SERVING THE QUANTITATIVE FINANCE COMMUNITY

## Search found 45 matches

November 17th, 2012, 7:32 am
Forum: Student Forum
Topic: Pls help with some derivation in "Funding Beyond Discounting .." from V. Piterbarg
Replies: 2
Views: 9358

### Pls help with some derivation in "Funding Beyond Discounting .." from V. Piterbarg

<t>hi Vladimir.thank you very much for the explanation.I got it now.I agree that it does not hinder in any way the understanding of your article, I was just curious about why it was mentionned when most papers do not mention these technical details. I thought I was maybe missing some specific subtle...
November 14th, 2012, 1:44 pm
Forum: Student Forum
Topic: Pls help with some derivation in "Funding Beyond Discounting .." from V. Piterbarg
Replies: 2
Views: 9358

### Pls help with some derivation in "Funding Beyond Discounting .." from V. Piterbarg

<t>hi,I have some trivial question about Piterbarg seminal paper on how funding and collateralisation impacts Black and Scholes PDE.The paper can be found here :paperalso, just below equation (4) he states the following :"Note that if our probability space is rich enough, we can take it tobe the sam...
October 5th, 2009, 2:04 pm
Forum: Numerical Methods Forum
Topic: CEV option values - help needed
Replies: 33
Views: 55473

### CEV option values - help needed

dF = delta*F^(beta/2)dW is spot on for the notation.forward F_0 = 2%then I price options with different absolute strikes { 1.4% , 2.8% , etc.. } where I observe negative time value for calls.
September 30th, 2009, 12:11 am
Forum: Numerical Methods Forum
Topic: CEV option values - help needed
Replies: 33
Views: 55473

### CEV option values - help needed

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: ApprenticeQuoteOriginally posted by: CuchulainnYou're welcome, Mike. I use a slightly different notation from Schoder, but it worked out fine. BTW, I also tried to get an answer on MC and Euler, but the answer is not accurate (S can ...
September 29th, 2009, 12:56 pm
Forum: Numerical Methods Forum
Topic: CEV option values - help needed
Replies: 33
Views: 55473

### CEV option values - help needed

<t>QuoteOriginally posted by: CuchulainnYou're welcome, Mike. I use a slightly different notation from Schoder, but it worked out fine. BTW, I also tried to get an answer on MC and Euler, but the answer is not accurate (S can become negative). There was a thread on this issue when r = 0.//It might b...
September 27th, 2009, 9:39 am
Forum: Careers Forum
Topic: Is it easy to switch asset class in the career?
Replies: 3
Views: 34528

### Is it easy to switch asset class in the career?

easy
September 2nd, 2009, 9:15 am
Forum: Student Forum
Topic: Fixing date of a swap
Replies: 15
Views: 160851

### Fixing date of a swap

thanks for the link.But this only covers the fixing itself of a libor rate.there are lots of nasty conventions when you want to build the actual schedule of a swap that are not on bba libor page, and that I could not find in the ISDA site either..
September 2nd, 2009, 2:35 am
Forum: Student Forum
Topic: Fixing date of a swap
Replies: 15
Views: 160851

### Fixing date of a swap

<t>QuoteOriginally posted by: johnself11since all swaps are individual contracts, there is no set rule to determine all the dates you mentioned, but the following is standard convention for USD interest rate swaps:SWAP SETTLEMENT DATE: two london buiness days from trade date, provided that is is als...
April 4th, 2009, 3:07 pm
Forum: Careers Forum
Topic: Quants Base Salaries
Replies: 7
Views: 42910

### Quants Base Salaries

I assume it may vary with the city you consider : NY , London, HK, Tokyo, Dubai, Singapore
November 17th, 2008, 2:10 pm
Forum: Careers Forum
Topic: Poll: The No.1 employer
Replies: 13
Views: 48802

### Poll: The No.1 employer

either Nintendo or Konami
September 16th, 2008, 2:48 pm
Forum: General Forum
Topic: FED's moral hazard
Replies: 29
Views: 52137

### FED's moral hazard

and eventually save GS should it fail, cause all the guys around Paulson (him included) are loaded with Gs stock
September 15th, 2008, 12:07 am
Topic: Asia open on Sept 15 (and now Sept 30)
Replies: 9
Views: 50345

### Asia open on Sept 15 (and now Sept 30)

both TKO and HKG are closed
March 17th, 2008, 2:07 pm
Forum: General Forum
Topic: Bear Stearns
Replies: 134
Views: 72969

### Bear Stearns

<t>QuoteOriginally posted by: Traden4AlphaOr, the Fed is trying to push a low-ball deal that encourages other buyers to step in. BSC is trading at \$3.5/sh at the moment which suggests that some people think that a bidding war is possible which might help the market think that it's hit the bottom. Al...
March 17th, 2008, 1:49 pm
Forum: Careers Forum
Topic: Bear Stearns in serious trouble??
Replies: 29
Views: 61424

### Bear Stearns in serious trouble??

and now investment bankers discover they are long delta employment market... especially when market goes down
December 12th, 2007, 1:21 pm
Forum: Technical Forum
Topic: looking for paper " I will survive"
Replies: 33
Views: 148945

### looking for paper " I will survive"

look at all these hungry lions

GZIP: On