<t>Hi Boletje,Analytical approach … let me try to handle the problem this way: The value of the product (RA) can be expressed as :RA = DNT1 + E[PV(DNT2 with Knock in feature)] + E[PV(DNT3 with Knock in feature)] Where E[] is the expected value, PV[]is the present valueFor the 1st part, DNT1 can be o...

Hi boletje. It is path dependent, MonteCarlo method should be a good choice for you. Matt

To illustrate CDO risk monitoring by BET method, I created a excel file to demonstrate the calculation, please feel free to play around. (I’m trying to implement the copula model in excel, but seems too slow, hope that I can finish it soon). Enjoy.Matthew

Hi CactusMan, What's the topic? Any schedule?

<t>Hi Mizhael,I see. Well, I can tell you ... your investment is a bit risky! The best way to do, 1. Asking yourself what's your interest (working on something that you don’t like for few years is terrible, and I’m sure the result will be terrible too.) 2. Consult your Professors. As a student, your...

<t>Hi Mizhael,We are alike! I’m also interested both industry and academia. For my case, after I got my M.Phil. degree (in 1999), I joined a small investment house, worked as a quantitative analyst, focused on program trading (based on quantitative models, statistics …etc), covering global derivativ...

<r>I created an excel file for calculating the capital charge (with collaterals) under IRB approach (please see the attached file). Feel free to use. The file can also be found in:<URL url="http://finance.groups.yahoo.com/group/FinEngineer/files/Basel%20II/Besides"><LINK_TEXT text="http://finance.gr...

<t>Hi, Well, mean reverting? Not a problem, it also occurs in interest rate derivatives. Jump? A very common phenomenon in equity market, there are many models can handle this problem. No matter how, the creation of VIX futures provides a way for trader to trade on the volatility directly... good or...

<t>Hi, Well, mean reverting? Not a problem, it also occurs in interest rate derivatives. Jump? A very common phenomenon in equity market, there are many models can handle this problem. No matter how, the creation of VIX futures provides a way for trader to trade on the volatility directly... good or...

<t>Hi Hoare,I published a paper with the topic of "An Empirical Test of the Variance Gamma Option Pricing Model" in Pacific-Basin Finance Journal. Amsterdam, The Netherlands, Elsevier Science B.V., 10(3): 267-285, in year 2002. In the papaer, I estimated the parameters by using MLE method, the resul...

<r>Hi Bijlas,I created an excel file for CPPI performance analysis (including calculating the expected payoff and the expected shortfall for portfolio rebalancing. You can download the file from: <URL url="http://finance.groups.yahoo.com/group/FinEngineer/files/CPPI/Comments"><LINK_TEXT text="http:/...

<r>I'm studing the topic, we may exchange ideas. Besides, I created an excel file for CPPI performance analysis, you can download it from the following link: <URL url="http://finance.groups.yahoo.com/group/FinEngineer/files/CPPI/Enjoy.Matthew"><LINK_TEXT text="http://finance.groups.yahoo.com/group/F...

<r> Under the CPPI framework, the portfolio manager is required to adjust the equity portion of the portfolio from time to time. However, if the underlying asset is a hedge fund, the liquidation process may take a long time, (also, the final price may change a bit). To hedge such kind of risk, what ...