In Practise, vanna volga is used to price fx exotics. Please give me insight of this. My guess is due to the surface shape. Please provide me the details. Is this can be generalised to IR, EQ...Thanks in Advance.

<t>Hi, for calculating call vol from RR &Bfly(1) xDCall Vol (ask) = ATM (ask) +0.5* xD RR vol(ask) +xD BFly (ask) xDCall Vol (Bid) = ATM (Bid) +0.5* xD RR vol(Bid) +xD BFly (Bid)or (2) xDCall Vol (ask) = ATM (Mid) +0.5* xD RR vol(ask) +xD BFly (ask) xDCall Vol (Bid) = ATM (Mid) +0.5* xD RR vol(B...

May be he is looking for the following: Once you get the price from Heston Model, put that price in the Black- Scholes model to get the impled volatilities. so that we can check whether the model is capturing the volaility smile

Heston model is for stochastic volatility, as i know this model is used for European style option. I am not really sure whether this can be used for pricing American style option

Hi Friends,I have a doubt about the meanreversion (a) in the Black Karansinski Model. Can "a" be negative? If so what about the swithing inbetween tree structure. Can any one please provide me the Mathematical Explanation material? Thanks in advance.

Hi Friends, I have a doubt about the meanreversion (a) in the Black Karansinski Model. Can "a" be negative? If so what about the swithing inbetween tree structure. Can any one please provide me the Mathematical Explanation material? Thanks in advance.

If you are doing a european style, you could have priced using Blcak's formula. Look at BS vega formula and do some neccessary changes.

Try contours

where do you use it. it is some thing like a forward contract on an american option. Basically you are looking to block the premium (inditectly vol)

ANY ONE IS WORKING ON CARBON TRADING. CAN YOU PLEASE SUGGEST SOME MATERIAL. THX IN ADVANCE.

ANY ONE IS WORKING ON CARBON TRADING. CAN YOU PLEASE SUGGEST SOME MATERIAL. THX IN ADVANCE.

Quic is developed on OOPs concept. Its covers most of the instrument. It uses monte carlo, FD methods, And also does the Risk managements like VaR, PFE calculation.......I worked with QuiC aroung a year. But it doent have a good GUI.

Does any one have any notes on Trade lifecycle of a floating rate loan.Thanks in advance- sanjay

Must has a Extended BGM pricing methodology. BGM is extended to equity and Fx rates also using correlations among them.

Look for Characterstic Function of Normal distribution.Brownian Motion follws Normal distribution.