I re-post here my question about the Vanna-Volga paper of Castagno and Mercurio: Working on a topic related to the vana-Volga method, i came back to the paper of Castagno and Mercurio and i have some concerns about the paper: here is the link to the paper as i will quote some parts to expose my ques...

Working on a topic related to the vana-Volga method, i came back to the paper of Castagno and Mercurio and i have some concerns about the paper: here is the link to the paper as i will quote some parts to expose my question https://www.researchgate.net/profile/Fabio_Mercurio/publication/285662078_Th...

<t>The problem of mesuring the skew is separated in two differents questions depending on who you are talking to :1/ Market practioneer : Here it's mainly a question of convention and you have to cope with this convention if you want to be understood. Each market has its uses and so Traders on Equit...

Sorry for the preceding empty reply, but beside the legality of the question, what is F# ? What are its main advantages compare to C# ?

<t>Interesting, but not very useful from a market perspective of pricing derivatives on realized variance. In particular, i wonder how to build consistent arbitrage strategies with discrete realized variance as an asset. In practice, realized variance bundled in variance swap are quite liquid (altho...

<t>To rg : These two references are very good, particularly on the theoretical side. To get a good view of the financial structure of the credit derivartives, i strongly recommend :"Understanding Credit Derivatives and Related Instruments", Antulio Bonfim, Academic Press Advanced FinanceAbout the Sc...

About the Carr formula, i wonder if it works for a pay-off written on more than one asset. I tried to write down a multi underlying version of this formula but it doesn't seem to be so evident... Is there anyone to know if the formula is writeable in this case ?