really interested in the topic too..I will come back on it soon.Any inputs?d'be kind from you ciao

Right. dW_q(t) has a drift under P but no drift under the new measure QIn fact, changing the measure can actually have pretty practical issues. Think of the changes of numéraire you need in cross-currency IR models to know the drift of foreign quantities in the domestic market..

<t>For the moment I'm using linear and cubical interpolation between different expiries. Tough beeing interested in comparing different interpolation techniques, including linear interpolation between different maturities following the changing money. However I'm still hearing of various more dense ...

<t>QuoteOriginally posted by: Aaron The second method requires a complete set of cap prices, that is one for every payment time. If you don't have that, you have to interpolate somehow, for example using the first method but only over the interval of missing data. Hello Aaron,could you or anyone giv...

<t>QuoteOriginally posted by: playerI didnt say euro will collapse..I just meant to say will Italy leave the euro in the near future ....(say within the next 5 years)...Last year these reports came out ..and again they have come out again over the weekend....perhaps if you can dream it, it can becom...

perhaps if you can dream it, it can become.. true..

<t>ciao Fabio,I thank you very much but I was concerned about FX forward rates, not Libor.But My request had no sense. Since the ZC wich enter the Fwd rate calculation have Zero volatility on maturity, they have no effect on the terminal correlation. Furthermore, if I assume a BS-like dynamic for my...

Thank you all. I think I got it

<t>In pricing an hybrid swap I derived a formula wich contains a covariance term between two FX fwd rates. I was comparing correlation obtained with historical data with the one implied from FX option prices when I suddenly realize that I was estimating correlations between spot rates and not betwee...

nice documents , mutley. thanx

no

I must implement a model that incorporate the Fx smile into a Quanto structured product. What are the best current models? Are the bank models still secret since 2005 Pitterbarg's paper? Thank you all

Dariusx, may all the great men not follow your advices. For the progress of all the mankind.

really amazing

<t>Alvinkam and RikhadI would like to share your thoughts about a few questions:Can't the caplet vol bootstrapping (from the flat vol) safely (from a theoretical pt of view) be made before any proper calibration phase?And isn't the hedging improvement motivations more important than simple "arbitrag...