think most people would look at theta and carry seperately (also maybe Smile vs BS theta) ... hardly a consensus agreed

<t>not sure if this is known; probably but I stumbled on it never-the-less ...in FX using FORDOM; at expiry price (so no discounting)OT(%DOM paid a maturity)=F/B*DIGI(%FOR)+DIGI(%DOM) .. where OT and DIGI strikes B and fwd =Fworks in a black scholes framework with none IR drift i.e S=F; and supports...

<t>delta will depend on what type of model you use; most fx players use mix of local/stochastic vol priced using PDE methods (delta falls out of this approach)if you have BBG you can use similar model using OVML. (Stoch-Local Vol) from the model dropdownlots of HFs still like to use BS delta if doin...

Code looks a little off to me.Similar but working code in python (using the lovely numpy/scipy libraries) - tested against some results by wim schoetens. have provided VG and BS characteristic functions but as it is modular and therefore is easy to add heston, heston with jumps etc.enjoy

Hey, what I enjoyed from the book is the insight into techniques "used in anger" by the author in real experience.I would also be interested to hear your take on using VV smile interpolation in extreme (USDJPY) skew scenarios.USDJPY Skew Breakdownregards

Not sure i like the quant sterotyping or writing styleWSJ Excerpt

<r>Would greatly appreciate the following by Lipton.<URL url="http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6TVK-3XG1SXG-P&_user=10&_rdoc=1&_fmt=&_orig=search&_sort=d&_docanchor=&view=c&_rerunOrigin=scholar.google&_acct=C000050221&_version=1&am...

agreed, but should anybody out there have them I would be much obliged...thanks

Hello,I'm looking forOn Pricing Barrier Options - Peter RitchkenThe Mathematical Foundations of Barrier Option Pricing Theory - Don Rich Pitfalls in static superhedging of barrier options - Holger KraftAny help greatly appreciatedCheers

anybody have this paper?would also appreciate the "efficient implementation" paper done with McGhee

can anybody help sending me this? thx

Can anybody send this A Lipton article onto me out of interest?any other barrier option pricing research/code welcome

<t>I'll try not to get too airy here but are folks verging towards the statement that financial modelling is more like a dialect method than scientific method? I would concur in part and am reminded of the words of karl popper - "The whole development of dialectic should be a warning against the dan...

<t>Last week the ECB allocated €442bio of collateralised funding to 1,121 banks via its 1 year LTRO. Banks could bid for an unlimited amount of cash at a fixed rate of 1%. The effect of this has been a sharp drop in rates at the front end of Europe as the Eurosystem is now awash with cash. The overn...

<t>Sub MonteCarlo()' MonteCarlo' by Sacevoy'Dim i As Integer With Sheets("MonteCarlo") Range("F16:Y10000").Select Selection.ClearContents Calculate ' Update Calcs For i = 4 To (.Cells(2, 3).Value) ' This Cell has the number of iterations .Cells(i + 12, 7).Value = .Cells(10, 7).Value ' Copy output in...