<t>Hi;How is a forward start bermudan swaption priced from a trinomial tree, given that the tree has been calibrated to European swaptions (via LM).The (calibrated) fwd instantaneous vols are piecewise constant at quarterly intervals.Googling doesn't seem to yield any useful results, could anyone po...

<t>Very sorry to bump up this thread, But i have a question based on "FX Basket Options Valuation with Smile" by Uwe Wystup,hopefully, a guru can shed some light.Firstly;the author gives a closed form analytical formula for the premium of a european basket call option, based on some assumptions.for ...

<t>Hi;Hope someone can answer my question.The vanna volga (The vanna-volga method for implied volatilitilies, A.Castagna, F.Mercurio) method requires just 3 inputs to form a volatility smile.ATM and 25C/25P imp. vols. This is not a problem if the quotes are readily available from the market, but not...

Do'nt think there's a CD with it, well at least mine didn't when i bought it

Hi Cuchulain;Just got my copy few days ago.Great experience so far, thanks for writing the book

<t>Hi again Carlitos;Thank you for your prompt reply.1. I get what you're saying. Very enlightening indeed. Looks like i have alot more investigation/study/implementation to do. Yup i have Glasserman's yellow book. Again thank you for pointing me in the right direction. It might take awhile, but i'm...

<t>Hi Carlitos;Thank you for your reply ^_^The literature i have does mention brownian bridge for higher dimensionality with qmc for high dimensional cases.But i thought it was a 1-D problem since only 1 time step. so no need to reduce the effective dimension.so from your reply, the dimensions also ...

<t>Hi;I am investigating/exploring Quasi Monte Carlo,with Sobol sequences, using J.Kuo direction numbers.So far so good, done it in C++. But I have a simple question which I hope someone can enlighten me.In the context of simulating a single derivative under Monte Carlo simulationthe sobol numbers g...

Very, very sorry to bring up this old,old thread, but c++ norminv managed to match with excel's norminv when liney -= (1 + y) * (log1p (y) - x);was corrected to y -= (1 + y) * (log(1+ y) - x);in sjoo's post.

Thank you perlin and charef for the replies. will look into it.rgds;

<r>Hi;This could be a longshot but..I have exhausted all options available to me. Presently have code that generates the heston parameters for stochastic vol in matlab, calibrated from market data. I need to port it over to c#.quadl has been ported over to c#..works fine. Presently where i'm at, the...

yup ok.thanks ppauper and sanjay.

<t>i can't seem to find anything regarding forward start(ing) american/bermudan options i.e.premium paid on T0, but optionality to exercise begins only on forward date T1(T1>T0) right up to maturity T2. (T0<T1<T2)could anyone point me to the right direction with regards to pricing such a product ie ...

why is the code in the paper wrong?could you be more specific?worked fine for me..its not 100% carbon copy,modified to suit my requirements..

Hi;Could anyone point me to the relevant articles on how to price this via PDE besides the usual Monte Carlo?Can't seem to find anything on google.Thanks in advance.