Thanks, guys, that's the book I was looking for.

Hello, guys.I have a partial scan copy of a book covers some aspects of the credit products and credit risks.Unfortunately i forgot the title and the author, so will be glad if anybody can recognize it.There are several pages of this book in the attachment. Thanks in advance.

Hello.Try to post a new message with an image attached (jpg), but get an error that "the type of file i tried to upload is not permitted".This error appears every time I try to upload any file. Can anybody tell me what I do wrong?Thanks

Many thanks, Mars.You are absolutely right: I made a stupid mistake in d(x.y) calculation. So, initially scheme is correct, but the mistake was in dividends - i forgot to change divs ccy to foreign ccy (i work with discrete divs)

<t>QuoteBefore using Ito's lemma you must have your 2 equations in foreign currency, which mean quanto diffusion of your underlying with the drift term - correlation_S_FX * sigma_S * sigma_FX/QuoteMars, i agree with changing numeraire to foreign ccy for underlying process, BUT that's changed only th...

<t>Hi, everybody.Suppose, we have two dependent processes:underlying - dS(t) = r_s(t)*S(t)*dt + sigma_S*S(t)*dW(t)forex - dFX(t) = [r_p(t) - r_s(t)] * FX(t)*dt + sigma_FX*FX(t)*dW(t),where FX is a number of currency P(payout ccy) per unit of currency S(underlying ccy). Note, that the processes are d...

please send me too.email: andpkol@gmail.commany thanks in advance!

please send me too.email: andpkol@gmail.commany thanks in advance!

<t>daveangel, thanks for replyRegarding your question - i know how to hedge it (it's just static hedge with borrowing USD, buying S and forward forex) and i know that compo forward value is product of vanilla forward and forwardFX, but i try to deduce this formula in martingale world. So, we have to...

<t>I have some troubles with understanding of composite forward and options.So, we have underlying security S settled in USD and forex rate FX from USD to EUR (USDEUR). Then we move to a risk neutral world with respect to zero-coupon bond, that pays 1EUR at time T. In this word expected value of S (...

<r>horacioaliaga, it's more closely to Altiplano option (see for example <URL url="http://www.global-derivatives.com/index.php?option=com_content&task=view&id=49#ClosedForm"><LINK_TEXT text="http://www.global-derivatives.com/index ... ClosedForm">http://www.global-derivatives.com/index.php?o...

<t>i'm sorry, but i made a mistakeby the way i have more complex problem - there is one DI option on three correlated assets. If the closing price of any of the underlying assets trades at or below kick-in strike, the redemption payoff will be depends on the level of the worst performer asset. Thus ...

<t>Hi guys!I'd like to calculate the value of barrier DI put option basket consicts of three correlated commodities (for instance aluminum, copper and nickel). Does anybody know the way i can do it?Is there some theoretical technique for solving this problem? Or it will be more useful to apply Monte...