<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...

<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...

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.

<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 ...

<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...

easy

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..

<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...

I assume it may vary with the city you consider : NY , London, HK, Tokyo, Dubai, Singapore

either Nintendo or Konami

and eventually save GS should it fail, cause all the guys around Paulson (him included) are loaded with Gs stock

both TKO and HKG are closed

<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...

and now investment bankers discover they are long delta employment market... especially when market goes down

look at all these hungry lions