priced in expections of rate cut / hike
Replies: 0
Views: 64252

priced in expections of rate cut / hike

I sometime hear the traders that they can see a 25 basis point discount rate hike / cut priced into the bond futures.How do I see what the fair value and see this information for a given future quote?For which maturities of futures? las
by las
September 28th, 2007, 6:37 am
Forum: Student Forum
Topic: priced in expections of rate cut / hike
Replies: 0
Views: 64220

priced in expections of rate cut / hike

I sometime hear the traders that they can see a 25 basis point discount rate hike / cut priced into the bond futures.How do I see what the fair value and see this information for a given future quote?For which maturities of futures? las
by las
September 28th, 2007, 6:25 am
Forum: Student Forum
Topic: priced in expections of rate cut / hike
Replies: 0
Views: 64240

priced in expections of rate cut / hike

I sometime hear the traders that they can see a 25 basis point discount rate hike / cut priced into the bond futures.How do I see what the fair value and see this information for a given future quote?For which maturities of futures? las
by las
September 28th, 2007, 3:53 am
Forum: Technical Forum
Topic: Greeks
Replies: 0
Views: 64777

Greeks

<t>For the products that we price using Monte Carlo simulations we will have problems with the Greeks not being stable if we just bump the market data.Specifically when we price base and bumped market data we might get a whole coupons more paid out sometimes, we might knock out earlier or the likes....