<t>sorry ... i was thinking about the Real as in the currency ... none the less, suppose there are coins between 0 and 1.00. If the number tossed is 0.5 or less, then choose higher and your chances would be a little greater than 0.5 for winning provided the number of coins are equally distributed fr...

<t>This is actually very simple. There are 6 different real coins: 0.01, 0.05, 0.10, 0.25, 0.50 and 1 real. I assume that you have a bag with an equal number of each of these coins, you pull two out that are different and then conduct the experiment. Therefore, If the coin shown is either 0.01, 0.05...

Hi,Could you please send me a copy of the paper too?comfortablesofa@gmail.comThanks!

<t>QuoteOriginally posted by: JungixIntuitively, I would say (probability of defaut) * (1 - recovery) = spread, as it would give a 0 expectation to someone trying to hedge fully, but I wonder if it the case in practice. Is this the result you were referring to?I would think that this probability is ...

could you please tell me which one? i'm looking for a proof ... not just the answer

Hi,I want to know how to extrapolate the default probability of a counterparty if you are given the CDS spread. please help.

<t>I'm sorry, but I don't follow - what are you trying to hedge(IR Risk, illiquidity ... etc)? Also how do you have your currency risk hedged by going into two 10-Yr govt securities (I dont think there are 10 Year Currency Forwards out there)? Is your trade meant to take advantage of a correlation b...

Well - sure the spike matters - if there's something as obvious as a spike, it reveals arbitrage opportunities.In regards to specifications of the option - consider the trade in question to be shorting double barrier single touch options.

<t>I was thinking of that too - but for some reason, the idea of implied volatility spiking didn't seem correct. For the example mentioned, I know for a fact that dealers on the interbank market don't bother with writing options with something as gregarious as an expected NFP.One of the dealers I sp...

<t>wallstgolfer,I think your question needs to be a bit more specific. I did research on CTA's a few years back and their returns were just as varied as the returns I have seen from 'human-run' funds. Nonetheless, the variance of the returns is not underquestion here.I am a strong believer that all ...

<t>I'd fully agree with cougar's point about the reversals of correlations. Perhaps the greatest example (as commonly alluded to) is LTCM.Nonetheless, the question of whether to or not to execute on a correlation eventually comes down to balancing risks and your risk-appetite. In the event you face ...

<r>How can you factor in sudden spikes in volatility (such as the non-far payroll release for the eur/usd) into option pricing? Technically, I could rip the shirts off every market maker who is not factoring the incomming burst in volatility by purchasing either an exotic option or straddling vannil...

Can anyone please help me out?

<t>Hi,I have an internship comming up on modelling/pricing credit card ABS. However, I don't really know too much about this particular type of ABS. I was wondering if anyone could help me out by pointing me to a few papers on the topic, or posting some banks' research on the topic. I really would p...