Does anybody know if this derivation is his work or if there is any other paper on this out there?

<t>In general for bonds:(1 + zero_t1) ^ t1 * (1 + forward_t1t2) ^ (t2 - t1) = (1 + zero_t2) ^ t2Money is just the same but linear fashion.So you either need one zero rate to start with and then get the others via the forward - e.g. you have zero_1m and get zero_2m via the forward_1m2m etc.Alternativ...

Hi guys,I couldn't find any solutions manual for Shreve's book "Stochastic calculus for finance II". Has anyone of you seen something like this - maybe even only a partial collection of solutions to the problems?Thanks!

Hi there,I'm looking for a C++ implementation of the generalized lambda distribution probability density function.Thanks for you help!

Hi prat, I'm currently looking for exactly the same.. Please let me know if you find something interesting..

<t>Hi,I was looking for the article "Constructing Binomial Trees from Multiple Implied Probability Distributions" by Brown in the Journal of Derivatives 1999 but googeling wasn't successful..Or do you know any other papers that treat the construction of binomial trees based not only on ending node p...

<t>Thanks Rez and spigeols.. I'll have a look at that!spigeols:By "flattening" I meant the search for a yield distribution whose implied volatilities calculated from the market prices don't form a smile but (in the optimal case) a flat line. The BS existis because yields are not normally distributed...

<t>I'm currently working on a similar topic: flattening the implied volatility smile using non-normal yield distributions..The distributions that I tried to fit to different market smiles are: student-t, edgeworth and lambda..The edgeworth distribution gives pretty good results. The student-t gives ...

<r>I recently had a similiar problem.. I wanted to import a data table from a PDF file into Excel.. I solved it as follows:- start the Xpdf (<URL url="http://www.foolabs.com/xpdf/download.html">http://www.foolabs.com/xpdf/download.html</URL>) program "pdftotext.exe" via vba passing the required para...

<t>Hi Aaron and Stylz,thanks for your answers.Aaron:You're right - I assign the interval 0.3125 to 0.6875 to the value 0. But my real problem is: what is the x-value belonging to a randomly sampled cumulative probability of - lets say 0.4000 (I want to use 0-1 distributed numbers to generate random ...

<t>Hi,for my thesis, I'm currently working on a C++ program for evaluating options allowing for non-normal underlying yield distributions.My problem is as follows: amongst other methods, I want to be able to use MC simulations. Thus I need the inverse cumulative distribution for coverting my 0-1-sam...

I think this depends.. While the put delta decreases further, the negative delta resulting from the short call increases (becomes less negative). Depending on the gamma of both options, the overall delta-exposure could be de- or increasing. Hope this helps..