QuoteOriginally posted by: martingullyou must have heard of Paul Wilmott Introduces Quant Finance?If not, go get it.Never heard of Paul Wilmott?Shall I ?

<r>QuoteOriginally posted by: VolMasterYet, 20$ (or more, today) is way too wide (even with the "so called" fundamental reasons). Looking at the WTI-LLS spread you can see that it has been quite stable recently, however, the LLS-Brent spread has been the trigger for the collapse of the WTI-Brent spr...

RWE Trading, Vitol, Glencore, Trafigura???

http://wacc.de/

QuoteOriginally posted by: fab10abTry Option Pricing and Volatility by Rouah and VainbergNice book Fabrice- we are wating for the second edition and dont forget to include this time merton- and bates model

I am giving for free CFA I 2008

Hi Alan,would you mind taking short look at my GARCH model in the technical forum (EONIA)? I am doing something wrong since alpha+beta=> 1. What about EGARCH or IGARCH? Is IGARCH =EWMA?Thanks

<t>QuoteOriginally posted by: niki5I uploaded a GARCH file on EONIA. But i still having a problem with my model since i am not able to ensure the condition alpha+beta<1.Could someone help to adjust the model?I suppose my request is pretty ease for the quants and they are bored beyond belief, but I a...

I uploaded a GARCH file on EONIA. But i still having a problem with my model since i am not able to ensure the condition alpha+beta<1.Could someone help to adjust the model?

Pricing of Moment Swaps and their practical implementation

<t>QuoteOriginally posted by: VegaPlusHi there,I'm still a student, it's my first message out there but let's try to answer.GARCH model can help you in that you estimate the volatility of the interest rate so its future values using the appropriate dynamic. You can use any interest rate model as you...

<t>We have a energy contract, where the variable part is linked to EONIA (no other interest rates as benchmark). I woluld like to asses the the future spot rates (3-4 years) in order to calculate the price of the contract at any given time in the future (i have no access to Bloomberg or Reuters ). I...

<t>Which method should I use in order to calculate/estimate EONIA? I need the result to simulate VaR. I have to admitt that i am not having too much experience with interest rate models. Which methods are employed by the banks ?Sorry, if the question sonds to easy or stupid for the most quants Thank...

<t>How to solve this ? Any help apriciated.Consider the stochastic process Y(t) satisfying the SDE dY(t)=f(t)dt+g(t)dX(t), Y(0)=Y0 where f(t) and g(t) are two time-dependent functions and X(t) is a standard Brownian Motion How should we choose f(t) if we we want the process Z(t)=e^Y(t) to be an expo...

Produktdesign und Semi–Statische Absicherung von Turbo–Zertifikaten-Dr. Antje Mahayni, Michael SuchaneckiMatthias Muck-Pricing Turbo Certificates in the Presence ofStochastic Jumps, Interest Rates, and Volatility