<t>Sorry for the late response....but the answer depends on what you want to do really. Overall I think you have the following types of models to deal with smile issues:1. Local vol model2. Uncertain Parameter Models3. Stochastic Vol models4. Fancy processes modelsThe first two can fit the smile cor...

<t>I was wondering whether anyone knows of a polynomial for the implied volatility with cofeiccients dependent on the volatility process' parameters but which holds INDEPENDENTLY OF MATURITY. All approximations I was able to find made the assumption that the maturity was small (eg. Alan Lewis nice a...

<t>There is a distinction between closed form and analytic solutions. Closed form just means that the variable one is looking for (the option price in this case) does not sit on both sides of the equation or in an implicit expression. Analytic is what you mean, clsed form is available as the title a...

I cannot find the case for complex ORDER (not argument). I do not need it for Heston...for a model that's been out for a while without a closed form (albeir it does have one).

<t>I am trying to implement a model and am thus in need to see if anyone has implemented the modified bessel function of the second kind WITH COMPLEX ORDER AND COMPLEX ARGUMENT in C++. All implementation that I could find on google were for real order. Does anyone have the complex argument AND compl...

Thanks quantman. I sent you a PM.

<t>OOOOH! Very nice. That's very informative, the strike is thus taken from the swap rate but the payoff is calculated on the forward mx3 or mx6 one (where m is the maturity of the caplets and 3 or 6 depend on wether the cap is of less than/equal or more than 2 years) ? I am already aware that the s...

<t>That's exactly what I meant with tenors, with fixings and strikes, I don't think I had that misunderstood. Also it is obvious that caps cannot be written on the first period, the rate has already been fixed then.....What you made clear to me though was the number of caplets in the structures, tha...

<t>Thanks Wibble. If I understand correctly say I have an 1 year cap, on the 3 month rate...this means I've got 4 caplets the first on the rate fixed in 3 months from now, the second on the rate fixed 6 months from now, the third on that fixed nine months from now and the final one on the rate fixed...

<t>I am trying to understand the convention in the bloomberg vol cube or the caps/floors ICAP implied vol matrix. The strikes given in the second column, are they the ones used for the ATM vols in the thrid column? Does that mean that ATM is the current rate for the first caplet's period in the cap ...

<t>It works and the numbers make a whole lot of sense. It does get a bit faster with your suggestion but it everything remains very much dependent on the parameters...for some it is very quick (under 6 seconds) for other VERY slow (over 35 seconds). In all cases I get values similar to another model...

<t>It works and the numbers make a whole lot of sense. It does get a bit faster with your suggestion but it everything remains very much dependent on the parameters...for some it is very quick (under 6 seconds) for other VERY slow (over 35 seconds). In all cases I get values similar to another model...

<t>The problem was that I was forcing a negative shifting parameter and this was giving rise to an extremely small transform. This made things run extremely quickly (in some cases less than 1.5 seconds for pricing) but made the underlying part of the prices rule and so the second shifting parameter ...

<t>The speed increases dramatically when the precision is given up bit by bit. I can price things with up to 3 decimal places precision in less than 4 seconds. Now I have been testing the prices and plotting on the different parameters to see the behavior. I am concerned with the fact that moneyness...

I was thinking of whether anyone has done any analysis as to the equivalence of synthetically selling skew intraday and some of the common high frequency strategies. Are there any papers on this? If not, has anyone here tried implementing anything of this sort at his house?Thanks.