futures are traded on the exchange. How can there be default risk in futures? Are you referring to forward contracts where the conuterpary may go default?

<t>I have a few questions about SVI parameterizations for representing skews.Suppose that you have the SVI parameterization of the volatility skew such that Var(k;a,b,sigma,rho,m) = a+b{rho(k-m) + sqrt((k-m)^2+sigma^2)}If you obtain the parameters of SVI, then is it possible to obtain the moments of...

<t>I am trying to model the underlying of the commodity future as a Johnson distribution. Is johnson distribution time-scalable?So if you know the Johnson distribution for 2 month, can you scale it for the tenor of 4 months, for example?(just like that Brownian motion is time-scalable by the factor ...

<t>I am trying to model the underlying of the commodity future as a Johnson distribution. Is johnson distribution time-scalable?So if you know the Johnson distribution for 2 month, can you scale it for the tenor of 4 months, for example?(just like that Brownian motion is time-scalable by the factor ...

<t>Does anyone know where I can find the weights and points for the Gauss-Hermite Integration? I can find the weights and points if I am using up to 32 points. However, if I want to use more points (such as 50 or 100), can I find some weights and points for the Gauss-Hermite Integration?Many thanks ...

Do you have exact reference to the papers you mentioned?Thanks!

Suppose that you have a volatility skew (observed at differerent various strike points.) From this, is there any efficient way of obtaining moments of the underlying distributions (first four moments, for example)?Thank you very much for your help!!!

I believe that you can find the characterization of Brownian Bridge process in the following book.Karlin S. and Taylor (1981) A Second Course in Stochastic Process.The authors show how you derive Bridge Bridge process by pinning terminal values of Brownian Motion process.

<t>Suppose that X_1, X_2, ... X_d follows correlated Geometric Brownian Motions. Let S(t) = X_1(t) + ... + X_d(t).with a barrier level c < S(0).In this setting, suppose that you want to find the barrier crossing probability for the process S(t). Does anyone know any paper that talks about computing ...

You can also look at more recent paperKolkiewicz A. (2002) Pricing and hedging more general double-barrier options, Journal of computational Finance, 5, 21-29.

what is the underlying process that you assumed for the house price process?

Does anyone know the reference to price and hedge a quanto equity swap?Thank you very much in advance.

<t>I would like to compute a volatility of a single-commodity index (for example, GSCLER).In this case, we need to determine the volatility of a commodity, but we have to take account of periodic rolling from one contract to another.For example, suppose that we want to compute the vol with a maturit...

<t>I am reading the paper "Reconstructing Volatility" by Avellaneda et al. In this paper, the notation sigma^{I}_B (x_bar) refer to the implied volatility of basket option at the strike level (x_bar)? (where x_bar is the log of the ratio of strike and the current spot price.)?Would anyone verify whe...